Wang, Yike; Liu, Jingzhen; Siu, Tak Kuen Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting. (English) Zbl 1528.91069 Finance Stoch. 28, No. 1, 161-214 (2024). MSC: 91G10 91G05 91B42 93E20 PDFBibTeX XMLCite \textit{Y. Wang} et al., Finance Stoch. 28, No. 1, 161--214 (2024; Zbl 1528.91069) Full Text: DOI
Siu, Tak Kuen European option pricing with market frictions, regime switches and model uncertainty. (English) Zbl 07804010 Insur. Math. Econ. 113, 233-250 (2023). MSC: 91G20 PDFBibTeX XMLCite \textit{T. K. Siu}, Insur. Math. Econ. 113, 233--250 (2023; Zbl 07804010) Full Text: DOI
Liu, Jingzhen; Yiu, Ka-Fai Cedric; Li, Xun; Siu, Tak Kuen; Teo, Kok Lay Mean-variance portfolio selection with random investment horizon. (English) Zbl 1524.91106 J. Ind. Manag. Optim. 19, No. 7, 4726-4739 (2023). MSC: 91G10 49L12 93E20 PDFBibTeX XMLCite \textit{J. Liu} et al., J. Ind. Manag. Optim. 19, No. 7, 4726--4739 (2023; Zbl 1524.91106) Full Text: DOI
Siu, Tak Kuen; Nguyen, Ha; Wang, Ning Dynamic fund protection for property markets. (English) Zbl 1500.91115 N. Am. Actuar. J. 26, No. 3, 383-402 (2022). MSC: 91G05 PDFBibTeX XMLCite \textit{T. K. Siu} et al., N. Am. Actuar. J. 26, No. 3, 383--402 (2022; Zbl 1500.91115) Full Text: DOI
Yang, Qing-Qing; Ching, Wai-Ki; Gu, Jia-Wen; Siu, Tak-Kuen Generalized optimal liquidation problems across multiple trading venues. (English) Zbl 1513.91082 J. Ind. Manag. Optim. 18, No. 5, 3215-3231 (2022). MSC: 91G15 49L20 93E20 PDFBibTeX XMLCite \textit{Q.-Q. Yang} et al., J. Ind. Manag. Optim. 18, No. 5, 3215--3231 (2022; Zbl 1513.91082) Full Text: DOI arXiv
Goswami, Anindya; Rana, Nimit; Siu, Tak Kuen Regime switching optimal growth model with risk sensitive preferences. (English) Zbl 1497.91185 J. Math. Econ. 101, Article ID 102702, 18 p. (2022). MSC: 91B62 91B70 60J20 93E20 PDFBibTeX XMLCite \textit{A. Goswami} et al., J. Math. Econ. 101, Article ID 102702, 18 p. (2022; Zbl 1497.91185) Full Text: DOI arXiv
Elliott, Robert; Madan, Dilip B.; Siu, Tak Kuen Lower and upper pricing of financial assets. (English) Zbl 1492.91396 Probab. Uncertain. Quant. Risk 7, No. 1, 45-66 (2022). MSC: 91G30 PDFBibTeX XMLCite \textit{R. Elliott} et al., Probab. Uncertain. Quant. Risk 7, No. 1, 45--66 (2022; Zbl 1492.91396) Full Text: DOI
Elliott, R. J.; Siu, T. K. A generalized Esscher transform for option valuation with regime switching risk. (English) Zbl 1490.91212 Quant. Finance 22, No. 4, 691-705 (2022). MSC: 91G20 91G80 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{T. K. Siu}, Quant. Finance 22, No. 4, 691--705 (2022; Zbl 1490.91212) Full Text: DOI
Wang, Ning; Jin, Zhuo; Siu, Tak Kuen; Qiu, Ming Household consumption-investment-insurance decisions with uncertain income and market ambiguity. (English) Zbl 1485.91211 Scand. Actuar. J. 2021, No. 10, 832-865 (2021). MSC: 91G05 91B42 PDFBibTeX XMLCite \textit{N. Wang} et al., Scand. Actuar. J. 2021, No. 10, 832--865 (2021; Zbl 1485.91211) Full Text: DOI
Zhu, Dong-Mei; Gu, Jia-Wen; Yu, Feng-Hui; Siu, Tak-Kuen; Ching, Wai-Ki Optimal pairs trading with dynamic mean-variance objective. (English) Zbl 1480.91282 Math. Methods Oper. Res. 94, No. 1, 145-168 (2021). MSC: 91G15 91G20 60J60 PDFBibTeX XMLCite \textit{D.-M. Zhu} et al., Math. Methods Oper. Res. 94, No. 1, 145--168 (2021; Zbl 1480.91282) Full Text: DOI
Feng, Yang; Zhu, Jinxia; Siu, Tak Kuen Optimal risk exposure and dividend payout policies under model uncertainty. (English) Zbl 1471.91458 Insur. Math. Econ. 100, 1-29 (2021). MSC: 91G05 49L12 PDFBibTeX XMLCite \textit{Y. Feng} et al., Insur. Math. Econ. 100, 1--29 (2021; Zbl 1471.91458) Full Text: DOI
Zhu, Dong-Mei; Gu, Jia-wen; Yu, Feng-Hui; Ching, Wai-Ki; Siu, Tak-Kuen How correlation risk in basket credit derivatives might be priced and managed? (English) Zbl 07371192 IMA J. Manag. Math. 32, No. 2, 195-219 (2021). MSC: 90-XX 91-XX PDFBibTeX XMLCite \textit{D.-M. Zhu} et al., IMA J. Manag. Math. 32, No. 2, 195--219 (2021; Zbl 07371192) Full Text: DOI
Elliott, Robert J.; Madan, Dilip B.; Siu, Tak Kuen Two price economic equilibria and financial market bid/ask prices. (English) Zbl 1467.91047 Ann. Finance 17, No. 1, 27-43 (2021). MSC: 91B24 91G15 91G70 PDFBibTeX XMLCite \textit{R. J. Elliott} et al., Ann. Finance 17, No. 1, 27--43 (2021; Zbl 1467.91047) Full Text: DOI
