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Optimal pairs trading with dynamic mean-variance objective
Zhu, Dong-Mei; Gu, Jia-Wen; Yu, Feng-Hui; Siu, Tak Kuen; … - In: Mathematical methods of operations research : ZOR 94 (2021) 1, pp. 145-168
Persistent link: https://www.econbiz.de/10012618990
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Modeling credit risk with hidden Markov default intensity
Yu, Feng-Hui; Lu, Jiejun; Gu, Jia-Wen; Ching, Wai Ki - In: Computational economics 54 (2019) 3, pp. 1213-1229
Persistent link: https://www.econbiz.de/10012134519
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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
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Impact of secondary market on consumer return policies and supply chain coordination
Huang, Ximin; Gu, Jia-wen; Ching, Wai Ki; Siu, Tak-kuen - In: Omega : the international journal of management science 45 (2014), pp. 57-70
Persistent link: https://www.econbiz.de/10010258686
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On reduced-form intensity-based model with "trigger" events
Gu, Jia-wen; Ching, Wai Ki; Siu, Tak Kuen; Zheng, Henry - In: Journal of the Operational Research Society : OR 65 (2014) 3, pp. 331-339
Persistent link: https://www.econbiz.de/10010251709
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On modeling credit defaults : a probabilistic Boolean network approach
Gu, Jia-wen; Ching, Wai Ki; Siu, Tak Kuen; Zheng, Harry - In: Risk and decision analysis 4 (2013) 2, pp. 119-129
Persistent link: https://www.econbiz.de/10009782545
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Adaptive online portfolio selection with transaction costs
Guo, Sini; Gu, Jia-Wen; Ching, Wai Ki - In: European journal of operational research : EJOR 295 (2021) 3, pp. 1074-1086
Persistent link: https://www.econbiz.de/10012622437
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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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Market-making strategy with asymmetric information and regime-switching
Yang, Qing-Qing; Ching, Wai Ki; Gu, Jia-Wen; Siu, Tak Kuen - In: Journal of economic dynamics & control 90 (2018), pp. 408-433
Persistent link: https://www.econbiz.de/10011974101
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On modeling economic default time : a reduced-form model approach
Gu, Jia-Wen; Jiang, Bo; Ching, Wai Ki; Zheng, Harry - In: Computational economics 47 (2016) 2, pp. 157-177
Persistent link: https://www.econbiz.de/10011712314