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Author ID: siu.tak-kuen Recent zbMATH articles by "Siu, Tak Kuen"
Published as: Siu, Tak Kuen; Siu, Tak-Kuen; Siu, T. K.; Siu, Takkuen
Further Spellings: Siu, Ken
Homepage: https://researchers.mq.edu.au/en/persons/ken-siu
External Links: ORCID · dblp
Documents Indexed: 172 Publications since 1977, including 1 Book
1 Contribution as Editor
Reviewing Activity: 43 Reviews
Co-Authors: 73 Co-Authors with 155 Joint Publications
1,752 Co-Co-Authors
all top 5

Serials

15 Insurance Mathematics & Economics
9 Quantitative Finance
9 Journal of Industrial and Management Optimization
8 Stochastic Analysis and Applications
7 Applied Mathematical Finance
6 International Journal of Theoretical and Applied Finance
6 North American Actuarial Journal
5 Scandinavian Actuarial Journal
5 IMA Journal of Management Mathematics
4 Applied Mathematics and Computation
4 Computational Economics
4 Asia-Pacific Financial Markets
4 International Journal of Stochastic Analysis
4 Annals of Finance
3 Computers & Mathematics with Applications
3 Automatica
3 Journal of Computational and Applied Mathematics
3 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
3 SIAM Journal on Control and Optimization
3 Communications on Stochastic Analysis
3 Risk and Decision Analysis
2 International Journal of Control
2 IEEE Transactions on Automatic Control
2 Journal of Applied Probability
2 Systems & Control Letters
2 Operations Research Letters
2 Journal of Economic Dynamics & Control
2 Mathematical and Computer Modelling
2 Annals of Operations Research
2 Communications in Statistics. Theory and Methods
2 European Journal of Operational Research
2 Mathematical Methods of Operations Research
2 Methodology and Computing in Applied Probability
2 Applied Stochastic Models in Business and Industry
2 Discrete and Continuous Dynamical Systems. Series B
2 East Asian Journal on Applied Mathematics
1 IMA Journal of Applied Mathematics
1 International Journal of Systems Science
1 Journal of Engineering Mathematics
1 Journal of Mathematical Analysis and Applications
1 Information Sciences
1 Journal of Time Series Analysis
1 Acta Mathematicae Applicatae Sinica. English Series
1 Applied Mathematics Letters
1 Journal of Applied Mathematics and Stochastic Analysis
1 Journal of Dynamic Systems, Measurement and Control
1 International Journal of Robust and Nonlinear Control
1 Nonlinear Dynamics
1 Abstract and Applied Analysis
1 Journal of Applied Mathematics and Decision Sciences
1 Acta Mathematica Sinica. English Series
1 Probability in the Engineering and Informational Sciences
1 Decisions in Economics and Finance
1 Stochastic Models
1 OR Spectrum
1 International Journal of Pure and Applied Mathematics
1 ASTIN Bulletin
1 Communications in Mathematical Sciences
1 International Journal of Information & Systems Sciences
1 International Series in Operations Research & Management Science
1 Applied Mathematical Sciences (Ruse)
1 Numerical Mathematics: Theory, Methods and Applications
1 Mathematical Control and Related Fields
1 Advances in Statistics, Probability and Actuarial Science

Publications by Year

Citations contained in zbMATH Open

142 Publications have been cited 1,417 times in 723 Documents Cited by Year
Option pricing and Esscher transform under regime switching. Zbl 1233.91270
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen
173
2005
Optimal investment and reinsurance of an insurer with model uncertainty. Zbl 1231.91257
Zhang, Xin; Siu, Tak Kuen
55
2009
Pricing volatility swaps under Heston’s stochastic volatility model with regime switching. Zbl 1281.91161
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung
49
2007
Pricing options under a generalized Markov-modulated jump-diffusion model. Zbl 1155.91380
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung; Lau, John W.
47
2007
Fair valuation of participating policies with surrender options and regime switching. Zbl 1129.60062
Siu, Tak Kuen
44
2005
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy. Zbl 1233.91242
Elliott, Robert J.; Siu, Tak Kuen
40
2010
On Markov-modulated exponential-affine bond price formulae. Zbl 1169.91342
Elliott, Robert J.; Siu, Tak Kuen
36
2009
A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance. Zbl 1244.93180
Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen
36
2012
Pricing currency options under two-factor Markov-modulated stochastic volatility models. Zbl 1152.91550
Siu, Tak Kuen; Yang, Hailiang; Lau, John W.