Wang, Ning; Siu, Tak Kuen Robust reinsurance contracts with risk constraint. (English) Zbl 1447.91151 Scand. Actuar. J. 2020, No. 5, 419-453 (2020). MSC: 91G05 91B43 91B41 PDFBibTeX XMLCite \textit{N. Wang} and \textit{T. K. Siu}, Scand. Actuar. J. 2020, No. 5, 419--453 (2020; Zbl 1447.91151) Full Text: DOI
Yang, Qing-Qing; Ching, Wai-Ki; Gu, Jiawen; Siu, Tak-Kuen Trading strategy with stochastic volatility in a limit order book market. (English) Zbl 1444.91203 Decis. Econ. Finance 43, No. 1, 277-301 (2020). MSC: 91G10 91G20 93E20 PDFBibTeX XMLCite \textit{Q.-Q. Yang} et al., Decis. Econ. Finance 43, No. 1, 277--301 (2020; Zbl 1444.91203) Full Text: DOI arXiv
Zhu, Jinxia; Siu, Tak Kuen; Yang, Hailiang Singular dividend optimization for a linear diffusion model with time-inconsistent preferences. (English) Zbl 1441.91065 Eur. J. Oper. Res. 285, No. 1, 66-80 (2020). MSC: 91G05 60J60 91G10 93E20 PDFBibTeX XMLCite \textit{J. Zhu} et al., Eur. J. Oper. Res. 285, No. 1, 66--80 (2020; Zbl 1441.91065) Full Text: DOI
Siu, Tak Kuen; Elliott, Robert J. Hedging options in a doubly Markov-modulated financial market via stochastic flows. (English) Zbl 1431.91404 Int. J. Theor. Appl. Finance 22, No. 8, Article ID 1950047, 41 p. (2019). Reviewer: George Stoica (Saint John) MSC: 91G20 60J28 91G10 PDFBibTeX XMLCite \textit{T. K. Siu} and \textit{R. J. Elliott}, Int. J. Theor. Appl. Finance 22, No. 8, Article ID 1950047, 41 p. (2019; Zbl 1431.91404) Full Text: DOI
Meng, Hui; Liao, Pu; Siu, Tak Kuen Continuous-time optimal reinsurance strategy with nontrivial curved structures. (English) Zbl 1433.91141 Appl. Math. Comput. 363, Article ID 124585, 21 p. (2019). MSC: 91G05 49L20 93E20 91G10 62P05 PDFBibTeX XMLCite \textit{H. Meng} et al., Appl. Math. Comput. 363, Article ID 124585, 21 p. (2019; Zbl 1433.91141) Full Text: DOI
Siu, Tak Kuen; Zhu, Jinxia; Yang, Hailiang A martingale approach for asset allocation with derivative security and hidden economic risk. (English) Zbl 1425.91408 J. Appl. Probab. 56, No. 3, 723-749 (2019). MSC: 91G20 91G10 60G44 60H07 91B16 PDFBibTeX XMLCite \textit{T. K. Siu} et al., J. Appl. Probab. 56, No. 3, 723--749 (2019; Zbl 1425.91408) Full Text: DOI
Yang, Qing-Qing; Ching, Wai-Ki; He, Wanhua; Siu, Tak-Kuen Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales. (English) Zbl 1415.91295 J. Ind. Manag. Optim. 15, No. 1, 293-318 (2019). MSC: 91G20 60J75 PDFBibTeX XMLCite \textit{Q.-Q. Yang} et al., J. Ind. Manag. Optim. 15, No. 1, 293--318 (2019; Zbl 1415.91295) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen; Lau, John W. A hidden Markov regime-switching smooth transition model. (English) Zbl 1507.62283 Stud. Nonlinear Dyn. Econom. 22, No. 4, Article ID 20160061, 21 p. (2018). MSC: 62M10 62M05 62M20 62P20 91B84 PDFBibTeX XMLCite \textit{R. J. Elliott} et al., Stud. Nonlinear Dyn. Econom. 22, No. 4, Article ID 20160061, 21 p. (2018; Zbl 1507.62283) Full Text: DOI
Yang, Qingqing; Ching, Waiki; Siu, Takkuen; Zhang, Zhiwen A Markov-driven portfolio execution strategy with market impact. (English) Zbl 1438.91135 Numer. Math., Theory Methods Appl. 11, No. 4, 701-728 (2018). MSC: 91G10 91G80 90C20 90C39 PDFBibTeX XMLCite \textit{Q. Yang} et al., Numer. Math., Theory Methods Appl. 11, No. 4, 701--728 (2018; Zbl 1438.91135) Full Text: DOI
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming Pricing dynamic fund protection under hidden Markov models. (English) Zbl 1473.91014 IMA J. Manag. Math. 29, No. 1, 99-117 (2018). MSC: 91G05 PDFBibTeX XMLCite \textit{K. Fan} et al., IMA J. Manag. Math. 29, No. 1, 99--117 (2018; Zbl 1473.91014) Full Text: DOI
Cohen, Samuel N.; Elliott, Robert J.; Siu, Tak Kuen Malliavin calculus in a binomial framework. (English) Zbl 1419.91659 Appl. Stoch. Models Bus. Ind. 34, No. 6, 774-781 (2018). MSC: 91G80 60H07 60H10 PDFBibTeX XMLCite \textit{S. N. Cohen} et al., Appl. Stoch. Models Bus. Ind. 34, No. 6, 774--781 (2018; Zbl 1419.91659) Full Text: DOI
Yang, Qing-Qing; Ching, Wai-Ki; Gu, Jia-Wen; Siu, Tak-Kuen Market-making strategy with asymmetric information and regime-switching. (English) Zbl 1401.91600 J. Econ. Dyn. Control 90, 408-433 (2018). MSC: 91G80 91G20 91B24 60H30 PDFBibTeX XMLCite \textit{Q.-Q. Yang} et al., J. Econ. Dyn. Control 90, 408--433 (2018; Zbl 1401.91600) Full Text: DOI
Shen, Yang; Siu, Tak Kuen Optimal investment and consumption in a continuous-time co-integration model. (English) Zbl 07613719 IMA J. Manag. Math. 28, No. 4, 501-530 (2017). MSC: 90-XX 91-XX PDFBibTeX XMLCite \textit{Y. Shen} and \textit{T. K. Siu}, IMA J. Manag. Math. 28, No. 4, 501--530 (2017; Zbl 07613719) Full Text: DOI
