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Asset allocation under stochastic interest rate with regime switching
Shen, Yang; Siu, Tak Kuen - In: Economic modelling 29 (2012) 4, pp. 1126-1137
Persistent link: https://www.econbiz.de/10009979288
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Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
Shen, Yang; Siu, Tak Kuen - In: Operations research letters 41 (2013) 2, pp. 180-187
Persistent link: https://www.econbiz.de/10010083875
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Longevity bond pricing under stochastic interest rate and mortality with regime-switching
Shen, Yang; Siu, Tak Kuen - In: Insurance / Mathematics & economics 52 (2013) 1, pp. 114-123
Persistent link: https://www.econbiz.de/10010062198
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Pricing bond options under a Markovian regime-switching Hull–White model
Shen, Yang; Siu, Tak Kuen - In: Economic modelling 30 (2013), pp. 933-940
Persistent link: https://www.econbiz.de/10010062328
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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
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Fair valuation of participating policies with surrender options and regime switching
Siu, Tak Kuen - In: Insurance / Mathematics & economics 37 (2005) 3, pp. 533-552
Persistent link: https://www.econbiz.de/10006874110
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Subjective risk measures: Bayesian predictive scenarios analysis
Siu, Tak Kuen; Yang, Hailiang - In: Insurance / Mathematics & economics 25 (1999) 2, pp. 157-170
Persistent link: https://www.econbiz.de/10006910268
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On Markov-modulated Exponential-affine Bond Price Formulae
Elliott, Robert; Siu, Tak Kuen - In: Applied mathematical finance 16 (2009) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10008211952
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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
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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