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Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
Shen, Yang; Siu, Tak Kuen - In: Operations research letters 41 (2013) 2, pp. 180-187
Persistent link: https://www.econbiz.de/10009727702
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Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
Wang, Hao; Wang, Rongming; Wei, Jiaqin - In: Insurance / Mathematics & economics 85 (2019), pp. 104-114
Persistent link: https://www.econbiz.de/10011990618
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The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights
Siu, Tak Kuen - In: Applied economics 53 (2021) 17, pp. 1991-2014
Persistent link: https://www.econbiz.de/10012500918
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Bayesian nonlinear expectation for time series modelling and its application to Bitcoin
Siu, Tak Kuen - In: Empirical economics : a quarterly journal of the … 64 (2023) 1, pp. 505-537
Persistent link: https://www.econbiz.de/10014226298
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Pricing volatility swaps under Heston's stochastic volatility model with regime switching
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: Applied mathematical finance 14 (2007) 1, pp. 41-62
Persistent link: https://www.econbiz.de/10003542938
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A Dupire equation for a regime-switching model
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-13
Persistent link: https://www.econbiz.de/10011403770
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Trading strategy with stochastic volatility in a limit order book market
Yang, Qing-Qing; Ching, Wai Ki; Gu, Jiawen; Siu, Tak Kuen - In: Decisions in economics and finance : a journal of … 43 (2020) 1, pp. 277-301
Persistent link: https://www.econbiz.de/10012285400
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Option pricing under a stochastic interest rate and volatility model with hidden Markovian regime-switching
Zhu, Dong-Mei; Lu, Jiejun; Ching, Wai Ki; Siu, Tak Kuen - In: Computational economics 53 (2019) 2, pp. 555-586
Persistent link: https://www.econbiz.de/10012134818
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The Heath-Jarrow-Morton model with regime shifts and jumps priced
Elliott, Robert J.; Siu, Tak Kuen - In: New methods in fixed income modeling : fixed income modeling, (pp. 45-59). 2018
Persistent link: https://www.econbiz.de/10012011578
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Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.; Siu, Tak Kuen - In: The journal of futures markets 43 (2023) 7, pp. 925-950
Persistent link: https://www.econbiz.de/10014293270