Ching, Wai-Ki; Gu, Jia-Wen; Li, Xiaoyue; Siu, Tak-Kuen; Zheng, Harry On infectious model for dependent defaults. (English) Zbl 1409.91261 Risk Decis. Anal. 6, No. 4, 249-261 (2017). MSC: 91G40 PDFBibTeX XMLCite \textit{W.-K. Ching} et al., Risk Decis. Anal. 6, No. 4, 249--261 (2017; Zbl 1409.91261) Full Text: DOI arXiv
Yu, Feng-Hui; Ching, Wai-Ki; Gu, Jia-Wen; Siu, Tak-Kuen Interacting default intensity with a hidden Markov process. (English) Zbl 1402.91862 Quant. Finance 17, No. 5, 781-794 (2017). MSC: 91G40 60J20 PDFBibTeX XMLCite \textit{F.-H. Yu} et al., Quant. Finance 17, No. 5, 781--794 (2017; Zbl 1402.91862) Full Text: DOI arXiv Link
Zhu, Dong-Mei; Ching, Wai-Ki; Elliott, Robert J.; Siu, Tak-Kuen; Zhang, Lianmin A higher-order interactive hidden Markov model and its applications. (English) Zbl 1396.60082 OR Spectrum 39, No. 4, 1055-1069 (2017). MSC: 60J05 90C59 91B82 PDFBibTeX XMLCite \textit{D.-M. Zhu} et al., OR Spectrum 39, No. 4, 1055--1069 (2017; Zbl 1396.60082) Full Text: DOI
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming An FFT approach for option pricing under a regime-switching stochastic interest rate model. (English) Zbl 1369.91178 Commun. Stat., Theory Methods 46, No. 11, 5292-5310 (2017). MSC: 91G20 91G30 91G60 65T50 PDFBibTeX XMLCite \textit{K. Fan} et al., Commun. Stat., Theory Methods 46, No. 11, 5292--5310 (2017; Zbl 1369.91178) Full Text: DOI
Shen, Yang; Siu, Tak Kuen Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model. (English) Zbl 1362.93168 J. Ind. Manag. Optim. 13, No. 1, 23-46 (2017). MSC: 93E20 93E11 91G10 60J10 93C41 49K45 PDFBibTeX XMLCite \textit{Y. Shen} and \textit{T. K. Siu}, J. Ind. Manag. Optim. 13, No. 1, 23--46 (2017; Zbl 1362.93168) Full Text: DOI
Siu, Tak Kuen; Shen, Yang Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model. (English) Zbl 1414.91389 Discrete Contin. Dyn. Syst., Ser. B 22, No. 7, 2595-2626 (2017). MSC: 91G20 91A15 91A23 91A05 60H10 60J75 PDFBibTeX XMLCite \textit{T. K. Siu} and \textit{Y. Shen}, Discrete Contin. Dyn. Syst., Ser. B 22, No. 7, 2595--2626 (2017; Zbl 1414.91389) Full Text: DOI
Song, Na; Xie, Yue; Ching, Wai-Ki; Siu, Tak-Kuen A real option approach for investment opportunity valuation. (English) Zbl 1361.91061 J. Ind. Manag. Optim. 13, No. 3, 1213-1235 (2017). MSC: 91G50 PDFBibTeX XMLCite \textit{N. Song} et al., J. Ind. Manag. Optim. 13, No. 3, 1213--1235 (2017; Zbl 1361.91061) Full Text: DOI
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang A note on optimal insurance risk control with multiple reinsurers. (English) Zbl 1357.93105 J. Comput. Appl. Math. 319, 38-42 (2017). MSC: 93E20 60J25 91B30 PDFBibTeX XMLCite \textit{H. Meng} et al., J. Comput. Appl. Math. 319, 38--42 (2017; Zbl 1357.93105) Full Text: DOI Link
Wong, Shiu Fung; Tong, Howell; Siu, Tak Kuen; Lu, Zudi A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach. (English) Zbl 1360.62464 J. Time Ser. Anal. 38, No. 2, 243-265 (2017). MSC: 62M10 62P05 91G70 PDFBibTeX XMLCite \textit{S. F. Wong} et al., J. Time Ser. Anal. 38, No. 2, 243--265 (2017; Zbl 1360.62464) Full Text: DOI Link
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen Pricing options in a Markov regime switching model with a random acceleration for the volatility. (English) Zbl 1418.91509 IMA J. Appl. Math. 81, No. 5, 842-859 (2016). MSC: 91G20 60J28 91G60 65C05 PDFBibTeX XMLCite \textit{R. J. Elliott} et al., IMA J. Appl. Math. 81, No. 5, 842--859 (2016; Zbl 1418.91509) Full Text: DOI Link
Ewald, Christian-Oliver; Nawar, Roy; Ouyang, Ruolan; Siu, Tak Kuen The market for salmon futures: an empirical analysis of the fish pool using the Schwartz multi-factor model. (English) Zbl 1400.91587 Quant. Finance 16, No. 12, 1823-1842 (2016). MSC: 91G20 PDFBibTeX XMLCite \textit{C.-O. Ewald} et al., Quant. Finance 16, No. 12, 1823--1842 (2016; Zbl 1400.91587) Full Text: DOI Link
Song, Na; Xie, Yue; Ching, Wai-Ki; Siu, Tak-Kuen; Yiu, Cedric Ka-Fai Optimal strategy for limit order book submissions in high frequency trading. (English) Zbl 1398.62325 East Asian J. Appl. Math. 6, No. 2, 222-234 (2016). MSC: 62P05 68M20 91A80 PDFBibTeX XMLCite \textit{N. Song} et al., East Asian J. Appl. Math. 6, No. 2, 222--234 (2016; Zbl 1398.62325) Full Text: DOI
