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Robust reinsurance contracts with risk constraint

Wang, Ning; Siu, Tak Kuen - In: Scandinavian actuarial journal 2020 (2020) 5, pp. 419-453

Persistent link: https://www.econbiz.de/10012262748

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

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On optimal pricing model for multiple dealers in a competitive market

Yang, Qing-Qing; Gu, Jia-Wen; Ching, Wai Ki; Siu, Tak Kuen - In: Computational economics 53 (2019) 1, pp. 397-431

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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

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

On modeling credit defaults : a probabilistic Boolean network approach

Gu, Jia-wen; Ching, Wai Ki; Siu, Tak Kuen; Zheng, Harry - In: Risk and decision analysis 4 (2013) 2, pp. 119-129

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How correlation risk in basket credit derivatives might be priced and managed?

Zhu, Dong-Mei; Gu, Jia-wen; Yu, Feng-Hui; Ching, Wai Ki; … - In: IMA journal of management mathematics 32 (2021) 2, pp. 195-219

Persistent link: https://www.econbiz.de/10012434401

Two price economic equilibria and financial market bid/ask prices

Elliott, Robert J.; Madan, Dilip B.; Siu, Tak Kuen - In: Annals of finance 17 (2021) 1, pp. 27-43

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Optimal pairs trading with dynamic mean-variance objective

Zhu, Dong-Mei; Gu, Jia-Wen; Yu, Feng-Hui; Siu, Tak Kuen; … - In: Mathematical methods of operations research : ZOR 94 (2021) 1, pp. 145-168

Persistent link: https://www.econbiz.de/10012618990

Stochastic processes, finance and control : a Festschrift in honor of Robert J. Elliott

Cohen, Samuel N. (ed.); Madan, Dilip B. (ed.); … - 2012

This title consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering--

Persistent link: https://www.econbiz.de/10012658655

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