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~person:"Siu, Tak Kuen"
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Search: subject:"Markov chain"
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Markov chain
34
Markov-Kette
33
Option pricing theory
16
Optionspreistheorie
16
Theorie
16
Theory
16
Stochastic process
13
Stochastischer Prozess
13
Volatility
8
Volatilität
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Esscher transform
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Option trading
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Optionsgeschäft
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Regime-switching
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Martingal
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Martingale
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HJB equation
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Kreditwürdigkeit
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English
34
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Siu, Tak Kuen
Koop, Gary
168
Dijk, Herman K. van
144
Ravazzolo, Francesco
117
Schorfheide, Frank
106
Casarin, Roberto
102
Tsionas, Efthymios G.
94
Marcellino, Massimiliano
75
Strachan, Rodney W.
71
Bauwens, Luc
70
Frühwirth-Schnatter, Sylvia
68
Gupta, Rangan
67
Billio, Monica
66
Kaufmann, Sylvia
65
Korobilis, Dimitris
65
Carriero, Andrea
58
Kohn, Robert
58
Hoogerheide, Lennart
57
Huber, Florian
56
Chan, Joshua
54
Clark, Todd E.
53
Chib, Siddhartha
51
Elliott, Robert J.
49
Leon-Gonzalez, Roberto
48
Waggoner, Daniel F.
48
Paap, Richard
47
Canova, Fabio
46
Robert, Christian P.
46
Koopman, Siem Jan
44
Martin, Gael M.
44
Havránek, Tomáš
43
Hoogerheide, Lennart F.
43
Villani, Mattias
43
Guidolin, Massimo
42
Crespo Cuaresma, Jesús
41
Del Negro, Marco
41
Lang, Stefan
40
Pettenuzzo, Davide
40
Zhang, Xibin
40
Österholm, Pär
40
Nakajima, Jouchi
39
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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 Finance
1
Annals of operations research
1
Applied Mathematical Finance
1
Asia-Pacific financial markets
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
International Series in Operations Research & Management Science
1
Managerial Finance
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)
34
RePEc
3
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1
Bayesian nonlinear expectation for time series modelling and its application to Bitcoin
Siu, Tak Kuen
- In:
Empirical economics : a quarterly journal of the …
64
(
2023
)
1
,
pp. 505-537
Persistent link: https://www.econbiz.de/10014226298
Saved in:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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
Saved in:
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