Meng, Hui; Zhou, Ming; Siu, Tak Kuen Optimal dividend-reinsurance with two types of premium principles. (English) Zbl 1414.91220 Probab. Eng. Inf. Sci. 30, No. 2, 224-243 (2016). MSC: 91B30 62P05 91G60 PDFBibTeX XMLCite \textit{H. Meng} et al., Probab. Eng. Inf. Sci. 30, No. 2, 224--243 (2016; Zbl 1414.91220) Full Text: DOI
Siu, Tak Kuen A self-exciting threshold jump-diffusion model for option valuation. (English) Zbl 1369.91185 Insur. Math. Econ. 69, 168-193 (2016). MSC: 91G20 60J75 62M10 PDFBibTeX XMLCite \textit{T. K. Siu}, Insur. Math. Econ. 69, 168--193 (2016; Zbl 1369.91185) Full Text: DOI
Zhu, Dong-Mei; Xie, Yue; Ching, Wai-Ki; Siu, Tak-Kuen Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model. (English) Zbl 1348.93285 Automatica 74, 194-205 (2016). MSC: 93E20 91G10 91G80 PDFBibTeX XMLCite \textit{D.-M. Zhu} et al., Automatica 74, 194--205 (2016; Zbl 1348.93285) Full Text: DOI
Siu, Tak Kuen A functional Itô’s calculus approach to convex risk measures with jump diffusion. (English) Zbl 1346.91272 Eur. J. Oper. Res. 250, No. 3, 874-883 (2016). MSC: 91G80 60H30 60G57 91B30 93E20 PDFBibTeX XMLCite \textit{T. K. Siu}, Eur. J. Oper. Res. 250, No. 3, 874--883 (2016; Zbl 1346.91272) Full Text: DOI
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang Optimal insurance risk control with multiple reinsurers. (English) Zbl 1339.93124 J. Comput. Appl. Math. 306, 40-52 (2016). MSC: 93E20 60J25 91B30 PDFBibTeX XMLCite \textit{H. Meng} et al., J. Comput. Appl. Math. 306, 40--52 (2016; Zbl 1339.93124) Full Text: DOI
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming On a Markov chain approximation method for option pricing with regime switching. (English) Zbl 1325.91052 J. Ind. Manag. Optim. 12, No. 2, 529-541 (2016). MSC: 91G20 91G60 60J20 PDFBibTeX XMLCite \textit{K. Fan} et al., J. Ind. Manag. Optim. 12, No. 2, 529--541 (2016; Zbl 1325.91052) Full Text: DOI
Asimit, Alexandru V.; Badescu, Alexandru M.; Siu, Tak Kuen; Zinchenko, Yuriy Capital requirements and optimal investment with solvency probability constraints. (English) Zbl 1433.91125 IMA J. Manag. Math. 26, No. 4, 345-375 (2015). MSC: 91G05 91G10 90C22 PDFBibTeX XMLCite \textit{A. V. Asimit} et al., IMA J. Manag. Math. 26, No. 4, 345--375 (2015; Zbl 1433.91125) Full Text: DOI Link
Elliott, Robert J.; Siu, Tak Kuen Asset pricing using trading volumes in a hidden regime-switching environment. (English) Zbl 1368.91170 Asia-Pac. Financ. Mark. 22, No. 2, 133-149 (2015). MSC: 91G20 60J20 62P05 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{T. K. Siu}, Asia-Pac. Financ. Mark. 22, No. 2, 133--149 (2015; Zbl 1368.91170) Full Text: DOI
Siu, Tak Kuen A stochastic flows approach for asset allocation with hidden economic environment. (English) Zbl 1346.60104 Int. J. Stoch. Anal. 2015, Article ID 462524, 11 p. (2015). MSC: 60H30 60H10 60G44 49J55 93E20 91G80 91G10 PDFBibTeX XMLCite \textit{T. K. Siu}, Int. J. Stoch. Anal. 2015, Article ID 462524, 11 p. (2015; Zbl 1346.60104) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen; Cohen, Samuel N. Backward stochastic difference equations for dynamic convex risk measures on a binomial tree. (English) Zbl 1390.91333 J. Appl. Probab. 52, No. 3, 771-785 (2015). MSC: 91G70 39A50 60H30 PDFBibTeX XMLCite \textit{R. J. Elliott} et al., J. Appl. Probab. 52, No. 3, 771--785 (2015; Zbl 1390.91333) Full Text: DOI Euclid
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen A Dupire equation for a regime-switching model. (English) Zbl 1337.91095 Int. J. Theor. Appl. Finance 18, No. 4, Article ID 1550023, 13 p. (2015). MSC: 91G20 60H30 62P05 PDFBibTeX XMLCite \textit{R. J. Elliott} et al., Int. J. Theor. Appl. Finance 18, No. 4, Article ID 1550023, 13 p. (2015; Zbl 1337.91095) Full Text: DOI
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming Pricing annuity guarantees under a double regime-switching model. (English) Zbl 1318.91111 Insur. Math. Econ. 62, 62-78 (2015). MSC: 91B30 91G60 PDFBibTeX XMLCite \textit{K. Fan} et al., Insur. Math. Econ. 62, 62--78 (2015; Zbl 1318.91111) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen A note on differentiability in a Markov chain market using stochastic flows. (English) Zbl 1336.91073 Stochastic Anal. Appl. 33, No. 1, 110-122 (2015). Reviewer: Gianluca Cassese (Milano) MSC: 91G20 91G80 60J28 60H30 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{T. K. Siu}, Stochastic Anal. Appl. 33, No. 1, 110--122 (2015; Zbl 1336.91073) Full Text: DOI
