Edit Profile (opens in new tab) Siu, Tak Kuen Compute Distance To: Compute Author ID: siu.tak-kuen Published as: Siu, Tak Kuen; Siu, Tak-Kuen; Siu, T. K.; Siu, Takkuen more...less Further Spellings: Siu, Ken Homepage: https://researchers.mq.edu.au/en/persons/ken-siu External Links: ORCID · dblp Documents Indexed: 180 Publications since 1977, including 1 Book 1 Contribution as Editor Reviewing Activity: 49 Reviews Co-Authors: 77 Co-Authors with 163 Joint Publications 2,329 Co-Co-Authors all top 5 Co-Authors 18 single-authored 60 Elliott, Robert James 30 Ching, Wai-Ki 26 Yang, Hailiang 14 Shen, Yang 12 Lau, John Wei 10 Chan, Leunglung 9 Gu, Jiawen 9 Meng, Hui 8 Fung, Eric S. 8 Song, Na 7 Yiu, Ka Fai Cedric 7 Zhang, Xin 6 Liu, Jingzhen 6 Ng, Michael Kwok-Po 6 Tong, Howell 5 Yang, Qingqing 5 Zhu, Dongmei 4 Badescu, Alexandru M. 4 Fan, Kun 4 Liew, Chuin Ching 4 Wang, Rongming 4 Xie, Yue 3 Cohen, Samuel N. 3 Fard, Farzad Alavi 3 Huang, Ximin 3 Madan, Dilip B. 3 Wang, Ning 3 Yu, Fenghui 3 Zheng, Harry H. 3 Zhu, Jinxia 2 Ewald, Christian-Oliver 2 Leondes, Cornelius Thomas 2 Li, Limin 2 Li, Wai Keung 2 Yiu, Cedric Ka-Fai 2 Yuen, Fei Lung 2 Zhang, Lianmin 1 Asimit, Alexandru V. 1 Ching, Wa-Ki 1 Erlwein, Christina 1 Feng, Yang 1 Fung, S. Eric 1 Goswami, Anindya 1 Guo, Junyi 1 He, Wanhua 1 Huang, Min 1 Jiao, Yue 1 Jin, Zhuo 1 Jonathan J. 1 Kulperger, Reg J. 1 Li, Tang 1 Li, Xiaoyue 1 Li, Xun 1 Liao, Pu 1 Lin, Xiang 1 Lu, Fuqiang 1 Lu, Zudi 1 Mamon, Rogemar S. 1 Meng, Qingbin 1 Miao, Hong 1 Miettinen, Jarkko 1 Nawar, Roy 1 Ouyang, Ruolan 1 Qiu, Ming 1 Rana, Nimit 1 Teo, Kok Lay 1 Wong, Shiu Fung 1 Woo, Wing Hoe 1 Wu, Zhenyu 1 Xiao, Yajun 1 Zhang, Chunhong 1 Zhang, Qiang 1 Zhang, Zhiwen 1 Zhao, Qian 1 Zhou, Ming 1 Zinchenko, Yuriy 1 Zou, Yang all top 5 Serials 15 Insurance Mathematics & Economics 11 Journal of Industrial and Management Optimization 10 Quantitative Finance 8 Stochastic Analysis and Applications 7 Applied Mathematical Finance 7 North American Actuarial Journal 6 International Journal of Theoretical and Applied Finance 6 IMA Journal of Management Mathematics 5 Scandinavian Actuarial Journal 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 Mathematical Economics 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 Studies in Nonlinear Dynamics and Econometrics 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 1 Probability, Uncertainty and Quantitative Risk all top 5 Fields 166 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 86 Probability theory and stochastic processes (60-XX) 37 Systems theory; control (93-XX) 32 Statistics (62-XX) 22 Operations research, mathematical programming (90-XX) 17 Calculus of variations and optimal control; optimization (49-XX) 6 Partial differential equations (35-XX) 5 Numerical analysis (65-XX) 2 General and overarching topics; collections (00-XX) 1 Ordinary differential equations (34-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Difference and functional equations (39-XX) 1 Integral transforms, operational calculus (44-XX) 1 Computer science (68-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 146 Publications have been cited 1,549 times in 801 Documents Cited by ▼ Year ▼ Option pricing and Esscher transform under regime switching. Zbl 1233.91270Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen 183 2005 Optimal investment and reinsurance of an insurer with model uncertainty. Zbl 1231.91257Zhang, Xin; Siu, Tak Kuen 55 2009 Pricing volatility swaps under Heston’s stochastic volatility model with regime switching. Zbl 1281.91161Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 51 2007 Pricing options under a generalized Markov-modulated jump-diffusion model. Zbl 1155.91380Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung; Lau, John W. 49 2007 Fair valuation of participating policies with surrender options and regime switching. Zbl 