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~person:"Siu, Tak Kuen"
~subject:"Capital income"
~subject:"Markov-Kette"
~subject:"Mathematical programming"
~subject:"Theorie"
~subject:"VAR-Modell"
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Search: subject_exact:"Markovsche Kette"
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Capital income
Markov-Kette
Mathematical programming
Theorie
VAR-Modell
Markov chain
33
Option pricing theory
16
Optionspreistheorie
16
Theory
15
Stochastic process
13
Stochastischer Prozess
13
Volatility
7
Volatilität
7
Esscher transform
5
Option trading
5
Optionsgeschäft
5
Regime-switching
5
Martingal
4
Martingale
4
Portfolio selection
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Portfolio-Management
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ARCH model
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ARCH-Modell
3
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Hedging
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Risiko
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Risk
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Credit rating
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HJB equation
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Kreditrisiko
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Kreditwürdigkeit
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Option pricing
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Yield curve
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filtering
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32
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32
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English
33
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Siu, Tak Kuen
Elliott, Robert J.
47
Casarin, Roberto
42
Billio, Monica
39
Waggoner, Daniel F.
37
Dijk, Herman K. van
28
Guidolin, Massimo
28
Gupta, Rangan
28
Stachurski, John
27
Tsionas, Efthymios G.
27
Zha, Tao
27
Bauwens, Luc
25
Lütkepohl, Helmut
24
Piger, Jeremy Max
24
Reffett, Kevin L.
24
Kaufmann, Sylvia
23
Sola, Martin
23
Balbus, Lukasz
22
Kim, Chang-jin
22
Chauvet, Marcelle
21
Chib, Siddhartha
21
Cui, Zhenyu
21
Dufays, Arnaud
21
Kohn, Robert
21
Krolzig, Hans-Martin
21
Rady, Sven
21
Doraszelski, Ulrich
20
Paap, Richard
20
Ravazzolo, Francesco
20
Frühwirth-Schnatter, Sylvia
19
Leiva-Leon, Danilo
19
D'Amico, Guglielmo
18
Dijk, Dick van
18
Farmer, Roger E. A.
18
Kamihigashi, Takashi
18
Lux, Thomas
18
Chiarella, Carl
17
Funke, Michael
17
Guo, Xianping
17
Guérin, Pierre
17
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Computational economics
4
Insurance / Mathematics & economics
4
Annals of finance
3
Applied mathematical finance
3
Economic modelling
3
International journal of theoretical and applied finance
3
IMA journal of management mathematics
2
The journal of futures markets
2
Annals of operations research
1
Asia-Pacific financial markets
1
International Series in Operations Research & Management Science
1
Managerial finance
1
OR spectrum : quantitative approaches in management
1
Quantitative finance
1
SpringerLink / Bücher
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The journal of credit risk : published quarterly by Incisive Media
1
The journal of derivatives : JOD
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ECONIS (ZBW)
33
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1
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
2
American option pricing and filtering with a hidden regime-switching jump diffusion
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The journal of derivatives : JOD
29
(
2022
)
3
,
pp. 106-123
Persistent link: https://www.econbiz.de/10013174827
Saved in:
3
A generalized Esscher transform for option valuation with regime switching risk
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 691-705
Persistent link: https://www.econbiz.de/10013367853
Saved in:
4
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
Saved in:
5
Pricing dynamic fund protection under hidden Markov models
Fan, Kun
;
Shen, Yang
;
Siu, Tak Kuen
;
Wang, Rongming
- In:
IMA journal of management mathematics
29
(
2018
)
1
,
pp. 99-117
Persistent link: https://www.econbiz.de/10011858973
Saved in:
6
A hidden Markov regime-switching smooth transition model
Elliott, Robert J.
;
Siu, Tak Kuen
;
Lau, John W.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
4
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011965140
Saved in:
7
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
Saved in:
8
Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model
Zhu, Dong-Mei
;
Lu, Jiejun
;
Ching, Wai Ki
;
Siu, Tak Kuen
- In:
Economic modelling
66
(
2017
),
pp. 223-232
Persistent link: https://www.econbiz.de/10011813727
Saved in:
9
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
Saved in:
10
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
Saved in:
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