Siu, Tak Kuen A hidden Markov-modulated jump diffusion model for European option pricing. (English) Zbl 1418.91539 Mamon, Rogemar S. (ed.) et al., Hidden Markov models in finance. Further developments and applications. Volume II. New York, NY: Springer. Int. Ser. Oper. Res. Manag. Sci. 209, 185-209 (2014). MSC: 91G20 60J28 60J75 PDFBibTeX XMLCite \textit{T. K. Siu}, Int. Ser. Oper. Res. Manag. Sci. 209, 185--209 (2014; Zbl 1418.91539) Full Text: DOI
Shen, Yang; Zhang, Xin; Siu, Tak Kuen Mean-variance portfolio selection under a constant elasticity of variance model. (English) Zbl 1408.91203 Oper. Res. Lett. 42, No. 5, 337-342 (2014). MSC: 91G10 93E20 91G80 PDFBibTeX XMLCite \textit{Y. Shen} et al., Oper. Res. Lett. 42, No. 5, 337--342 (2014; Zbl 1408.91203) Full Text: DOI
Liu, Jingzhen; Yiu, Ka-Fai Cedric; Siu, Tak Kuen Optimal investment of an insurer with regime-switching and risk constraint. (English) Zbl 1401.91169 Scand. Actuar. J. 2014, No. 7, 583-601 (2014). MSC: 91B30 91A15 91A23 PDFBibTeX XMLCite \textit{J. Liu} et al., Scand. Actuar. J. 2014, No. 7, 583--601 (2014; Zbl 1401.91169) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung On pricing barrier options with regime switching. (English) Zbl 1350.91016 J. Comput. Appl. Math. 256, 196-210 (2014). Reviewer: Alessandro Duci (Milano) MSC: 91G20 60J27 60J28 PDFBibTeX XMLCite \textit{R. J. Elliott} et al., J. Comput. Appl. Math. 256, 196--210 (2014; Zbl 1350.91016) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen Strategic asset allocation under a fractional hidden Markov model. (English) Zbl 1307.91160 Methodol. Comput. Appl. Probab. 16, No. 3, 609-626 (2014). MSC: 91G10 60G22 60J20 62M05 62P05 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{T. K. Siu}, Methodol. Comput. Appl. Probab. 16, No. 3, 609--626 (2014; Zbl 1307.91160) Full Text: DOI
Meng, Hui; Siu, Tak Kuen Risk-based asset allocation under Markov-modulated pure jump processes. (English) Zbl 1291.91197 Stochastic Anal. Appl. 32, No. 2, 191-206 (2014). Reviewer: Pavel Stoynov (Sofia) MSC: 91G10 60J75 91A15 91A05 90C39 PDFBibTeX XMLCite \textit{H. Meng} and \textit{T. K. Siu}, Stochastic Anal. Appl. 32, No. 2, 191--206 (2014; Zbl 1291.91197) Full Text: DOI
Liu, Jingzhen; Yiu, Ka-Fai Cedric; Siu, Tak Kuen; Ching, Wai-Ki Optimal insurance in a changing economy. (English) Zbl 1281.93107 Math. Control Relat. Fields 4, No. 2, 187-202 (2014). MSC: 93E20 49L20 91B30 PDFBibTeX XMLCite \textit{J. Liu} et al., Math. Control Relat. Fields 4, No. 2, 187--202 (2014; Zbl 1281.93107) Full Text: DOI
Shen, Yang; Siu, Tak Kuen A stochastic maximum principle for backward control systems with random default time. (English) Zbl 1480.93447 Int. J. Control 86, No. 5, 953-965 (2013). MSC: 93E20 91G10 PDFBibTeX XMLCite \textit{Y. Shen} and \textit{T. K. Siu}, Int. J. Control 86, No. 5, 953--965 (2013; Zbl 1480.93447) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen Option pricing and filtering with hidden Markov-modulated pure-jump processes. (English) Zbl 1457.91372 Appl. Math. Finance 20, No. 1-2, 1-25 (2013). MSC: 91G20 60J28 44A15 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{T. K. Siu}, Appl. Math. Finance 20, No. 1--2, 1--25 (2013; Zbl 1457.91372) Full Text: DOI
Lu, Fu-Qiang; Huang, Min; Ching, Wai-Ki; Siu, Tak Kuen Credit portfolio management using two-level particle swarm optimization. (English) Zbl 1321.91110 Inf. Sci. 237, 162-175 (2013). MSC: 91G10 91G40 90C59 PDFBibTeX XMLCite \textit{F.-Q. Lu} et al., Inf. Sci. 237, 162--175 (2013; Zbl 1321.91110) Full Text: DOI
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen Option valuation under a regime-switching constant elasticity of variance process. (English) Zbl 1422.91691 Appl. Math. Comput. 219, No. 9, 4434-4443 (2013). MSC: 91G20 60G40 35Q91 PDFBibTeX XMLCite \textit{R. J. Elliott} et al., Appl. Math. Comput. 219, No. 9, 4434--4443 (2013; Zbl 1422.91691) Full Text: DOI
Fard, Farzad Alavi; Siu, Tak Kuen Pricing and managing risks of European-style options in a Markovian regime-switching binomial model. (English) Zbl 1298.91163 Ann. Finance 9, No. 3, 421-438 (2013). MSC: 91G20 60J20 PDFBibTeX XMLCite \textit{F. A. Fard} and \textit{T. K. Siu}, Ann. Finance 9, No. 3, 421--438 (2013; Zbl 1298.91163) Full Text: DOI
Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang Option valuation by a self-exciting threshold binomial model. (English) Zbl 1297.91139 Math. Comput. Modelling 58, No. 1-2, 28-37 (2013). MSC: 91G20 PDFBibTeX XMLCite \textit{F. L. Yuen} et al., Math. Comput. Modelling 58, No. 1--2, 28--37 (2013; Zbl 1297.91139) Full Text: DOI
