//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~person:"Siu, Tak Kuen"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Stochastisches Modell "
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
Stochastic process
28
Stochastischer Prozess
28
Theorie
15
Theory
15
Markov chain
13
Markov-Kette
13
Option pricing theory
13
Optionspreistheorie
13
Volatility
6
Volatilität
6
Portfolio selection
5
Portfolio-Management
5
Derivat
4
Derivative
4
Hedging
4
Interest rate
4
Option trading
4
Optionsgeschäft
4
Regime-switching
4
Risiko
4
Risk
4
Zins
4
Esscher transform
3
Martingal
3
Martingale
3
Risikomanagement
3
Risk management
3
Anleihe
2
Bond
2
Börsenkurs
2
Finanzmathematik
2
HJB equation
2
Mathematical finance
2
Measurement
2
Messung
2
Share price
2
Yield curve
2
Zinsstruktur
2
filtering
2
stochastic flows
2
more ...
less ...
Online availability
All
Undetermined
11
Free
2
Type of publication
All
Article
26
Book / Working Paper
2
Type of publication (narrower categories)
All
Article in journal
25
Aufsatz in Zeitschrift
25
Arbeitspapier
1
Aufsatz im Buch
1
Aufsatzsammlung
1
Book section
1
Festschrift
1
Graue Literatur
1
Non-commercial literature
1
Working Paper
1
more ...
less ...
Language
All
English
28
Author
All
Siu, Tak Kuen
McAleer, Michael
93
Phillips, Peter C. B.
75
Koopman, Siem Jan
62
Chiarella, Carl
56
Platen, Eckhard
52
Sethi, Suresh
49
Barndorff-Nielsen, Ole E.
44
Cui, Zhenyu
44
Escudero, Laureano F.
44
Ferrari, Giorgio
42
Fabozzi, Frank J.
41
Post, Thierry
41
Takahashi, Akihiko
41
Asai, Manabu
39
Yu, Jun
39
Madan, Dilip B.
38
Benth, Fred Espen
37
Shephard, Neil G.
37
Chan, Joshua
36
Gao, Jiti
35
Todorov, Viktor
34
Escobar, Marcos
33
Račev, Svetlozar T.
32
Elliott, Robert J.
31
Hainaut, Donatien
30
Linton, Oliver
30
Gil-Alaña, Luis A.
29
Wong, Hoi Ying
29
Clark, Todd E.
28
Gendreau, Michel
28
Carr, Peter
27
Wong, Wing Keung
27
Topaloglou, Nikolas
26
Batabyal, Amitrajeet A.
25
Mumtaz, Haroon
25
Nguyen, Duy
25
Wallace, Stein W.
25
Grasselli, Martino
24
Kleijnen, Jack P. C.
24
more ...
less ...
Published in...
All
Insurance / Mathematics & economics
5
Economic modelling
3
Annals of finance
2
IMA journal of management mathematics
2
Operations research letters
2
Advances in statistics, probability and actuarial science
1
Applied mathematical finance
1
Asia-Pacific financial markets
1
Computational economics
1
Decisions in economics and finance : a journal of applied mathematics
1
Discussion paper series
1
Energy economics
1
European journal of operational research : EJOR
1
Innovative quick response programs in logistics and supply chain management
1
International journal of theoretical and applied finance
1
Mathematical methods of operations research
1
OR spectrum : quantitative approaches in management
1
The journal of derivatives : JOD
1
The journal of futures markets
1
more ...
less ...
Source
All
ECONIS (ZBW)
28
Showing
1
-
10
of
28
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
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
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:
4
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:
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
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:
7
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:
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
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:
10
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:
1
2
3
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->