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Option valuation with a discrete-time double Markovian regime-switching model

Siu, Tak Kuen; Fung, Eric S.; Ng, Michael K. - In: Applied mathematical finance 18 (2011) 5/6, pp. 473-490

Persistent link: https://www.econbiz.de/10009422572

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

Trading strategy with stochastic volatility in a limit order book market

Yang, Qing-Qing; Ching, Wai Ki; Gu, Jiawen; Siu, Tak Kuen - In: Decisions in economics and finance : a journal of … 43 (2020) 1, pp. 277-301

Persistent link: https://www.econbiz.de/10012285400

Robust reinsurance contracts with risk constraint

Wang, Ning; Siu, Tak Kuen - In: Scandinavian actuarial journal 2020 (2020) 5, pp. 419-453

Persistent link: https://www.econbiz.de/10012262748

Optimal reinsurance policies with two reinsurers in continuous time

Meng, Hui; Zhou, Ming; Siu, Tak Kuen - In: Economic modelling 59 (2016), pp. 182-195

Persistent link: https://www.econbiz.de/10011647797

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

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