Gu, Jia-Wen; Ching, Wai-Ki; Siu, Tak-Kuen; Zheng, Harry On modeling credit defaults: a probabilistic Boolean network approach. (English) Zbl 1294.91182 Risk Decis. Anal. 4, No. 2, 119-129 (2013). MSC: 91G40 91B55 90B15 PDFBibTeX XMLCite \textit{J.-W. Gu} et al., Risk Decis. Anal. 4, No. 2, 119--129 (2013; Zbl 1294.91182) Full Text: DOI
Shen, Yang; Siu, Tak Kuen Longevity bond pricing under stochastic interest rate and mortality with regime-switching. (English) Zbl 1291.91212 Insur. Math. Econ. 52, No. 1, 114-123 (2013). MSC: 91G20 91G30 91B30 91D20 60J28 60J75 PDFBibTeX XMLCite \textit{Y. Shen} and \textit{T. K. Siu}, Insur. Math. Econ. 52, No. 1, 114--123 (2013; Zbl 1291.91212) Full Text: DOI
Shen, Yang; Siu, Tak Kuen Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model. (English) Zbl 1290.60066 Insur. Math. Econ. 53, No. 3, 757-768 (2013). MSC: 60H30 60G51 60J27 91A80 91A15 91B50 90C39 PDFBibTeX XMLCite \textit{Y. Shen} and \textit{T. K. Siu}, Insur. Math. Econ. 53, No. 3, 757--768 (2013; Zbl 1290.60066) Full Text: DOI
Fard, Farzad Alavi; Siu, Tak Kuen Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach. (English) Zbl 1290.91179 Insur. Math. Econ. 53, No. 3, 712-721 (2013). MSC: 91G60 91B30 60J75 PDFBibTeX XMLCite \textit{F. A. Fard} and \textit{T. K. Siu}, Insur. Math. Econ. 53, No. 3, 712--721 (2013; Zbl 1290.91179) Full Text: DOI
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang Optimal dividends with debts and nonlinear insurance risk processes. (English) Zbl 1284.91564 Insur. Math. Econ. 53, No. 1, 110-121 (2013). MSC: 91G50 91B30 91G80 49L20 PDFBibTeX XMLCite \textit{H. Meng} et al., Insur. Math. Econ. 53, No. 1, 110--121 (2013; Zbl 1284.91564) Full Text: DOI Link
Song, Na; Ching, Wai-Ki; Siu, Tak-Kuen; Yiu, Cedric Ka-Fai On optimal cash management under a stochastic volatility model. (English) Zbl 1284.91565 East Asian J. Appl. Math. 3, No. 2, 81-92 (2013). MSC: 91G50 91B70 93E20 90C39 PDFBibTeX XMLCite \textit{N. Song} et al., East Asian J. Appl. Math. 3, No. 2, 81--92 (2013; Zbl 1284.91565) Full Text: DOI Link
Gu, Jia-Wen; Ching, Wai-Ki; Siu, Tak-Kuen; Zheng, Harry On pricing basket credit default swaps. (English) Zbl 1282.91328 Quant. Finance 13, No. 12, 1845-1854 (2013). MSC: 91G20 91G40 91G60 PDFBibTeX XMLCite \textit{J.-W. Gu} et al., Quant. Finance 13, No. 12, 1845--1854 (2013; Zbl 1282.91328) Full Text: DOI arXiv
Elliott, Robert J.; Siu, Tak Kuen Reflected backward stochastic differential equations, convex risk measures and American options. (English) Zbl 1343.60093 Stochastic Anal. Appl. 31, No. 6, 1077-1096 (2013). MSC: 60H30 60H10 60G40 91G80 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{T. K. Siu}, Stochastic Anal. Appl. 31, No. 6, 1077--1096 (2013; Zbl 1343.60093) Full Text: DOI
Shen, Yang; Siu, Tak Kuen The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem. (English) Zbl 1279.49015 Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 86, 58-73 (2013). MSC: 49K45 60H10 34F05 91G10 93E20 PDFBibTeX XMLCite \textit{Y. Shen} and \textit{T. K. Siu}, Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 86, 58--73 (2013; Zbl 1279.49015) Full Text: DOI
Shen, Yang; Siu, Tak Kuen A stochastic maximum principle for backward control systems with random default time. (English) Zbl 1278.49032 Int. J. Control 86, No. 4, 953-965 (2013). MSC: 49K45 60H10 93E20 91B70 PDFBibTeX XMLCite \textit{Y. Shen} and \textit{T. K. Siu}, Int. J. Control 86, No. 4, 953--965 (2013; Zbl 1278.49032) Full Text: DOI
Liu, Jingzhen; Yiu, Ka-Fai Cedric; Siu, Tak Kuen; Ching, Wai-Ki Optimal investment-reinsurance with dynamic risk constraint and regime switching. (English) Zbl 1280.91093 Scand. Actuar. J. 2013, No. 4, 263-285 (2013). MSC: 91B30 62P05 62M02 90C90 PDFBibTeX XMLCite \textit{J. Liu} et al., Scand. Actuar. J. 2013, No. 4, 263--285 (2013; Zbl 1280.91093) Full Text: DOI
Meng, Hui; Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang Optimal portfolio in a continuous-time self-exciting threshold model. (English) Zbl 1274.91389 J. Ind. Manag. Optim. 9, No. 2, 487-504 (2013). MSC: 91G10 91G60 91G80 93E20 PDFBibTeX XMLCite \textit{H. Meng} et al., J. Ind. Manag. Optim. 9, No. 2, 487--504 (2013; Zbl 1274.91389) Full Text: DOI