30
2008
The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem. Zbl 1279.49015
Shen, Yang; Siu, Tak Kuen
30
2013
A stochastic differential game for optimal investment of an insurer with regime switching. Zbl 1232.91346
Elliott, Robert J.; Siu, Tak Kuen
29
2011
Stochastic differential portfolio games for an insurer in a jump-diffusion risk process. Zbl 1276.91095
Lin, Xiang; Zhang, Chunhong; Siu, Tak Kuen
27
2012
Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows. Zbl 1194.91088
Siu, Tak Kuen
25
2010
On pricing derivatives under GARCH models: a dynamic Gerber-Shiu approach. Zbl 1085.91531
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang
25
2004
Optimal portfolios with regime switching and value-at-risk constraint. Zbl 1189.91199
Yiu, Ka-Fai Cedric; Liu, Jingzhen; Siu, Tak Kuen; Ching, Wai-Ki
23
2010
On pricing and hedging options in regime-switching models with feedback effect. Zbl 1209.91156
Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alexandru
23
2011
Pricing participating products under a generalized jump-diffusion model. Zbl 1141.91386
Siu, Tak Kuen; Lau, John W.; Yang, Hailiang
21
2008
Optimal mixed impulse-equity insurance control problem with reinsurance. Zbl 1229.91164
Meng, Hui; Siu, Tak Kuen
20
2011
A BSDE approach to a risk-based optimal investment of an insurer. Zbl 1213.60100
Elliott, Robert J.; Siu, Tak Kuen
19
2011
Robust optimal portfolio choice under Markovian regime-switching model. Zbl 1162.91372
Elliott, Robert J.; Siu, Tak Kuen
18
2009
Pricing annuity guarantees under a double regime-switching model. Zbl 1318.91111
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming
17
2015
On optimal proportional reinsurance and investment in a Markovian regime-switching economy. Zbl 1258.91115
Zhang, Xin; Siu, Tak Kuen
17
2012
Mean-variance portfolio selection under a constant elasticity of variance model. Zbl 1408.91203
Shen, Yang; Zhang, Xin; Siu, Tak Kuen
17
2014
Option pricing and filtering with hidden Markov-modulated pure-jump processes. Zbl 1457.91372
Elliott, Robert J.; Siu, Tak Kuen
17
2013
A game theoretic approach to option valuation under Markovian regime-switching models. Zbl 1141.91344
Siu, Tak Kuen
16
2008
Longevity bond pricing under stochastic interest rate and mortality with regime-switching. Zbl 1291.91212
Shen, Yang; Siu, Tak Kuen
15
2013
A BSDE approach to risk-based asset allocation of pension funds with regime switching. Zbl 1260.91233
Siu, Tak Kuen
15
2012
Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching. Zbl 1264.91129
Shen, Yang; Siu, Tak Kuen
15
2013
Portfolio selection in the enlarged Markovian regime-switching market. Zbl 1202.91308
Zhang, Xin; Siu, Tak Kuen; Meng, Qingbin
14
2010
Bayesian risk measures for derivatives via random Esscher transform. Zbl 1083.62544
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang
14
2001
Optimal dividends with debts and nonlinear insurance risk processes. Zbl 1284.91564
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang
13
2013
On pricing barrier options with regime switching. Zbl 1350.91016
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung
13
2014
An HMM approach for optimal investment of an insurer. Zbl 1276.93084
Elliott, Robert J.; Siu, Tak Kuen
12
2012
A PDE approach for risk measures for derivatives with regime switching. Zbl 1233.91271
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung
12
2008
Long-term strategic asset allocation with inflation risk and regime switching. Zbl 1258.91206
Siu, Tak Kuen
12
2011
A BSDE approach to optimal investment of an insurer with hidden regime switching. Zbl 1267.91087
Siu, Tak Kuen
12
2013
Option pricing when the regime-switching risk is priced. Zbl 1188.91222
Siu, Tak Kuen; Yang, Hailiang
12
2009
Pricing and hedging contingent claims with regime switching risk. Zbl 1216.91032
Elliott, Robert J.; Siu, Tak Kuen
10
2011
Optimal investment-reinsurance with dynamic risk constraint and regime switching. Zbl 1280.91093
Liu, Jingzhen; Yiu, Ka-Fai Cedric; Siu, Tak Kuen; Ching, Wai-Ki
10
2013
Regime-switching risk: to price or not to price? Zbl 1230.91203
Siu, Tak Kuen
10
2011
A hidden Markov regime-switching model for option valuation. Zbl 1231.91443
Liew, Chuin Ching; Siu, Tak Kuen
10
2010
Coherent risk measures for derivatives under Black–Scholes economy. Zbl 1153.91606
Yang, H.; Siu, T. K.
9
2001
On a multivariate Markov chain model for credit risk measurement. Zbl 1134.91485
Siu, Tak-Kuen; Ching, Wai-Ki; Fung, S. Eric; Ng, Michael K.
