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ECONIS (ZBW)
24
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1
Pricing volatility swaps under Heston's stochastic volatility model with regime switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
Applied mathematical finance
14
(
2007
)
1
,
pp. 41-62
Persistent link: https://www.econbiz.de/10003542938
Saved in:
2
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
Saved in:
3
A Dupire equation for a regime-switching model
Elliott, Robert J.
;
Chan, Leunglung
;
Siu, Tak Kuen
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-13
Persistent link: https://www.econbiz.de/10011403770
Saved in:
4
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:
5
Bitcoin option pricing with a SETAR-GARCH model
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The European journal of finance
27
(
2021
)
6
,
pp. 564-595
Persistent link: https://www.econbiz.de/10012484403
Saved in:
6
The Heath-Jarrow-Morton model with regime shifts and jumps priced
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 45-59)
.
2018
Persistent link: https://www.econbiz.de/10012011578
Saved in:
7
The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights
Siu, Tak Kuen
- In:
Applied economics
53
(
2021
)
17
,
pp. 1991-2014
Persistent link: https://www.econbiz.de/10012500918
Saved in:
8
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:
9
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/10009727702
Saved in:
10
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/10009710001
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