Shen, Yang; Siu, Tak Kuen Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching. (English) Zbl 1264.91129 Oper. Res. Lett. 41, No. 2, 180-187 (2013). MSC: 91G30 91B25 PDFBibTeX XMLCite \textit{Y. Shen} and \textit{T. K. Siu}, Oper. Res. Lett. 41, No. 2, 180--187 (2013; Zbl 1264.91129) Full Text: DOI
Siu, Tak Kuen A BSDE approach to optimal investment of an insurer with hidden regime switching. (English) Zbl 1267.91087 Stochastic Anal. Appl. 31, No. 1, 1-18 (2013). MSC: 91G80 93E11 93E20 PDFBibTeX XMLCite \textit{T. K. Siu}, Stochastic Anal. Appl. 31, No. 1, 1--18 (2013; Zbl 1267.91087) Full Text: DOI
Elliott, Robert J.; Lau, John W.; Miao, Hong; Siu, Tak Kuen Viterbi-based estimation for Markov switching GARCH model. (English) Zbl 1372.91117 Appl. Math. Finance 19, No. 3-4, 219-231 (2012). MSC: 91G60 65C60 62M05 62M10 91G70 PDFBibTeX XMLCite \textit{R. J. Elliott} et al., Appl. Math. Finance 19, No. 3--4, 219--231 (2012; Zbl 1372.91117) Full Text: DOI
Huang, Ximin; Song, Na; Ching, Wai-Ki; Siu, Tak-Kuen; Yiu, Ka-Fai Cedric A real option approach to optimal inventory management of retail products. (English) Zbl 1364.90121 J. Ind. Manag. Optim. 8, No. 2, 379-389 (2012). MSC: 90B22 91A06 PDFBibTeX XMLCite \textit{X. Huang} et al., J. Ind. Manag. Optim. 8, No. 2, 379--389 (2012; Zbl 1364.90121) Full Text: DOI
Siu, Tak Kuen Functional Itô’s calculus and dynamic convex risk measures for derivative securities. (English) Zbl 1331.91183 Commun. Stoch. Anal. 6, No. 2, 339-358 (2012). MSC: 91G20 91G70 60H10 60H30 PDFBibTeX XMLCite \textit{T. K. Siu}, Commun. Stoch. Anal. 6, No. 2, 339--358 (2012; Zbl 1331.91183)
Song, Na; Siu, Tak Kuen; Ching, Wa-Ki; Tong, Howell; Yang, Hailiang Asset allocation under threshold autoregressive models. (English) Zbl 1286.91127 Appl. Stoch. Models Bus. Ind. 28, No. 1, 60-72 (2012). MSC: 91G10 91B84 90C39 93E20 62M10 PDFBibTeX XMLCite \textit{N. Song} et al., Appl. Stoch. Models Bus. Ind. 28, No. 1, 60--72 (2012; Zbl 1286.91127) Full Text: DOI
Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen A Bayesian approach for optimal reinsurance and investment in a diffusion model. (English) Zbl 1276.91065 J. Eng. Math. 76, 195-206 (2012). MSC: 91B30 91G80 49L20 93E11 PDFBibTeX XMLCite \textit{X. Zhang} et al., J. Eng. Math. 76, 195--206 (2012; Zbl 1276.91065) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen An HMM approach for optimal investment of an insurer. (English) Zbl 1276.93084 Int. J. Robust Nonlinear Control 22, No. 7, 778-807 (2012). MSC: 93E20 60J10 91B30 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{T. K. Siu}, Int. J. Robust Nonlinear Control 22, No. 7, 778--807 (2012; Zbl 1276.93084) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang A partial differential equation approach to multivariate risk theory. (English) Zbl 1282.91149 Zhang, Tusheng (ed.) et al., Stochastic analysis and applications to finance. Essays in honour of Jia-an Yan on the occasion of his 70th years birthday. Hackensack, NJ: World Scientific (ISBN 978-981-4383-57-8/hbk). Interdisciplinary Mathematical Sciences 13, 111-123 (2012). Reviewer: Hanspeter Schmidli (Köln) MSC: 91B30 60J60 60J65 PDFBibTeX XMLCite \textit{R. J. Elliott} et al., Interdiscip. Math. Sci. 13, 111--123 (2012; Zbl 1282.91149)
Ewald, Christian-Oliver; Xiao, Yajun; Zou, Yang; Siu, Tak Kuen Malliavin differentiability of a class of Feller-diffusions with relevance in finance. (English) Zbl 1277.60100 Cohen, Samuel N. (ed.) et al., Stochastic processes, finance and control. A Festschrift in honor of Robert J. Elliott. Hackensack, NJ: World Scientific (ISBN 978-981-4383-30-1/hbk). Advances in Statistics, Probability and Actuarial Science 1, 41-51 (2012). MSC: 60H07 60J60 91G80 PDFBibTeX XMLCite \textit{C.-O. Ewald} et al., Adv. Stat. Probab. Actuar. Sci. 1, 41--51 (2012; Zbl 1277.60100)
Liu, Jingzhen; Yiu, Ka-Fai Cedric; Siu, Tak Kuen A decomposition method for optimal portfolios with regime-switching and risk constraint. (English) Zbl 1263.91048 Risk Decis. Anal. 3, No. 4, 269-276 (2012). MSC: 91G10 PDFBibTeX XMLCite \textit{J. Liu} et al., Risk Decis. Anal. 3, No. 4, 269--276 (2012; Zbl 1263.91048) Full Text: DOI
Siu, Tak Kuen A BSDE approach to risk-based asset allocation of pension funds with regime switching. (English) Zbl 1260.91233 Ann. Oper. Res. 201, 449–473 (2012). MSC: 91G10 60H15 35Q91 91G80 91A23 91G60 91B30 91B32 91A15 PDFBibTeX XMLCite \textit{T. K. Siu}, Ann. Oper. Res. 201, 449--473 (2012; Zbl 1260.91233) Full Text: DOI