9
2005
Option pricing for GARCH models with Markov switching. Zbl 1138.91437
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung
9
2006
Esscher transforms and consumption-based models. Zbl 1231.91423
Badescu, Alex; Elliott, Robert J.; Siu, Tak Kuen
8
2009
A stochastic flows approach for asset allocation with hidden economic environment. Zbl 1346.60104
Siu, Tak Kuen
7
2015
Optimal insurance risk control with multiple reinsurers. Zbl 1339.93124
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang
7
2016
Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model. Zbl 1290.60066
Shen, Yang; Siu, Tak Kuen
7
2013
A PDE approach to risk measures of derivatives. Zbl 1013.91060
Siu, Tak Kuen; Yang, Hailiang
7
2000
Filtering a Markov modulated random measure. Zbl 1368.93711
Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang
7
2010
Optimal dividend-reinsurance with two types of premium principles. Zbl 1414.91220
Meng, Hui; Zhou, Ming; Siu, Tak Kuen
7
2016
Impulse control of proportional reinsurance with constraints. Zbl 1229.91165
Meng, Hui; Siu, Tak Kuen
6
2011
Optimal portfolio in a continuous-time self-exciting threshold model. Zbl 1274.91389
Meng, Hui; Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang
6
2013
On pricing basket credit default swaps. Zbl 1282.91328
Gu, Jia-Wen; Ching, Wai-Ki; Siu, Tak-Kuen; Zheng, Harry
6
2013
Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach. Zbl 1290.91179
Fard, Farzad Alavi; Siu, Tak Kuen
6
2013
Option pricing under threshold autoregressive models by threshold Esscher transform. Zbl 1135.91362
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang
6
2006
Markov chains. Models, algorithms and applications. 2nd ed. Zbl 1270.60001
Ching, Wai-Ki; Huang, Ximin; Ng, Michael K.; Siu, Tak-Kuen
6
2013
A hidden Markov-modulated jump diffusion model for European option pricing. Zbl 1418.91539
Siu, Tak Kuen
6
2014
Martingale representation for contingent claims with regime switching. Zbl 1328.91291
Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang
6
2007
Functional Itô’s calculus and dynamic convex risk measures for derivative securities. Zbl 1331.91183
Siu, Tak Kuen
6
2012
Ruin theory in a hidden Markov-modulated risk model. Zbl 1237.91127
Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang
6
2011
A high-order Markov-switching model for risk measurement. Zbl 1189.91084
Siu, T. K.; Ching, W. K.; Fung, E.; Ng, M.; Li, X.
5
2009
On Bayesian mixture credibility. Zbl 1162.91422
Lau, John W.; Siu, Tak Kuen; Yang, Hailiang
5
2006
Risk measures for derivatives with Markov-modulated pure jump processes. Zbl 1283.91173
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen
5
2006
Pricing exotic options under a high-order Markovian regime switching model. Zbl 1170.91372
Ching, Wai-Ki; Siu, Tak-Kuen; Li, Li-Min
5
2007
A Markov regime-switching marked point process for short-rate analysis with credit risk. Zbl 1203.91304
Siu, Tak Kuen
5
2010
Backward stochastic difference equations for dynamic convex risk measures on a binomial tree. Zbl 1390.91333
Elliott, Robert J.; Siu, Tak Kuen; Cohen, Samuel N.
5
2015
A self-exciting threshold jump-diffusion model for option valuation. Zbl 1369.91185
Siu, Tak Kuen
5
2016
A Dupire equation for a regime-switching model. Zbl 1337.91095
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen
5
2015
Portfolio risk minimization and differential games. Zbl 1239.91145
Elliott, Robert J.; Siu, Tak Kuen
5
2009
Subjective risk measures: Bayesian predictive scenarios analysis. Zbl 0954.62125
Siu, Tak Kuen; Yang, Hailiang
5
1999
Pricing and managing risks of European-style options in a Markovian regime-switching binomial model. Zbl 1298.91163
Fard, Farzad Alavi; Siu, Tak Kuen
5
2013
Risk-based indifference pricing under a stochastic volatility model. Zbl 1331.91175
Elliott, Robert J.; Siu, Tak Kuen
5
2010
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions. Zbl 1282.91116
Badescu, Alexandru; Elliott, Robert J.; Kulperger, Reg; Miettinen, Jarkko; Siu, Tak Kuen
5
2011
Modelling long-term investment returns via Bayesian infinite mixture time series models. Zbl 1224.91068
Lau, John W.; Siu, Tak Kuen
4
2008
A risk-based approach for pricing American options under a generalized Markov regime-switching model. Zbl 1277.91169
Elliott, Robert J.; Siu, Tak Kuen
4
2011
A functional Itô’s calculus approach to convex risk measures with jump diffusion. Zbl 1346.91272
Siu, Tak Kuen
4
2016
Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model. Zbl 1414.91389
Siu, Tak Kuen; Shen, Yang
4
2017
Option valuation under a regime-switching constant elasticity of variance process. Zbl 1422.91691
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen
4
2013
On modeling credit defaults: a probabilistic Boolean network approach. Zbl 1294.91182
Gu, Jia-Wen; Ching, Wai-Ki; Siu, Tak-Kuen; Zheng, Harry
4
2013
Option valuation by a self-exciting threshold binomial model. Zbl 1297.91139
Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang
4
2013
Extracting information from spot interest rates and credit ratings using double higher-order hidden Markov models. Zbl 1122.91365
Siu, Tak-Kuen; Ching, Wai-Ki; Fung, Eric S.; Ng, Michael K.
