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Mean-variance portfolio selection under a constant elasticity of variance model
Shen, Yang; Zhang, Xin; Siu, Tak Kuen - In: Operations research letters 42 (2014) 5, pp. 337-342
Persistent link: https://www.econbiz.de/10010404397
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A hidden Markov regime-switching model for option valuation
Liew, Chuin Ching; Siu, Tak Kuen - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 374-384
Persistent link: https://www.econbiz.de/10008747009
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A flexible markov chain approach for multivariate credit ratings
Fung, Eric S.; Siu, Tak Kuen - In: Computational economics 39 (2012) 2, pp. 135-143
Persistent link: https://www.econbiz.de/10009513179
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Esscher transforms and consumption-based models
Badescu, Alex; Elliott, Robert J.; Siu, Tak Kuen - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 337-347
Persistent link: https://www.econbiz.de/10009517559
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Optimal investment and reinsurance of an insurer with model uncertainty
Zhang, Xin; Siu, Tak Kuen - In: Insurance / Mathematics & economics 45 (2009) 1, pp. 81-88
Persistent link: https://www.econbiz.de/10009517594
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Markovian regime-switching market completion using additional Markov jump assets
Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen; Guo, Junyi - In: IMA journal of management mathematics 23 (2012) 3, pp. 283-305
Persistent link: https://www.econbiz.de/10009572468
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A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
Badescu, Alexandru; Elliott, Robert J.; Kulperger, Reg; … - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 669-708
Persistent link: https://www.econbiz.de/10009298478
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Option valuation with a discrete-time double Markovian regime-switching model
Siu, Tak Kuen; Fung, Eric S.; Ng, Michael K. - In: Applied mathematical finance 18 (2011) 5/6, pp. 473-490
Persistent link: https://www.econbiz.de/10009422572
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On optimal reinsurance, dividend and reinvestment strategies
Meng, Hui; Siu, Tak Kuen - In: Economic modelling 28 (2011) 1/2, pp. 211-218
Persistent link: https://www.econbiz.de/10009269977
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Option pricing and filtering with hidden Markov-modulated pure-jump processes
Elliott, Robert J.; Siu, Tak Kuen - In: Applied mathematical finance 20 (2013) 1/2, pp. 1-25
Persistent link: https://www.econbiz.de/10009737182