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~person:"Siu, Tak Kuen"
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Search: subject:"PROCESSES"
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Stochastic process
28
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28
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15
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13
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13
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Siu, Tak Kuen
McAleer, Michael
103
Phillips, Peter C. B.
79
Koopman, Siem Jan
72
Platen, Eckhard
65
Chiarella, Carl
63
Barndorff-Nielsen, Ole E.
53
Benth, Fred Espen
53
Sethi, Suresh
49
Madan, Dilip B.
46
Cui, Zhenyu
44
Escudero, Laureano F.
44
Ferrari, Giorgio
43
Fabozzi, Frank J.
41
Post, Thierry
41
Takahashi, Akihiko
41
Yu, Jun
41
Asai, Manabu
39
Carr, Peter
39
Linton, Oliver
38
Shephard, Neil G.
37
Chan, Joshua
36
Gao, Jiti
35
Podolskij, Mark
35
Todorov, Viktor
35
Elliott, Robert J.
33
Escobar, Marcos
33
Gil-Alaña, Luis A.
32
Hainaut, Donatien
32
Branger, Nicole
31
Bayraktar, Erhan
30
Gendreau, Michel
30
Račev, Svetlozar T.
30
Wilfling, Bernd
30
Wong, Hoi Ying
29
Clark, Todd E.
28
Lucas, André
28
Lux, Thomas
28
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28
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28
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Insurance / Mathematics & economics
5
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3
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2
IMA journal of management mathematics
2
Operations research letters
2
Advances in statistics, probability and actuarial science
1
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1
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1
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1
Decisions in economics and finance : a journal of applied mathematics
1
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1
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OR spectrum : quantitative approaches in management
1
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ECONIS (ZBW)
28
RePEc
2
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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
Optimal risk exposure and dividend payout policies under model uncertainty
Feng, Yang
;
Zhu, Jinxia
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
100
(
2021
),
pp. 1-29
Persistent link: https://www.econbiz.de/10012622379
Saved in:
4
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
Saved in:
5
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
Persistent link: https://www.econbiz.de/10012285400
Saved in:
6
Hedging options in a doubly Markov-modulated financial market via stochastic flows
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012183224
Saved in:
7
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:
8
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:
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
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:
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