4
2005
Pricing dynamic fund protection under hidden Markov models. Zbl 1473.91014
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming
4
2018
Asset pricing using trading volumes in a hidden regime-switching environment. Zbl 1368.91170
Elliott, Robert J.; Siu, Tak Kuen
4
2015
An FFT approach for option pricing under a regime-switching stochastic interest rate model. Zbl 1369.91178
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming
4
2017
Optimal investment of an insurer with regime-switching and risk constraint. Zbl 1401.91169
Liu, Jingzhen; Yiu, Ka-Fai Cedric; Siu, Tak Kuen
4
2014
Robust reinsurance contracts with risk constraint. Zbl 1447.91151
Wang, Ning; Siu, Tak Kuen
4
2020
Can expected shortfall and value-at-risk be used to statically hedge options? Zbl 1194.91199
Jonathan J.; Zhang, Qiang; Siu, Tak Kuen
3
2010
Interactive hidden Markov models and their applications. Zbl 1123.62087
Ching, W. K.; Fung, E.; Ng, M.; Siu, T. K.; Li, W. K.
3
2007
On option pricing under a completely random measure via a generalized Esscher transform. Zbl 1140.91400
Lau, John W.; Siu, Tak Kuen
3
2008
A BSDE approach to convex risk measures for derivative securities. Zbl 1254.91723
Elliott, Robert J.; Siu, Tak Kuen
3
2012
Reflected backward stochastic differential equations, convex risk measures and American options. Zbl 1343.60093
Elliott, Robert J.; Siu, Tak Kuen
3
2013
On optimal cash management under a stochastic volatility model. Zbl 1284.91565
Song, Na; Ching, Wai-Ki; Siu, Tak-Kuen; Yiu, Cedric Ka-Fai
3
2013
Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model. Zbl 1362.93168
Shen, Yang; Siu, Tak Kuen
3
2017
Credit portfolio management using two-level particle swarm optimization. Zbl 1321.91110
Lu, Fu-Qiang; Huang, Min; Ching, Wai-Ki; Siu, Tak Kuen
3
2013
Characteristic functions and option valuation in a Markov chain market. Zbl 1228.91069
Elliott, Robert J.; Liew, Chuin Ching; Siu, Tak Kuen
3
2011
On filtering and estimation of a threshold stochastic volatility model. Zbl 1231.91486
Elliott, Robert J.; Liew, Chuin Ching; Siu, Tak Kuen
3
2011
Option valuation with a discrete-time double Markovian regime-switching model. Zbl 1239.91167
Siu, Tak Kuen; Fung, Eric S.; Ng, Michael K.
3
2011
Attainable contingent claims in a Markovian regime-switching market. Zbl 1260.91246
Elliott, Robert J.; Siu, Tak Kuen
3
2012
Malliavin differentiability of a class of Feller-diffusions with relevance in finance. Zbl 1277.60100
Ewald, Christian-Oliver; Xiao, Yajun; Zou, Yang; Siu, Tak Kuen
3
2012
Robust reinsurance contracts with risk constraint. Zbl 1447.91151
Wang, Ning; Siu, Tak Kuen
4
2020
Singular dividend optimization for a linear diffusion model with time-inconsistent preferences. Zbl 1441.91065
Zhu, Jinxia; Siu, Tak Kuen; Yang, Hailiang
3
2020
Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales. Zbl 1415.91295
Yang, Qing-Qing; Ching, Wai-Ki; He, Wanhua; Siu, Tak-Kuen
3
2019
A martingale approach for asset allocation with derivative security and hidden economic risk. Zbl 1425.91408
Siu, Tak Kuen; Zhu, Jinxia; Yang, Hailiang
2
2019
Hedging options in a doubly Markov-modulated financial market via stochastic flows. Zbl 1431.91404
Siu, Tak Kuen; Elliott, Robert J.