1129.60062Siu, Tak Kuen 47 2005 On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy. Zbl 1233.91242Elliott, Robert J.; Siu, Tak Kuen 46 2010 A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance. Zbl 1244.93180Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen 46 2012 On Markov-modulated exponential-affine bond price formulae. Zbl 1169.91342Elliott, Robert J.; Siu, Tak Kuen 39 2009 The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem. Zbl 1279.49015Shen, Yang; Siu, Tak Kuen 32 2013 Pricing currency options under two-factor Markov-modulated stochastic volatility models. Zbl 1152.91550Siu, Tak Kuen; Yang, Hailiang; Lau, John W. 32 2008 A stochastic differential game for optimal investment of an insurer with regime switching. Zbl 1232.91346Elliott, Robert J.; Siu, Tak Kuen 29 2011 Stochastic differential portfolio games for an insurer in a jump-diffusion risk process. Zbl 1276.91095Lin, Xiang; Zhang, Chunhong; Siu, Tak Kuen 28 2012 On pricing derivatives under GARCH models: a dynamic Gerber-Shiu approach. Zbl 1085.91531Siu, Tak Kuen; Tong, Howell; Yang, Hailiang 27 2004 Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows. Zbl 1194.91088Siu, Tak Kuen 27 2010 On pricing and hedging options in regime-switching models with feedback effect. Zbl 1209.91156Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alexandru 26 2011 Optimal portfolios with regime switching and value-at-risk constraint. Zbl 1189.91199Yiu, Ka-Fai Cedric; Liu, Jingzhen; Siu, Tak Kuen; Ching, Wai-Ki 24 2010 Optimal mixed impulse-equity insurance control problem with reinsurance. Zbl 1229.91164Meng, Hui; Siu, Tak Kuen 24 2011 Mean-variance portfolio selection under a constant elasticity of variance model. Zbl 1408.91203Shen, Yang; Zhang, Xin; Siu, Tak Kuen 21 2014 A BSDE approach to a risk-based optimal investment of an insurer. Zbl 1213.60100Elliott, Robert J.; Siu, Tak Kuen 21 2011 Pricing participating products under a generalized jump-diffusion model. Zbl 1141.91386Siu, Tak Kuen; Lau, John W.; Yang, Hailiang 21 2008 Pricing annuity guarantees under a double regime-switching model. Zbl 1318.91111Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming 20 2015 Option pricing and filtering with hidden Markov-modulated pure-jump processes. Zbl 1457.91372Elliott, Robert J.; Siu, Tak Kuen 19 2013 Robust optimal portfolio choice under Markovian regime-switching model. Zbl 1162.91372Elliott, Robert J.; Siu, Tak Kuen 19 2009 On optimal proportional reinsurance and investment in a Markovian regime-switching economy. Zbl 1258.91115Zhang, Xin; Siu, Tak Kuen 17 2012 Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching. Zbl 1264.91129Shen, Yang; Siu, Tak Kuen 17 2013 On pricing barrier options with regime switching. Zbl 1350.91016Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 16 2014 A game theoretic approach to option valuation under Markovian regime-switching models. Zbl 1141.91344Siu, Tak Kuen 16 2008 Longevity bond pricing under stochastic interest rate and mortality with regime-switching. Zbl 1291.91212Shen, Yang; Siu, Tak Kuen 15 2013 A BSDE approach to risk-based asset allocation of pension funds with regime switching. Zbl 1260.91233Siu, Tak Kuen 15 2012 Portfolio selection in the enlarged Markovian regime-switching market. Zbl 1202.91308Zhang, Xin; Siu, Tak Kuen; Meng, Qingbin 15 2010 Bayesian risk measures for derivatives via random Esscher transform. Zbl 1083.62544Siu, Tak Kuen; Tong, Howell; Yang, Hailiang 14 2001 Option pricing when the regime-switching risk is priced. Zbl 1188.91222Siu, Tak Kuen; Yang, Hailiang 14 2009 Optimal dividends with debts and nonlinear insurance risk processes. Zbl 1284.91564Meng, Hui; Siu, Tak Kuen; Yang, Hailiang 13 2013 A BSDE approach to optimal investment of an insurer with hidden regime switching. Zbl 1267.91087Siu, Tak Kuen 13 2013 An HMM approach for optimal investment