Zhang, Xin; Siu, Tak Kuen On optimal proportional reinsurance and investment in a Markovian regime-switching economy. (English) Zbl 1258.91115 Acta Math. Sin., Engl. Ser. 28, No. 1, 67-82 (2012). MSC: 91B30 91B54 PDFBibTeX XMLCite \textit{X. Zhang} and \textit{T. K. Siu}, Acta Math. Sin., Engl. Ser. 28, No. 1, 67--82 (2012; Zbl 1258.91115) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen Attainable contingent claims in a Markovian regime-switching market. (English) Zbl 1260.91246 Int. J. Theor. Appl. Finance 15, No. 8, Article ID 1250055, 19 p. (2012). MSC: 91G30 91G20 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{T. K. Siu}, Int. J. Theor. Appl. Finance 15, No. 8, Article ID 1250055, 19 p. (2012; Zbl 1260.91246) Full Text: DOI
Lin, Xiang; Zhang, Chunhong; Siu, Tak Kuen Stochastic differential portfolio games for an insurer in a jump-diffusion risk process. (English) Zbl 1276.91095 Math. Methods Oper. Res. 75, No. 1, 83-100 (2012). Reviewer: Yuri Kifer (Jerusalem) MSC: 91G10 91B30 91G80 91A40 91A05 91A15 91A23 49N10 60J75 PDFBibTeX XMLCite \textit{X. Lin} et al., Math. Methods Oper. Res. 75, No. 1, 83--100 (2012; Zbl 1276.91095) Full Text: DOI
Song, Na; Siu, Tak Kuen; Fard, Farzad Alavi; Ching, Wai-Ki; Fung, Eric S. Risk measures and behaviors for bonds under stochastic interest rate models. (English) Zbl 1255.91417 Math. Comput. Modelling 56, No. 9-10, 204-217 (2012). MSC: 91G30 91B30 PDFBibTeX XMLCite \textit{N. Song} et al., Math. Comput. Modelling 56, No. 9--10, 204--217 (2012; Zbl 1255.91417) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen A BSDE approach to convex risk measures for derivative securities. (English) Zbl 1254.91723 Stochastic Anal. Appl. 30, No. 6, 1083-1101 (2012). MSC: 91G20 91B30 60H10 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{T. K. Siu}, Stochastic Anal. Appl. 30, No. 6, 1083--1101 (2012; Zbl 1254.91723) Full Text: DOI
Cohen, Samuel N. (ed.); Madan, Dilip (ed.); Siu, Tak Kuen (ed.); Yang, Hailiang (ed.) Stochastic processes, finance and control. A Festschrift in honor of Robert J. Elliott. (English) Zbl 1253.00011 Advances in Statistics, Probability and Actuarial Science 1. Hackensack, NJ: World Scientific (ISBN 978-981-4383-30-1/hbk). xv, 588 p. (2012). MSC: 00B15 00B30 60-06 91-06 93-06 60Hxx 91Axx 91Gxx 93Exx PDFBibTeX XMLCite \textit{S. N. Cohen} (ed.) et al., Stochastic processes, finance and control. A Festschrift in honor of Robert J. Elliott. Hackensack, NJ: World Scientific (2012; Zbl 1253.00011)
Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen; Guo, Junyi Markovian regime-switching market completion using additional Markov jump assets. (English) Zbl 1280.91078 IMA J. Manag. Math. 23, No. 3, 283-305 (2012). MSC: 91B25 60H30 60J27 91G20 PDFBibTeX XMLCite \textit{X. Zhang} et al., IMA J. Manag. Math. 23, No. 3, 283--305 (2012; Zbl 1280.91078) Full Text: DOI
Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance. (English) Zbl 1244.93180 SIAM J. Control Optim. 50, No. 2, 964-990 (2012). MSC: 93E20 49K45 91G80 91G10 PDFBibTeX XMLCite \textit{X. Zhang} et al., SIAM J. Control Optim. 50, No. 2, 964--990 (2012; Zbl 1244.93180) Full Text: DOI Link
Elliott, Robert J.; Siu, Tak Kuen; Fung, Eric S. Filtering a nonlinear stochastic volatility model. (English) Zbl 1356.91073 Nonlinear Dyn. 67, No. 2, 1295-1313 (2012). MSC: 91B70 37N40 62M10 PDFBibTeX XMLCite \textit{R. J. Elliott} et al., Nonlinear Dyn. 67, No. 2, 1295--1313 (2012; Zbl 1356.91073) Full Text: DOI
Fung, Eric S.; Siu, Tak Kuen A flexible Markov chain approach for multivariate credit ratings. (English) Zbl 1245.91097 Comput. Econ. 39, No. 2, 135-143 (2012). MSC: 91G40 PDFBibTeX XMLCite \textit{E. S. Fung} and \textit{T. K. Siu}, Comput. Econ. 39, No. 2, 135--143 (2012; Zbl 1245.91097) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen A risk-based approach for pricing American options under a generalized Markov regime-switching model. (English) Zbl 1277.91169 Quant. Finance 11, No. 11, 1633-1646 (2011). MSC: 91G20 91B30 90C90 90C39 91A80 91A15 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{T. K. Siu}, Quant. Finance 11, No. 11, 1633--1646 (2011; Zbl 1277.91169) Full Text: DOI
Siu, Tak Kuen Long-term strategic asset allocation with inflation risk and regime switching. (English) Zbl 1258.91206 Quant. Finance 11, No. 10, 1565-1580 (2011). MSC: 91G10 91G50 60J28 65C20 PDFBibTeX XMLCite \textit{T. K. Siu}, Quant. Finance 11, No. 10, 1565--1580 (2011; Zbl 1258.91206) Full Text: DOI