2
2019
Pricing dynamic fund protection under hidden Markov models. Zbl 1473.91014
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming
4
2018
A note on regime-switching Kolmogorov’s forward and backward equations using stochastic flows. Zbl 1392.60060
Elliott, Robert J.; Siu, Tak Kuen
2
2018
Market-making strategy with asymmetric information and regime-switching. Zbl 1401.91600
Yang, Qing-Qing; Ching, Wai-Ki; Gu, Jia-Wen; Siu, Tak-Kuen
2
2018
Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model. Zbl 1414.91389
Siu, Tak Kuen; Shen, Yang
4
2017
An FFT approach for option pricing under a regime-switching stochastic interest rate model. Zbl 1369.91178
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming
4
2017
Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model. Zbl 1362.93168
Shen, Yang; Siu, Tak Kuen
3
2017
Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations. Zbl 1409.62212
Elliott, Robert J.; Siu, Tak Kuen
2
2017
A real option approach for investment opportunity valuation. Zbl 1361.91061
Song, Na; Xie, Yue; Ching, Wai-Ki; Siu, Tak-Kuen
2
2017
A note on optimal insurance risk control with multiple reinsurers. Zbl 1357.93105
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang
1
2017
A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach. Zbl 1360.62464
Wong, Shiu Fung; Tong, Howell; Siu, Tak Kuen; Lu, Zudi
1
2017
Hidden Markov models with threshold effects and their applications to oil price forecasting. Zbl 1364.90352
Zhu, Dong-Mei; Ching, Wai-Ki; Elliott, Robert J.; Siu, Tak-Kuen; Zhang, Lianmin
1
2017
Impact of reorder option in supply chain coordination. Zbl 1364.90030
Song, Na; Huang, Ximin; Xie, Yue; Ching, Wai-Ki; Siu, Tak-Kuen
1
2017
A higher-order interactive hidden Markov model and its applications. Zbl 1396.60082
Zhu, Dong-Mei; Ching, Wai-Ki; Elliott, Robert J.; Siu, Tak-Kuen; Zhang, Lianmin
1
2017
Optimal insurance risk control with multiple reinsurers. Zbl 1339.93124
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang
7
2016
Optimal dividend-reinsurance with two types of premium principles. Zbl 1414.91220
Meng, Hui; Zhou, Ming; Siu, Tak Kuen
7
2016
A self-exciting threshold jump-diffusion model for option valuation. Zbl 1369.91185
Siu, Tak Kuen
5
2016
A functional Itô’s calculus approach to convex risk measures with jump diffusion. Zbl 1346.91272
Siu, Tak Kuen
4
2016
Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model. Zbl 1348.93285
Zhu, Dong-Mei; Xie, Yue; Ching, Wai-Ki; Siu, Tak-Kuen
2
2016
Pricing options in a Markov regime switching model with a random acceleration for the volatility. Zbl 1418.91509
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen
1
2016
On a Markov chain approximation method for option pricing with regime switching. Zbl 1325.91052
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming
1
2016
Pricing annuity guarantees under a double regime-switching model. Zbl 1318.91111
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming
17
2015
A stochastic flows approach for asset allocation with hidden economic environment. Zbl 1346.60104
Siu, Tak Kuen
7
2015
Backward stochastic difference equations for dynamic convex risk measures on a binomial tree. Zbl 1390.91333
Elliott, Robert J.; Siu, Tak Kuen; Cohen, Samuel N.
5
2015
A Dupire equation for a regime-switching model. Zbl 1337.91095
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen
5
2015
Asset pricing using trading volumes in a hidden regime-switching environment. Zbl 1368.91170
Elliott, Robert J.; Siu, Tak Kuen
4
2015
A note on differentiability in a Markov chain market using stochastic flows. Zbl 1336.91073
Elliott, Robert J.; Siu, Tak Kuen
2
2015
Capital requirements and optimal investment with solvency probability constraints. Zbl 1433.91125
Asimit, Alexandru V.; Badescu, Alexandru M.; Siu, Tak Kuen; Zinchenko, Yuriy
2
2015
Mean-variance portfolio selection under a constant elasticity of variance model. Zbl 1408.91203
Shen, Yang; Zhang, Xin; Siu, Tak Kuen
17
2014
On pricing barrier options with regime switching. Zbl 1350.91016
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung
13
2014
A hidden Markov-modulated jump diffusion model for European option pricing. Zbl 1418.91539
Siu, Tak Kuen
6
2014
Optimal investment of an insurer with regime-switching and risk constraint. Zbl 1401.91169
Liu, Jingzhen; Yiu, Ka-Fai Cedric; Siu, Tak Kuen
4
2014
Risk-based asset allocation under Markov-modulated pure jump processes. Zbl 1291.91197
Meng, Hui; Siu, Tak Kuen
2
2014
Strategic asset allocation under a fractional hidden Markov model. Zbl 1307.91160
Elliott, Robert J.; Siu, Tak Kuen