of an insurer. Zbl 1276.93084Elliott, Robert J.; Siu, Tak Kuen 13 2012 Long-term strategic asset allocation with inflation risk and regime switching. Zbl 1258.91206Siu, Tak Kuen 12 2011 Option pricing for GARCH models with Markov switching. Zbl 1138.91437Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 12 2006 Regime-switching risk: to price or not to price? Zbl 1230.91203Siu, Tak Kuen 12 2011 A PDE approach for risk measures for derivatives with regime switching. Zbl 1233.91271Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 12 2008 On a multivariate Markov chain model for credit risk measurement. Zbl 1134.91485Siu, Tak-Kuen; Ching, Wai-Ki; Fung, S. Eric; Ng, Michael K. 11 2005 Optimal investment-reinsurance with dynamic risk constraint and regime switching. Zbl 1280.91093Liu, Jingzhen; Yiu, Ka-Fai Cedric; Siu, Tak Kuen; Ching, Wai-Ki 11 2013 Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model. Zbl 1290.60066Shen, Yang; Siu, Tak Kuen 10 2013 A hidden Markov regime-switching model for option valuation. Zbl 1231.91443Liew, Chuin Ching; Siu, Tak Kuen 10 2010 Pricing and hedging contingent claims with regime switching risk. Zbl 1216.91032Elliott, Robert J.; Siu, Tak Kuen 10 2011 Filtering a Markov modulated random measure. Zbl 1368.93711Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang 9 2010 Esscher transforms and consumption-based models. Zbl 1231.91423Badescu, Alex; Elliott, Robert J.; Siu, Tak Kuen 9 2009 Coherent risk measures for derivatives under Black–Scholes economy. Zbl 1153.91606Yang, H.; Siu, T. K. 9 2001 A self-exciting threshold jump-diffusion model for option valuation. Zbl 1369.91185Siu, Tak Kuen 7 2016 Optimal dividend-reinsurance with two types of premium principles. Zbl 1414.91220Meng, Hui; Zhou, Ming; Siu, Tak Kuen 7 2016 Option pricing under threshold autoregressive models by threshold Esscher transform. Zbl 1135.91362Siu, Tak Kuen; Tong, Howell; Yang, Hailiang 7 2006 A stochastic flows approach for asset allocation with hidden economic environment. Zbl 1346.60104Siu, Tak Kuen 7 2015 Optimal insurance risk control with multiple reinsurers. Zbl 1339.93124Meng, Hui; Siu, Tak Kuen; Yang, Hailiang 7 2016 A hidden Markov-modulated jump diffusion model for European option pricing. Zbl 1418.91539Siu, Tak Kuen 7 2014 A PDE approach to risk measures of derivatives. Zbl 1013.91060Siu, Tak Kuen; Yang, Hailiang 7 2000 Robust reinsurance contracts with risk constraint. Zbl 1447.91151Wang, Ning; Siu, Tak Kuen 7 2020 Optimal portfolio in a continuous-time self-exciting threshold model. Zbl 1274.91389Meng, Hui; Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang 7 2013 Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach. Zbl 1290.91179Fard, Farzad Alavi; Siu, Tak Kuen 6 2013 Option valuation under a regime-switching constant elasticity of variance process. Zbl 1422.91691Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen 6 2013 On optimal cash management under a stochastic volatility model. Zbl 1284.91565Song, Na; Ching, Wai-Ki; Siu, Tak-Kuen; Yiu, Cedric Ka-Fai 6 2013 Martingale representation for contingent claims with regime switching. Zbl 1328.91291Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang 6 2007 Functional Itô’s calculus and dynamic convex risk measures for derivative securities. Zbl 1331.91183Siu, Tak Kuen 6 2012 On pricing basket credit default swaps. Zbl 1282.91328Gu, Jia-Wen; Ching, Wai-Ki; Siu, Tak-Kuen; Zheng, Harry 6 2013 On Bayesian mixture credibility. Zbl 1162.91422Lau, John W.; Siu, Tak Kuen; Yang, Hailiang 6 2006 Impulse control of proportional reinsurance with constraints. Zbl 1229.91165Meng, Hui; Siu, Tak Kuen 6 2011 Ruin theory in a hidden Markov-modulated risk model. Zbl 1237.91127Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang 6 2011 A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions. Zbl 1282.91116Badescu, Alexandru; Elliott, Robert J.; Kulperger, Reg; Miettinen, Jarkko; Siu, Tak Kuen 6 2011 Markov chains. Models, algorithms and applications. 