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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

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

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

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

Markov Chains : Models, Algorithms and Applications

Ching, Wai-Ki - 2013 - 2nd ed. 2013

Introduction -- Manufacturing and Re-manufacturing Systems -- A Hidden Markov Model for Customer Classification -- Markov Decision Processes for Customer Lifetime Value -- Higher-order Markov Chains -- Multivariate Markov Chains -- Hidden Markov Chains

Persistent link: https://www.econbiz.de/10014016579

Dynamic fund protection for property markets

Siu, Tak Kuen; Nguyen, Ha; Wang, Ning - In: North American actuarial journal : NAAJ ; leading the … 26 (2022) 3, pp. 383-402

Persistent link: https://www.econbiz.de/10013353174

Regime switching optimal growth model with risk sensitive preferences

Goswami, Anindya; Rana, Nimit; Siu, Tak Kuen - In: Journal of mathematical economics 101 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013539016

Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting

Wang, Yike; Liu, Jingzhen; Siu, Tak Kuen - In: Finance and stochastics 28 (2024) 1, pp. 161-214

Persistent link: https://www.econbiz.de/10014447662

Life-cycle model with subsistence consumption constraint and state-dependent utilities

Wang, Hao; Siu, Tak Kuen; Hu, Shujie; Wang, Ning - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10014581025

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