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
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