2nd ed. Zbl 1270.60001Ching, Wai-Ki; Huang, Ximin; Ng, Michael K.; Siu, Tak-Kuen 6 2013 A Markov regime-switching marked point process for short-rate analysis with credit risk. Zbl 1203.91304Siu, Tak Kuen 6 2010 Risk measures for derivatives with Markov-modulated pure jump processes. Zbl 1283.91173Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen 6 2006 Backward stochastic difference equations for dynamic convex risk measures on a binomial tree. Zbl 1390.91333Elliott, Robert J.; Siu, Tak Kuen; Cohen, Samuel N. 5 2015 Pricing dynamic fund protection under hidden Markov models. Zbl 1473.91014Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming 5 2018 A Dupire equation for a regime-switching model. Zbl 1337.91095Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen 5 2015 On modeling credit defaults: a probabilistic Boolean network approach. Zbl 1294.91182Gu, Jia-Wen; Ching, Wai-Ki; Siu, Tak-Kuen; Zheng, Harry 5 2013 Risk-based indifference pricing under a stochastic volatility model. Zbl 1331.91175Elliott, Robert J.; Siu, Tak Kuen 5 2010 An FFT approach for option pricing under a regime-switching stochastic interest rate model. Zbl 1369.91178Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming 5 2017 Portfolio risk minimization and differential games. Zbl 1239.91145Elliott, Robert J.; Siu, Tak Kuen 5 2009 Singular dividend optimization for a linear diffusion model with time-inconsistent preferences. Zbl 1441.91065Zhu, Jinxia; Siu, Tak Kuen; Yang, Hailiang 5 2020 Option valuation by a self-exciting threshold binomial model. Zbl 1297.91139Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang 5 2013 Pricing and managing risks of European-style options in a Markovian regime-switching binomial model. Zbl 1298.91163Fard, Farzad Alavi; Siu, Tak Kuen 5 2013 A high-order Markov-switching model for risk measurement. Zbl 1189.91084Siu, T. K.; Ching, W. K.; Fung, E.; Ng, M.; Li, X. 5 2009 Pricing exotic options under a high-order Markovian regime switching model. Zbl 1170.91372Ching, Wai-Ki; Siu, Tak-Kuen; Li, Li-Min 5 2007 Subjective risk measures: Bayesian predictive scenarios analysis. Zbl 0954.62125Siu, Tak Kuen; Yang, Hailiang 5 1999 A functional Itô’s calculus approach to convex risk measures with jump diffusion. Zbl 1346.91272Siu, Tak Kuen 4 2016 Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model. Zbl 1362.93168Shen, Yang; Siu, Tak Kuen 4 2017 Asset pricing using trading volumes in a hidden regime-switching environment. Zbl 1368.91170Elliott, Robert J.; Siu, Tak Kuen 4 2015 Extracting information from spot interest rates and credit ratings using double higher-order hidden Markov models. Zbl 1122.91365Siu, Tak-Kuen; Ching, Wai-Ki; Fung, Eric S.; Ng, Michael K. 4 2005 Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model. Zbl 1414.91389Siu, Tak Kuen; Shen, Yang 4 2017 Optimal investment of an insurer with regime-switching and risk constraint. Zbl 1401.91169Liu, Jingzhen; Yiu, Ka-Fai Cedric; Siu, Tak Kuen 4 2014 A risk-based approach for pricing American options under a generalized Markov regime-switching model. Zbl 1277.91169Elliott, Robert J.; Siu, Tak Kuen 4 2011 Modelling long-term investment returns via Bayesian infinite mixture time series models. Zbl 1224.91068Lau, John W.; Siu, Tak Kuen 4 2008 On filtering and estimation of a threshold stochastic volatility model. Zbl 1231.91486Elliott, Robert J.; Liew, Chuin Ching; Siu, Tak Kuen 4 2011 On option pricing under a completely random measure via a generalized Esscher transform. Zbl 1140.91400Lau, John W.; Siu, Tak Kuen 4 2008 Interactive hidden Markov models and their applications. Zbl 1123.62087Ching, W. K.; Fung, E.; Ng, M.; Siu, T. K.; Li, W. K. 4 2007 Attainable contingent claims in a