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Option pricing when the regime-switching risk is priced
Siu, Tak Kuen; Yang, Hailiang; Lau, John W. - 2007
Persistent link: https://www.econbiz.de/10003647140
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Optimal dividends with debts and nonlinear insurance risk processes
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 110-121
Persistent link: https://www.econbiz.de/10009785414
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Stochastic processes, finance and control : a Festschrift in honor of Robert J. Elliott
Cohen, Samuel N. (ed.); Madan, Dilip B. (ed.);  … - 2012
This title consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering--
Persistent link: https://www.econbiz.de/10012658655
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Singular dividend optimization for a linear diffusion model with time-inconsistent preferences
Zhu, Jinxia; Siu, Tak Kuen; Yang, Hailiang - In: European journal of operational research : EJOR 285 (2020) 1, pp. 66-80
Persistent link: https://www.econbiz.de/10012239478
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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/10003691910
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Viterbi-based estimation for Markov switching GARCH model
Elliott, Robert J.; Lau, John W.; Miao, Hong; Siu, Tak Kuen - In: Applied mathematical finance 19 (2012) 3/4, pp. 219-231
Persistent link: https://www.econbiz.de/10009710984
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A hidden Markov regime-switching smooth transition model
Elliott, Robert J.; Siu, Tak Kuen; Lau, John W. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 4, pp. 1-21
Persistent link: https://www.econbiz.de/10011965140
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A BSDE approach to risk-based asset allocation of pension funds with regime switching
Siu, Tak Kuen - 2012
Persistent link: https://www.econbiz.de/10009710207
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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
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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