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Search: person:"Siu, Tak"
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Stochastic process
Theorie
49
Theory
49
Markov chain
35
Markov-Kette
34
Option pricing theory
33
Optionspreistheorie
33
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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14
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11
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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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8
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8
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7
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7
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6
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English
30
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Siu, Tak Kuen
28
Elliott, Robert J.
9
Shen, Yang
7
Ching, Wai Ki
6
Zhu, Dong-Mei
4
Chan, Leunglung
2
Lu, Jiejun
2
Nawar, Roy
2
Siu, Tak-Kuen
2
Yang, Hailiang
2
Cohen, Samuel N.
1
Ewald, Christian-Oliver
1
Ewald, Christian-Olivier
1
Fan, Kun
1
Fard, Farzad Alavi
1
Feng, Yang
1
Fung, Eric
1
Gu, Jia-wen
1
Gu, Jiawen
1
Ho, Ching-Wah
1
Lau, John W.
1
Li, Xun
1
Lin, Xiang
1
Madan, Dilip B.
1
Wang, Rongming
1
Wong, Wing-Keung
1
Wu, Zhenyu
1
Yang, Qing-Qing
1
Yu, Feng-Hui
1
Zhang, Chunhong
1
Zhang, Lianmin
1
Zhang, Xin
1
Zhu, Jinxia
1
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Insurance / Mathematics & economics
5
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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
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ECONIS (ZBW)
30
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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
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:
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