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Minimal variance hedging of natural gas derivatives in exponential Lévy models : theory and empirical performance
Ewald, Christian-Olivier; Nawar, Roy; Siu, Tak Kuen - In: Energy economics 36 (2013), pp. 97-107
Persistent link: https://www.econbiz.de/10009724764
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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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A decomposition method for optimal portfolios with regime-switching and risk constraint
Liu, Jingzhen; Yiu, Ka-fai Cedric; Siu, Tak Kuen - In: Risk and decision analysis 3 (2012) 4, pp. 269-276
Persistent link: https://www.econbiz.de/10009704597
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Attainable contingent claims in a Markovian regime-switching market
Elliott, Robert J.; Siu, Tak Kuen - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-19
Persistent link: https://www.econbiz.de/10009706331
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Pricing bond options under a Markovian regime-switching Hull-White model
Shen, Yang; Siu, Tak Kuen - In: Economic modelling 30 (2013), pp. 933-940
Persistent link: https://www.econbiz.de/10009710001
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Viterbi-based estimation for Markov switching GARCH model
Elliott, Robert J.; Lau, John W.; Miao, Hong; Siu, Tak Kuen - In: Applied mathematical finance 19 (2012) 3/4, pp. 219-231
Persistent link: https://www.econbiz.de/10009710984
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Longevity bond pricing under stochastic interest rate and mortality with regime-switching
Shen, Yang; Siu, Tak Kuen - In: Insurance / Mathematics & economics 52 (2013) 1, pp. 114-123
Persistent link: https://www.econbiz.de/10009718990
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Asset allocation under stochastic interest rate with regime switching
Shen, Yang; Siu, Tak Kuen - In: Economic modelling 29 (2012) 4, pp. 1126-1136
Persistent link: https://www.econbiz.de/10009667429
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Option valuation under a double regime-switching model
Shen, Yang; Fan, Kun; Siu, Tak Kuen - In: The journal of futures markets 34 (2014) 5, pp. 451-478
Persistent link: https://www.econbiz.de/10010370881
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Pricing foreign equity options with regime-switching
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming - In: Economic modelling 37 (2014), pp. 296-305
Persistent link: https://www.econbiz.de/10010417689