2
2014
Integration by parts and martingale representation for a Markov chain. Zbl 1469.60244
Siu, Tak Kuen
2
2014
Filtering and change point estimation for hidden Markov-modulated Poisson processes. Zbl 1311.62128
Elliott, Robert J.; Siu, Tak Kuen
1
2014
The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem. Zbl 1279.49015
Shen, Yang; Siu, Tak Kuen
30
2013
Option pricing and filtering with hidden Markov-modulated pure-jump processes. Zbl 1457.91372
Elliott, Robert J.; Siu, Tak Kuen
17
2013
Longevity bond pricing under stochastic interest rate and mortality with regime-switching. Zbl 1291.91212
Shen, Yang; Siu, Tak Kuen
15
2013
Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching. Zbl 1264.91129
Shen, Yang; Siu, Tak Kuen
15
2013
Optimal dividends with debts and nonlinear insurance risk processes. Zbl 1284.91564
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang
13
2013
A BSDE approach to optimal investment of an insurer with hidden regime switching. Zbl 1267.91087
Siu, Tak Kuen
12
2013
Optimal investment-reinsurance with dynamic risk constraint and regime switching. Zbl 1280.91093
Liu, Jingzhen; Yiu, Ka-Fai Cedric; Siu, Tak Kuen; Ching, Wai-Ki
10
2013
Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model. Zbl 1290.60066
Shen, Yang; Siu, Tak Kuen
7
2013
Optimal portfolio in a continuous-time self-exciting threshold model. Zbl 1274.91389
Meng, Hui; Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang
6
2013
On pricing basket credit default swaps. Zbl 1282.91328
Gu, Jia-Wen; Ching, Wai-Ki; Siu, Tak-Kuen; Zheng, Harry
6
2013
Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach. Zbl 1290.91179
Fard, Farzad Alavi; Siu, Tak Kuen
6
2013
Markov chains. Models, algorithms and applications. 2nd ed. Zbl 1270.60001
Ching, Wai-Ki; Huang, Ximin; Ng, Michael K.; Siu, Tak-Kuen
6
2013
Pricing and managing risks of European-style options in a Markovian regime-switching binomial model. Zbl 1298.91163
Fard, Farzad Alavi; Siu, Tak Kuen
5
2013
Option valuation under a regime-switching constant elasticity of variance process. Zbl 1422.91691
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen
4
2013
On modeling credit defaults: a probabilistic Boolean network approach. Zbl 1294.91182
Gu, Jia-Wen; Ching, Wai-Ki; Siu, Tak-Kuen; Zheng, Harry
4
2013
Option valuation by a self-exciting threshold binomial model. Zbl 1297.91139
Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang
4
2013
Reflected backward stochastic differential equations, convex risk measures and American options. Zbl 1343.60093
Elliott, Robert J.; Siu, Tak Kuen
3
2013
On optimal cash management under a stochastic volatility model. Zbl 1284.91565
Song, Na; Ching, Wai-Ki; Siu, Tak-Kuen; Yiu, Cedric Ka-Fai
3
2013
Credit portfolio management using two-level particle swarm optimization. Zbl 1321.91110
Lu, Fu-Qiang; Huang, Min; Ching, Wai-Ki; Siu, Tak Kuen
3
2013
Filtering a double threshold model with regime switching. Zbl 1369.93282
Elliott, Robert J.; Siu, Tak Kuen; Lau, John W.
1
2013
A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance. Zbl 1244.93180
Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen
36
2012
Stochastic differential portfolio games for an insurer in a jump-diffusion risk process. Zbl 1276.91095
Lin, Xiang; Zhang, Chunhong; Siu, Tak Kuen
27
2012
On optimal proportional reinsurance and investment in a Markovian regime-switching economy. Zbl 1258.91115
Zhang, Xin; Siu, Tak Kuen
17
2012
A BSDE approach to risk-based asset allocation of pension funds with regime switching. Zbl 1260.91233
Siu, Tak Kuen
15
2012
An HMM approach for optimal investment of an insurer. Zbl 1276.93084
Elliott, Robert J.; Siu, Tak Kuen
12
2012
Functional Itô’s calculus and dynamic convex risk measures for derivative securities. Zbl 1331.91183
Siu, Tak Kuen
6
2012
A BSDE approach to convex risk measures for derivative securities. Zbl 1254.91723
Elliott, Robert J.; Siu, Tak Kuen
3
2012
Attainable contingent claims in a Markovian regime-switching market. Zbl 1260.91246
Elliott, Robert J.; Siu, Tak Kuen
3
2012
Malliavin differentiability of a class of Feller-diffusions with relevance in finance. Zbl 1277.60100
Ewald, Christian-Oliver; Xiao, Yajun; Zou, Yang; Siu, Tak Kuen
3
2012
Markovian forward-backward stochastic differential equations and stochastic flows. Zbl 1273.60067
Elliott, Robert J.; Siu, Tak Kuen
3
2012
A flexible Markov chain approach for multivariate credit ratings. Zbl 1245.91097
Fung, Eric S.; Siu, Tak Kuen
2
2012
Filtering a nonlinear stochastic volatility model. Zbl 1356.91073
Elliott, Robert J.; Siu, Tak Kuen; Fung, Eric S.
