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Search: person:"Siu, Tak-Kuen"
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Theorie
42
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42
Markov chain
32
Markov-Kette
32
Option pricing theory
29
Optionspreistheorie
29
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25
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17
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87
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Siu, Tak Kuen
85
Elliott, Robert J.
26
Ching, Wai Ki
15
Shen, Yang
13
Chan, Leunglung
6
Fan, Kun
5
Yang, Hailiang
5
Zhu, Dong-Mei
5
Gu, Jia-wen
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Lau, John W.
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Wang, Ning
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Wang, Rongming
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Gu, Jia-Wen
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Meng, Hui
3
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2
Fard, Farzad Alavi
2
Huang, Ximin
2
Li, Li-min
2
Liu, Jingzhen
2
Lu, Jiejun
2
Siu, Tak-kuen
2
Yu, Feng-Hui
2
Zhu, Jinxia
2
Asimit, Alexandru V.
1
Badescu, Alexandru M.
1
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1
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1
Gu, Jiawen
1
Guo, Junyi
1
Hu, Shujie
1
Huang, Minxue
1
Jiang, Hao
1
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Insurance / Mathematics & economics
11
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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
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2
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2
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2
Scandinavian actuarial journal
2
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2
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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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1
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1
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1
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1
Journal of the Operational Research Society : OR
1
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1
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1
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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
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The European journal of finance
1
The North American journal of economics and finance : a journal of theory and practice
1
The journal of credit risk : published quarterly by Incisive Media
1
The journal of derivatives : JOD
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ECONIS (ZBW)
87
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1
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10
of
87
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date (oldest first)
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
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:
4
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:
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
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:
9
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:
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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