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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
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European option pricing with market frictions, regime switches and model uncertainty
Siu, Tak Kuen - In: Insurance / Mathematics & economics 113 (2023), pp. 233-250
Persistent link: https://www.econbiz.de/10014466214
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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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On Markov-modulated exponential-affine bond price formulae
Elliott, Robert J.; Siu, Tak Kuen - In: Applied mathematical finance 16 (2009) 1/2, pp. 1-15
Persistent link: https://www.econbiz.de/10003847135
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Improving revenue management : a real option approach
Ching, Wai Ki; Li, Xun; Siu, Tak Kuen; Wu, Zhenyu - In: Innovative quick response programs in logistics and …, (pp. 122-139). 2010
Persistent link: https://www.econbiz.de/10003951779
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A mixture price trend model for long-term risk management
Fung, Eric S.; Ching, Wai Ki; Siu, Tak Kuen - In: Business intelligence in economic forecasting : …, (pp. 157-173). 2010
Persistent link: https://www.econbiz.de/10003994046
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On mean-variance portfolio selection under a hidden Markovian regime-switching model
Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alex - In: Economic modelling 27 (2010) 3, pp. 678-686
Persistent link: https://www.econbiz.de/10003995557
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A hidden Markov regime-switching model for option valuation
Liew, Chuin Ching; Siu, Tak Kuen - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 374-384
Persistent link: https://www.econbiz.de/10008747009