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Markovian regime-switching market completion using additional Markov jump assets
Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen; Guo, Junyi - In: IMA journal of management mathematics 23 (2012) 3, pp. 283-305
Persistent link: https://www.econbiz.de/10009572468
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Capital requirements and optimal investment with solvency probability constraints
Asimit, Alexandru V.; Badescu, Alexandru M.; Siu, Tak Kuen - In: IMA journal of management mathematics 26 (2015) 4, pp. 345-375
Persistent link: https://www.econbiz.de/10011515664
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Optimal investment and consumption in a continuous-time co-integration model
Shen, Yang; Siu, Tak Kuen - In: IMA journal of management mathematics 28 (2017) 4, pp. 501-530
Persistent link: https://www.econbiz.de/10011845245
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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
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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