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On mean-variance portfolio selection under a hidden Markovian regime-switching model
Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alex - In: Economic modelling 27 (2010) 3, pp. 678-686
Persistent link: https://www.econbiz.de/10003995557
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On pricing and hedging options in regime-switching models with feedback effect
Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alexandru - In: Journal of economic dynamics & control 35 (2011) 5, pp. 694-713
Persistent link: https://www.econbiz.de/10009240566
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Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
Lin, Xiang; Zhang, Chunhong; Siu, Tak Kuen - In: Mathematical methods of operations research 75 (2012) 1, pp. 83-100
Persistent link: https://www.econbiz.de/10009490707
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Bond valuation under a discrete-time regime-switching term-structure model and its continuous-time extension
Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alex - In: Managerial finance 37 (2011) 11, pp. 1025-1047
Persistent link: https://www.econbiz.de/10009388893
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On supply chain coordination for false failure returns : a quantity discount contract approach
Huang, Ximin; Choi, Sin-man; Ching, Wai Ki; Siu, Tak Kuen; … - In: International journal of production economics 133 (2011) 2, pp. 634-644
Persistent link: https://www.econbiz.de/10009299866
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Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
Shen, Yang; Siu, Tak Kuen - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 757-768
Persistent link: https://www.econbiz.de/10010227881
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Pricing participating products with Markov-modulated jump-diffusion process : an efficient numerical PIDE approach
Fard, Farzad Alavi; Siu, Tak Kuen - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 712-721
Persistent link: https://www.econbiz.de/10010227894
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Optimal dividends with debts and nonlinear insurance risk processes
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 110-121
Persistent link: https://www.econbiz.de/10009785414
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On reduced-form intensity-based model with "trigger" events
Gu, Jia-wen; Ching, Wai Ki; Siu, Tak Kuen; Zheng, Henry - In: Journal of the Operational Research Society : OR 65 (2014) 3, pp. 331-339
Persistent link: https://www.econbiz.de/10010251709
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Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
Fard, Farzad Alavi; Siu, Tak Kuen - In: Annals of finance 9 (2013) 3, pp. 421-438
Persistent link: https://www.econbiz.de/10009776434