2
2012
Markovian regime-switching market completion using additional Markov jump assets. Zbl 1280.91078
Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen; Guo, Junyi
2
2012
A real option approach to optimal inventory management of retail products. Zbl 1364.90121
Huang, Ximin; Song, Na; Ching, Wai-Ki; Siu, Tak-Kuen; Yiu, Ka-Fai Cedric
2
2012
A Bayesian approach for optimal reinsurance and investment in a diffusion model. Zbl 1276.91065
Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen
1
2012
Asset allocation under threshold autoregressive models. Zbl 1286.91127
Song, Na; Siu, Tak Kuen; Ching, Wa-Ki; Tong, Howell; Yang, Hailiang
1
2012
Viterbi-based estimation for Markov switching GARCH model. Zbl 1372.91117
Elliott, Robert J.; Lau, John W.; Miao, Hong; Siu, Tak Kuen
1
2012
A stochastic differential game for optimal investment of an insurer with regime switching. Zbl 1232.91346
Elliott, Robert J.; Siu, Tak Kuen
29
2011
On pricing and hedging options in regime-switching models with feedback effect. Zbl 1209.91156
Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alexandru
23
2011
Optimal mixed impulse-equity insurance control problem with reinsurance. Zbl 1229.91164
Meng, Hui; Siu, Tak Kuen
20
2011
A BSDE approach to a risk-based optimal investment of an insurer. Zbl 1213.60100
Elliott, Robert J.; Siu, Tak Kuen
19
2011
Long-term strategic asset allocation with inflation risk and regime switching. Zbl 1258.91206
Siu, Tak Kuen
12
2011
Pricing and hedging contingent claims with regime switching risk. Zbl 1216.91032
Elliott, Robert J.; Siu, Tak Kuen
10
2011
Regime-switching risk: to price or not to price? Zbl 1230.91203
Siu, Tak Kuen
10
2011
Impulse control of proportional reinsurance with constraints. Zbl 1229.91165
Meng, Hui; Siu, Tak Kuen
6
2011
Ruin theory in a hidden Markov-modulated risk model. Zbl 1237.91127
Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang
6
2011
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions. Zbl 1282.91116
Badescu, Alexandru; Elliott, Robert J.; Kulperger, Reg; Miettinen, Jarkko; Siu, Tak Kuen
5
2011
A risk-based approach for pricing American options under a generalized Markov regime-switching model. Zbl 1277.91169
Elliott, Robert J.; Siu, Tak Kuen
4
2011
Characteristic functions and option valuation in a Markov chain market. Zbl 1228.91069
Elliott, Robert J.; Liew, Chuin Ching; Siu, Tak Kuen
3
2011
On filtering and estimation of a threshold stochastic volatility model. Zbl 1231.91486
Elliott, Robert J.; Liew, Chuin Ching; Siu, Tak Kuen
3
2011
Option valuation with a discrete-time double Markovian regime-switching model. Zbl 1239.91167
Siu, Tak Kuen; Fung, Eric S.; Ng, Michael K.
3
2011
Utility-based indifference pricing in regime-switching models. Zbl 1237.91220
Elliott, Robert J.; Siu, Tak Kuen
3
2011
Martingale representation and admissible portfolio process with regime switching. Zbl 1232.91629
Liew, Chuin Ching; Siu, Tak Kuen
2
2011
Default times in a continuous-time Markovian regime switching model. Zbl 1233.91297
Elliott, Robert J.; Siu, Tak Kuen
2
2011
Control of discrete-time HMM partially observed under fractional Gaussian noises. Zbl 1215.93080
Elliott, Robert J.; Siu, Tak Kuen
1
2011
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy. Zbl 1233.91242
Elliott, Robert J.; Siu, Tak Kuen
40
2010
Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows. Zbl 1194.91088
Siu, Tak Kuen
25
2010
Optimal portfolios with regime switching and value-at-risk constraint. Zbl 1189.91199
Yiu, Ka-Fai Cedric; Liu, Jingzhen; Siu, Tak Kuen; Ching, Wai-Ki
23
2010
Portfolio selection in the enlarged Markovian regime-switching market. Zbl 1202.91308
Zhang, Xin; Siu, Tak Kuen; Meng, Qingbin
14
2010
A hidden Markov regime-switching model for option valuation. Zbl 1231.91443
Liew, Chuin Ching; Siu, Tak Kuen
10
2010
...and 42 more Documents
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Cited by 965 Authors

