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Search: person:"Siu, Tak-Kuen"
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Theorie
49
Theory
49
Markov chain
34
Markov-Kette
34
Option pricing theory
33
Optionspreistheorie
33
Stochastic process
30
Stochastischer Prozess
30
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19
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19
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14
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14
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14
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14
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11
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11
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10
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9
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9
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English
102
Author
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Siu, Tak Kuen
91
Elliott, Robert J.
28
Ching, Wai Ki
17
Shen, Yang
13
Siu, Tak-Kuen
9
Yang, Hailiang
7
Chan, Leunglung
6
Ewald, Christian-Oliver
6
Fan, Kun
5
Lau, John W.
5
Zhu, Dong-Mei
5
Badescu, Alex
4
Fung, Eric S.
4
Gu, Jia-Wen
4
Gu, Jia-wen
4
Nawar, Roy
4
Wang, Ning
4
Wang, Rongming
4
Huang, Ximin
3
Meng, Hui
3
Ouyang, Ruolan
3
Yang, Qing-Qing
3
Yu, Feng-Hui
3
Zhang, Xin
3
Badescu, Alexandru
2
Ching, Wai-Ki
2
Fard, Farzad Alavi
2
Fung, Eric
2
Lam, Kin
2
Li, Li-min
2
Liu, Jingzhen
2
Lu, Jiejun
2
Madan, Dilip B.
2
Ng, Michael K.
2
Siu, Tak-kuen
2
Wong, Wing-Keung
2
Zhu, Jinxia
2
Zinchenko, Yuriy
2
Asimit, Alexandru V.
1
Asimit, Alexandru Vali
1
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Insurance / Mathematics & economics
11
Economic modelling
8
Applied mathematical finance
7
Computational economics
5
IMA journal of management mathematics
5
International journal of theoretical and applied finance
5
Annals of finance
4
Asia-Pacific financial markets
4
Annals of operations research
2
European journal of operational research : EJOR
2
International journal of production economics
2
Journal of economic dynamics & control
2
Operations research letters
2
Risk and decision analysis
2
Scandinavian actuarial journal
2
The journal of futures markets
2
Advances in statistics, probability and actuarial science
1
American journal of agricultural economics
1
Applied economics
1
Business intelligence in economic forecasting : technologies and techniques
1
Decisions in economics and finance : a journal of applied mathematics
1
Discussion paper series
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Energy economics
1
Finance and stochastics
1
Innovative quick response programs in logistics and supply chain management
1
International Series in Operations Research & Management Science
1
Journal of mathematical economics
1
Journal of risk and financial management : JRFM
1
Journal of the Operational Research Society : OR
1
Managerial finance
1
Mathematical methods of operations research
1
Mathematical methods of operations research : ZOR
1
New methods in fixed income modeling : fixed income modeling
1
North American actuarial journal : NAAJ ; leading the way with original research and innovative applications for actuarial science
1
OR spectrum : quantitative approaches in management
1
Omega : the international journal of management science
1
Quantitative finance
1
Risks : open access journal
1
SpringerLink / Bücher
1
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ECONIS (ZBW)
RePEc
47
OLC EcoSci
42
EconStor
2
Other ZBW resources
1
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102
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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
Life-cycle model with subsistence consumption constraint and state-dependent utilities
Wang, Hao
;
Siu, Tak Kuen
;
Hu, Shujie
;
Wang, Ning
- In:
The North American journal of economics and finance : a …
73
(
2024
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014581025
Saved in:
4
Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting
Wang, Yike
;
Liu, Jingzhen
;
Siu, Tak Kuen
- In:
Finance and stochastics
28
(
2024
)
1
,
pp. 161-214
Persistent link: https://www.econbiz.de/10014447662
Saved in:
5
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
Saved in:
6
European option pricing with market frictions, regime switches and model uncertainty
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 233-250
Persistent link: https://www.econbiz.de/10014466214
Saved in:
7
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:
8
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:
9
Regime switching optimal growth model with risk sensitive preferences
Goswami, Anindya
;
Rana, Nimit
;
Siu, Tak Kuen
- In:
Journal of mathematical economics
101
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013539016
Saved in:
10
Dynamic fund protection for property markets
Siu, Tak Kuen
;
Nguyen, Ha
;
Wang, Ning
- In:
North American actuarial journal : NAAJ ; leading the …
26
(
2022
)
3
,
pp. 383-402
Persistent link: https://www.econbiz.de/10013353174
Saved in:
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