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A functional Itô's calculus approach to convex risk measures with jump diffusion
Siu, Tak Kuen - In: European journal of operational research : EJOR 250 (2016) 3, pp. 874-883
Persistent link: https://www.econbiz.de/10011445346
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Pricing annuity guarantees under a double regime-switching model
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming - In: Insurance / Mathematics & economics 62 (2015), pp. 62-78
Persistent link: https://www.econbiz.de/10011312087
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Capital requirements and optimal investment with solvency probability constraints
Asimit, Alexandru V.; Badescu, Alexandru M.; Siu, Tak Kuen - In: IMA journal of management mathematics 26 (2015) 4, pp. 345-375
Persistent link: https://www.econbiz.de/10011515664
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Asset pricing using trading volumes in a hidden regime-switching environment
Elliott, Robert J.; Siu, Tak Kuen - In: Asia-Pacific financial markets 22 (2015) 2, pp. 133-149
Persistent link: https://www.econbiz.de/10011377522
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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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Market-making strategy with asymmetric information and regime-switching
Yang, Qing-Qing; Ching, Wai Ki; Gu, Jia-Wen; Siu, Tak Kuen - In: Journal of economic dynamics & control 90 (2018), pp. 408-433
Persistent link: https://www.econbiz.de/10011974101
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A higher-order interactive hidden Markov model and its applications
Zhu, Dong-Mei; Ching, Wai Ki; Elliott, Robert J.; Siu, … - In: OR spectrum : quantitative approaches in management 39 (2017) 4, pp. 1055-1069
Persistent link: https://www.econbiz.de/10011777086
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On the market-consistent valuation of fish farms : using the real option approach and salmon futures
Ewald, Christian-Oliver; Ouyang, Ruolan; Siu, Tak Kuen - In: American journal of agricultural economics 99 (2017) 1, pp. 207-224
Persistent link: https://www.econbiz.de/10011761182
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Pricing strategy for a two-echelon supply chain with optimized return effort level
Xie, Yue; Tai, Allen H.; Ching, Wai Ki; Siu, Tak Kuen - In: International journal of production economics 182 (2016), pp. 185-195
Persistent link: https://www.econbiz.de/10011621941
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Optimal reinsurance policies with two reinsurers in continuous time
Meng, Hui; Zhou, Ming; Siu, Tak Kuen - In: Economic modelling 59 (2016), pp. 182-195
Persistent link: https://www.econbiz.de/10011647797