Markovian regime-switching market. Zbl 1260.91246Elliott, Robert J.; Siu, Tak Kuen 3 2012 Market-making strategy with asymmetric information and regime-switching. Zbl 1401.91600Yang, Qing-Qing; Ching, Wai-Ki; Gu, Jia-Wen; Siu, Tak-Kuen 3 2018 Hedging options in a doubly Markov-modulated financial market via stochastic flows. Zbl 1431.91404Siu, Tak Kuen; Elliott, Robert J. 3 2019 Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales. Zbl 1415.91295Yang, Qing-Qing; Ching, Wai-Ki; He, Wanhua; Siu, Tak-Kuen 3 2019 Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model. Zbl 1348.93285Zhu, Dong-Mei; Xie, Yue; Ching, Wai-Ki; Siu, Tak-Kuen 3 2016 Malliavin differentiability of a class of Feller-diffusions with relevance in finance. Zbl 1277.60100Ewald, Christian-Oliver; Xiao, Yajun; Zou, Yang; Siu, Tak Kuen 3 2012 Credit portfolio management using two-level particle swarm optimization. Zbl 1321.91110Lu, Fu-Qiang; Huang, Min; Ching, Wai-Ki; Siu, Tak Kuen 3 2013 Robust reinsurance contracts with risk constraint. Zbl 1447.91151Wang, Ning; Siu, Tak Kuen 7 2020 Singular dividend optimization for a linear diffusion model with time-inconsistent preferences. Zbl 1441.91065Zhu, Jinxia; Siu, Tak Kuen; Yang, Hailiang 5 2020 Hedging options in a doubly Markov-modulated financial market via stochastic flows. Zbl 1431.91404Siu, Tak Kuen; Elliott, Robert J. 3 2019 Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales. Zbl 1415.91295Yang, 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 1425.91408Siu, Tak Kuen; Zhu, Jinxia; Yang, Hailiang 2 2019 Pricing dynamic fund protection under hidden Markov models. Zbl 1473.91014Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming 5 2018 Market-making strategy with asymmetric information and regime-switching. Zbl 1401.91600Yang, Qing-Qing; Ching, Wai-Ki; Gu, Jia-Wen; Siu, Tak-Kuen 3 2018 A note on regime-switching Kolmogorov’s forward and backward equations using stochastic flows. Zbl 1392.60060Elliott, Robert J.; Siu, Tak Kuen 2 2018 A hidden Markov regime-switching smooth transition model. Zbl 1507.62283Elliott, Robert J.; Siu, Tak Kuen; Lau, John W. 1 2018 An FFT approach for option pricing under a regime-switching stochastic interest rate model. Zbl 1369.91178Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming 5 2017 Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model. Zbl 1362.93168Shen, Yang; Siu, Tak Kuen 4 2017 Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model. Zbl 1414.91389Siu, Tak Kuen; Shen, Yang 4 2017 Hidden Markov models with threshold effects and their applications to oil price forecasting. Zbl 1364.90352Zhu, Dong-Mei; Ching, Wai-Ki; Elliott, Robert J.; Siu, Tak-Kuen; Zhang, Lianmin 2 2017 Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations. Zbl 1409.62212Elliott, Robert J.; Siu, Tak Kuen 2 2017 A real option approach for investment opportunity valuation. Zbl 1361.91061Song, Na; Xie, Yue; Ching, Wai-Ki; Siu, Tak-Kuen 2 2017 Impact of reorder option in supply chain coordination. Zbl 1364.90030Song, Na; Huang, Ximin; Xie, Yue; Ching, Wai-Ki; Siu, Tak-Kuen 1 2017 A higher-order interactive hidden Markov model and its applications. Zbl 1396.60082Zhu, Dong-Mei; Ching, Wai-Ki; Elliott, Robert J.; Siu, Tak-Kuen; Zhang, Lianmin 1 2017 A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach. Zbl 1360.62464Wong, Shiu Fung; Tong, Howell; Siu, Tak Kuen; Lu, Zudi 1 2017 A note on optimal insurance risk control with multiple reinsurers. Zbl 1357.93105Meng, Hui; Siu, Tak Kuen; Yang, Hailiang 1 2017 A self-exciting threshold jump-diffusion model for option valuation. Zbl 1369.91185Siu, Tak Kuen 7 2016 Optimal dividend-reinsurance with two types of premium principles. Zbl 1414.91220Meng, Hui; Zhou, Ming; Siu, Tak Kuen 7 2016 Optimal insurance risk control with multiple reinsurers. Zbl 1339.93124Meng, Hui; Siu, Tak Kuen; Yang, Hailiang 7 