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Siu, Tak Kuen
38
Elliott, Robert J.
27
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8
Lau, John W.
7
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6
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5
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Insurance / Mathematics & economics
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ECONIS (ZBW)
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Viterbi-Based Estimation for Markov Switching GARCH Model
Elliott, Robert J.
;
Lau, John W.
;
Miao, Hong
;
Kuen Siu, Tak
- In:
Applied mathematical finance
19
(
2012
)
3
,
pp. 219-232
Persistent link: https://www.econbiz.de/10009983142
Saved in:
2
Pricing currency options under two-factor Markov-modulated stochastic volatility models
Siu, Tak Kuen
;
Yang, Hailiang
;
Lau, John W.
- In:
Insurance / Mathematics & economics
43
(
2008
)
3
,
pp. 295-302
Persistent link: https://www.econbiz.de/10008149219
Saved in:
3
On option pricing under a completely random measure via a generalized Esscher transform
Lau, John W.
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
43
(
2008
)
1
,
pp. 99-107
Persistent link: https://www.econbiz.de/10008082358
Saved in:
4
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
Saved in:
5
On option pricing under a completely random measure via a generalized Esscher transform
Lau, John W.
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
43
(
2008
)
1
,
pp. 99-108
Persistent link: https://www.econbiz.de/10008883789
Saved in:
6
Pricing currency options under two-factor Markov-modulated stochastic volatility models
Siu, Tak Kuen
;
Yang, Hailiang
;
Lau, John W.
- In:
Insurance / Mathematics & economics
43
(
2008
)
3
,
pp. 295-303
Persistent link: https://www.econbiz.de/10008893165
Saved in:
7
A model for energy pricing with stochastic emission costs
Elliott, Robert J.
;
Lyle, Matthew R.
;
Miao, Hong
- In:
Energy economics
32
(
2010
)
4
,
pp. 838-848
Persistent link: https://www.econbiz.de/10008422675
Saved in:
8
Esscher transforms and consumption-based models
Badescu, Alex
;
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
45
(
2009
)
3
,
pp. 337-347
Persistent link: https://www.econbiz.de/10008332292
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9
Double dividend, dynamic Laffer effects and public abatement
Elliott, Robert J.
;
Siu, Tak Kuen
;
Badescu, Alex
- In:
Economic modelling
27
(
2010
)
3
,
pp. 656-666
Persistent link: https://www.econbiz.de/10008389788
Saved in:
10
Moment calculations for piecewise-defined functions: an application to stochastic optimization with coherent risk measures
Elliott, Robert J.
;
Siu, Tak Kuen
-
2010
Persistent link: https://www.econbiz.de/10008393895
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