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Pricing risky debts under a Markov-modudated Merton model with completely random measures
Lau, John W.; Siu, Tak Kuen - In: Computational economics 31 (2008) 3, pp. 255-288
Persistent link: https://www.econbiz.de/10003691910
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Modeling default data via an interactive hidden Markov model
Ching, Wai Ki; Siu, Tak Kuen; Li, Li-min; Li, Tang; Li, … - In: Computational economics 34 (2009) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10003876947
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A flexible markov chain approach for multivariate credit ratings
Fung, Eric S.; Siu, Tak Kuen - In: Computational economics 39 (2012) 2, pp. 135-143
Persistent link: https://www.econbiz.de/10009513179
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On optimal pricing model for multiple dealers in a competitive market
Yang, Qing-Qing; Gu, Jia-Wen; Ching, Wai Ki; Siu, Tak Kuen - In: Computational economics 53 (2019) 1, pp. 397-431
Persistent link: https://www.econbiz.de/10012134689
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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
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Pricing Risky Debts Under a Markov-modudated Merton Model with Completely Random Measures
Lau, John W.; Siu, Tak Kuen - In: Computational economics 31 (2008) 3, pp. 255-288
Persistent link: https://www.econbiz.de/10007988797
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A Flexible Markov Chain Approach for Multivariate Credit Ratings
Fung, Eric S.; Siu, Tak Kuen - In: Computational economics 39 (2012) 2, pp. 135-144
Persistent link: https://www.econbiz.de/10009825119