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Search: person:"Siu, Tak Kuen"
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Theorie
49
Theory
49
Markov chain
35
Markov-Kette
34
Option pricing theory
33
Optionspreistheorie
33
Stochastic process
30
Stochastischer Prozess
30
Portfolio selection
19
Portfolio-Management
19
Risiko
14
Risk
14
Volatility
14
Volatilität
14
Derivat
11
Derivative
11
Esscher transform
11
Regime-switching
11
Hedging
10
Option trading
9
Optionsgeschäft
9
Risikomanagement
8
Risk management
8
ARCH model
7
ARCH-Modell
7
CAPM
7
Credit risk
7
Kreditrisiko
7
Martingal
7
Martingale
7
Risikomaß
7
Risk measure
7
Option pricing
6
Dividend
5
HJB equation
5
Reinsurance
5
Time series analysis
5
Zeitreihenanalyse
5
Anleihe
4
Bayes-Statistik
4
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Undetermined
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23
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Article
178
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16
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Article in journal
87
Aufsatz in Zeitschrift
87
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3
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3
Article
2
Arbeitspapier
1
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English
106
Undetermined
88
Author
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Siu, Tak Kuen
164
Elliott, Robert J.
43
Shen, Yang
24
Siu, Tak-Kuen
23
Ching, Wai Ki
17
Ching, Wai-Ki
16
Yang, Hailiang
16
Lau, John W.
13
Badescu, Alex
11
Fung, Eric S.
11
Gu, Jia-Wen
10
Chan, Leunglung
9
Ewald, Christian-Oliver
8
Meng, Hui
8
Fan, Kun
7
Elliott, Robert
6
Huang, Ximin
6
Nawar, Roy
6
Ng, Michael K.
6
Zhang, Xin
6
Zheng, Harry
6
Wang, Rongming
5
Zhu, Dong-Mei
5
Badescu, Alexandru
4
Fard, Farzad Alavi
4
Fung, Eric
4
Gu, Jia-wen
4
Lam, Kin
4
Siu, Tak-kuen
4
Wang, Ning
4
ELLIOTT, ROBERT J.
3
Li, Li-min
3
Liew, Chuin Ching
3
Liu, Jingzhen
3
Ng, Michael
3
Ouyang, Ruolan
3
SIU, TAK KUEN
3
Wong, Wing-Keung
3
Woo, Wing Hoe
3
Yang, Qing-Qing
3
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Institution
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arXiv.org
3
Centre for Research into Industry, Enterprise, Finance and the Firm (CRIEFF), University of St. Andrews
1
Published in...
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Insurance / Mathematics & economics
26
Applied mathematical finance
14
Economic modelling
12
Insurance: Mathematics and Economics
12
Computational economics
9
Applied Mathematical Finance
7
Economic Modelling
6
Annals of finance
5
IMA journal of management mathematics
5
International journal of theoretical and applied finance
5
Annals of operations research
4
Asia-Pacific financial markets
4
Quantitative Finance
4
International Journal of Theoretical and Applied Finance (IJTAF)
3
International journal of production economics
3
Journal of economic dynamics & control
3
Operations research letters
3
Papers / arXiv.org
3
Computational Economics
2
Energy economics
2
European journal of operational research : EJOR
2
Journal of Risk and Financial Management
2
Managerial finance
2
Mathematical methods of operations research
2
Risk and decision analysis
2
Scandinavian actuarial journal
2
Scandinavian actuarial journal : Actuarial Society of Finland ; Norwegian Society of Actuaries ; Swedish Society of Actuaries
2
The journal of credit risk : published quarterly by Incisive Media
2
The journal of futures markets
2
Advances in statistics, probability and actuarial science
1
American journal of agricultural economics
1
Annals of Finance
1
Applied Stochastic Models in Business and Industry
1
Applied economics
1
Business intelligence in economic forecasting : technologies and techniques
1
CRIEFF Discussion Papers
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
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ECONIS (ZBW)
102
RePEc
47
OLC EcoSci
42
EconStor
2
Other ZBW resources
1
Showing
1
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194
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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
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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