95 Siu, Tak Kuen
42 Elliott, Robert James
27 Shen, Yang
27 Yang, Hailiang
21 Ching, Wai-Ki
17 Jin, Zhuo
17 Yuen, Kam Chuen
16 Dong, Yinghui
15 Wang, Guojing
12 Qian, Linyi
12 Zhu, Songping
11 Chan, Leunglung
10 Chen, Ping
10 Sun, Zhongyang
10 Zeng, Yan
9 Mamon, Rogemar S.
9 Meng, Hui
9 Wang, Rongming
9 Wang, Yongjin
9 Yam, Sheung Chi Phillip
9 Zhang, Xin
7 Lian, Guanghua
7 Menoukeu Pamen, Olivier
7 Wei, Jiaqin
7 Wong, Hoi Ying
7 Yiu, Ka Fai Cedric
7 Zhou, Ming
6 Badescu, Alexandru M.
6 Hieber, Peter
6 Lau, John Wei
6 Siu, Chi Chung
6 Wang, Ning
6 Wang, Wei
6 Wang, Yan
6 Wu, Zhen
6 Xu, Lin
6 Zhang, Nan
5 Bensoussan, Alain
5 Blake, David
5 Bo, Lijun
5 Chen, Lv
5 Chen, Zhiping
5 D’Amico, Guglielmo
5 Fard, Farzad Alavi
5 Fung, Eric S.
5 Guo, Junyi
5 He, Xinjiang
5 Khaliq, Abdul Q. M.
5 Li, Zhongfei
5 Liang, Xue
5 Liu, Jingzhen
5 Peng, Xingchun
5 Weng, Chengguo
5 Yao, Dingjun
5 Yin, George Gang
5 Yuen, Fei Lung
5 Zagst, Rudi
5 Zheng, Harry H.
4 Chen, Fenge
4 Chen, Mi
4 Fan, Kun
4 Godin, Frédéric
4 Gu, Ailing
4 Gu, Jiawen
4 Hainaut, Donatien
4 Li, Xun
4 Liang, Zhibin
4 MacMinn, Richard D.
4 Mandjes, Michel Robertus Hendrikus
4 Momeya, Romuald Hervé
4 Ng, Michael Kwok-Po
4 Song, Aimin
4 Song, Na
4 Spreij, Peter
4 Tan, Ken Seng
4 Viens, Frederi G.
4 Wang, Chou-Wen
4 Wang, Wenyuan
4 Wang, Xingchun
4 Wu, Chongfeng
4 Zhou, Jieming
4 Zhu, Jinxia
3 A, Chunxiang
3 Cao, Jiling
3 Capponi, Agostino
3 Escobar, Marcos
3 Fabozzi, Frank J.
3 Feng, Enmin
3 Figueroa-López, José E.
3 Forsyth, Peter A.
3 Gatzert, Nadine
3 Goswami, Anindya
3 Guo, Ivan
3 Hafayed, Mokhtar
3 Hu, Yijun
3 Huang, Ya
3 le Courtois, Olivier
3 Li, Johnny Siu-Hang
3 Li, Shuanming
3 Liang, Zongxia
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Cited in 139 Serials

98 Insurance Mathematics & Economics
35 Journal of Computational and Applied Mathematics
32 Journal of Industrial and Management Optimization
27 International Journal of Theoretical and Applied Finance
26 Quantitative Finance
20 North American Actuarial Journal
18 Stochastic Analysis and Applications
18 Communications in Statistics. Theory and Methods
16 Scandinavian Actuarial Journal
15 Automatica
13 European Journal of Operational Research
13 ASTIN Bulletin
12 Applied Mathematics and Computation
12 Methodology and Computing in Applied Probability
12 Annals of Finance
11 Journal of Optimization Theory and Applications
10 Statistics & Probability Letters
10 Journal of Economic Dynamics & Control
10 Mathematical Problems in Engineering
10 Asia-Pacific Financial Markets
10 Mathematical Control and Related Fields
9 Computers & Mathematics with Applications
9 Annals of Operations Research
9 Applied Mathematical Finance
9 Discrete Dynamics in Nature and Society
8 Mathematical Finance
8 SIAM Journal on Financial Mathematics
7 International Journal of Control
7 Acta Mathematicae Applicatae Sinica. English Series
7 Journal of Systems Science and Complexity
6 Applied Mathematics and Optimization
6 Finance and Stochastics
5 Journal of Applied Probability
5 Abstract and Applied Analysis
5 Discrete and Continuous Dynamical Systems. Series B
5 Frontiers of Mathematics in China
4 Journal of Mathematical Analysis and Applications
4 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
4 SIAM Journal on Control and Optimization
4 International Journal of Computer Mathematics
4 Mathematical Methods of Operations Research
4 The ANZIAM Journal
4 Stochastic Models
4 Review of Derivatives Research
4 Mathematics and Financial Economics
4 European Actuarial Journal
3 Journal of the Franklin Institute
3 Lithuanian Mathematical Journal
3 Information Sciences
3 Journal of Econometrics
3 Systems & Control Letters
3 Operations Research Letters
3 Optimization
3 Stochastic Processes and their Applications
3 European Journal of Control
3 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
3 Journal of Inequalities and Applications
3 Decisions in Economics and Finance
3 Advances in Difference Equations
3 Science China. Mathematics
2 Optimal Control Applications & Methods
2 Bulletin of the Korean Mathematical Society
2 Chinese Annals of Mathematics. Series B
2 Computational Statistics and Data Analysis
2 Computational Economics
2 Statistical Papers
2 Complexity
2 Bernoulli
2 CEJOR. Central European Journal of Operations Research
2 Probability in the Engineering and Informational Sciences
2 Journal of Applied Mathematics
2 Stochastics
2 Communications in Computational Physics
2 Journal of Statistical Theory and Practice
2 Nonlinear Analysis. Hybrid Systems
2 International Journal of Stochastic Analysis
2 Journal of the Operations Research Society of China
2 East Asian Journal on Applied Mathematics
2 AIMS Mathematics
1 Advances in Applied Probability
1 Journal of Engineering Mathematics
1 Physica A
1 Chaos, Solitons and Fractals
1 Journal of Differential Equations
1 Kybernetika
1 Mathematics and Computers in Simulation
1 Mathematics of Operations Research
1 Mathematical Social Sciences
1 Acta Applicandae Mathematicae
1 Applied Numerical Mathematics
1 Econometric Reviews
1 Numerical Methods for Partial Differential Equations
1 Asia-Pacific Journal of Operational Research
1 Journal of Theoretical Probability
1 Mathematical and Computer Modelling
1 SIAM Journal on Matrix Analysis and Applications
1 Journal of Applied Mathematics and Stochastic Analysis
1 Computational Mathematics and Modeling
1 Applied Mathematical Modelling
1 Journal of Statistical Computation and Simulation
...and 39 more Serials

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