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Optimal investment and consumption in a continuous-time co-integration model

Shen, Yang; Siu, Tak Kuen - In: IMA journal of management mathematics 28 (2017) 4, pp. 501-530

Persistent link: https://www.econbiz.de/10011845245

A risk-based approach for asset allocation with a defaultable share

Shen, Yang; Siu, Tak Kuen - In: Risks : open access journal 6 (2018) 1, pp. 1-27

This paper presents a novel risk-based approach for an optimal asset allocation problem with default risk, where a money market account, an ordinary share and a defaultable security are investment opportunities in a general non-Markovian economy incorporating random market parameters. The...

Persistent link: https://www.econbiz.de/10011811551

Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model

Zhu, Dong-Mei; Lu, Jiejun; Ching, Wai Ki; Siu, Tak Kuen - In: Economic modelling 66 (2017), pp. 223-232

Persistent link: https://www.econbiz.de/10011813727

Pricing dynamic fund protection under hidden Markov models

Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming - In: IMA journal of management mathematics 29 (2018) 1, pp. 99-117

Persistent link: https://www.econbiz.de/10011858973

Hedging options in a doubly Markov-modulated financial market via stochastic flows

Siu, Tak Kuen; Elliott, Robert J. - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-41

Persistent link: https://www.econbiz.de/10012183224

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

Option pricing under a stochastic interest rate and volatility model with hidden Markovian regime-switching

Zhu, Dong-Mei; Lu, Jiejun; Ching, Wai Ki; Siu, Tak Kuen - In: Computational economics 53 (2019) 2, pp. 555-586

Persistent link: https://www.econbiz.de/10012134818

A higher-order interactive hidden Markov model and its applications

Zhu, Dong-Mei; Ching, Wai Ki; Elliott, Robert J.; Siu, … - In: OR spectrum : quantitative approaches in management 39 (2017) 4, pp. 1055-1069

Persistent link: https://www.econbiz.de/10011777086

On the market-consistent valuation of fish farms : using the real option approach and salmon futures

Ewald, Christian-Oliver; Ouyang, Ruolan; Siu, Tak Kuen - In: American journal of agricultural economics 99 (2017) 1, pp. 207-224

Persistent link: https://www.econbiz.de/10011761182

Pricing strategy for a two-echelon supply chain with optimized return effort level

Xie, Yue; Tai, Allen H.; Ching, Wai Ki; Siu, Tak Kuen - In: International journal of production economics 182 (2016), pp. 185-195

Persistent link: https://www.econbiz.de/10011621941