2016 A functional Itô’s calculus approach to convex risk measures with jump diffusion. Zbl 1346.91272Siu, Tak Kuen 4 2016 Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model. Zbl 1348.93285Zhu, Dong-Mei; Xie, Yue; Ching, Wai-Ki; Siu, Tak-Kuen 3 2016 Pricing options in a Markov regime switching model with a random acceleration for the volatility. Zbl 1418.91509Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen 3 2016 On a Markov chain approximation method for option pricing with regime switching. Zbl 1325.91052Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming 1 2016 Pricing annuity guarantees under a double regime-switching model. Zbl 1318.91111Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming 20 2015 A stochastic flows approach for asset allocation with hidden economic environment. Zbl 1346.60104Siu, Tak Kuen 7 2015 Backward stochastic difference equations for dynamic convex risk measures on a binomial tree. Zbl 1390.91333Elliott, Robert J.; Siu, Tak Kuen; Cohen, Samuel N. 5 2015 A Dupire equation for a regime-switching model. Zbl 1337.91095Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen 5 2015 Asset pricing using trading volumes in a hidden regime-switching environment. Zbl 1368.91170Elliott, Robert J.; Siu, Tak Kuen 4 2015 Capital requirements and optimal investment with solvency probability constraints. Zbl 1433.91125Asimit, Alexandru V.; Badescu, Alexandru M.; Siu, Tak Kuen; Zinchenko, Yuriy 2 2015 A note on differentiability in a Markov chain market using stochastic flows. Zbl 1336.91073Elliott, Robert J.; Siu, Tak Kuen 2 2015 Mean-variance portfolio selection under a constant elasticity of variance model. Zbl 1408.91203Shen, Yang; Zhang, Xin; Siu, Tak Kuen 21 2014 On pricing barrier options with regime switching. Zbl 1350.91016Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 16 2014 A hidden Markov-modulated jump diffusion model for European option pricing. Zbl 1418.91539Siu, Tak Kuen 7 2014 Optimal investment of an insurer with regime-switching and risk constraint. Zbl 1401.91169Liu, Jingzhen; Yiu, Ka-Fai Cedric; Siu, Tak Kuen 4 2014 Integration by parts and martingale representation for a Markov chain. Zbl 1469.60244Siu, Tak Kuen 3 2014 Filtering and change point estimation for hidden Markov-modulated Poisson processes. Zbl 1311.62128Elliott, Robert J.; Siu, Tak Kuen 2 2014 Risk-based asset allocation under Markov-modulated pure jump processes. Zbl 1291.91197Meng, Hui; Siu, Tak Kuen 2 2014 Strategic asset allocation under a fractional hidden Markov model. Zbl 1307.91160Elliott, Robert J.; Siu, Tak Kuen 2 2014 The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem. Zbl 1279.49015Shen, Yang; Siu, Tak Kuen 32 2013 Option pricing and filtering with hidden Markov-modulated pure-jump processes. Zbl 1457.91372Elliott, Robert J.; Siu, Tak Kuen 19 2013 Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching. Zbl 1264.91129Shen, Yang; Siu, Tak Kuen 17 2013 Longevity bond pricing under stochastic interest rate and mortality with regime-switching. Zbl 1291.91212Shen, Yang; Siu, Tak Kuen 15 2013 Optimal dividends with debts and nonlinear insurance risk processes. Zbl 1284.91564Meng, Hui; Siu, Tak Kuen; Yang, Hailiang 13 2013 A BSDE approach to optimal investment of an insurer with hidden regime switching. Zbl 1267.91087Siu, Tak Kuen 13 2013 Optimal investment-reinsurance with dynamic risk constraint and regime switching. Zbl 1280.91093Liu, Jingzhen; Yiu, Ka-Fai Cedric; Siu, Tak Kuen; Ching, Wai-Ki 11 2013 Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model. Zbl 1290.60066Shen, Yang; Siu, Tak Kuen 10 2013 Optimal portfolio in a continuous-time self-exciting threshold model. Zbl 1274.91389Meng, Hui; Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang 7 2013 Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach. Zbl 1290.91179Fard, Farzad Alavi; Siu, Tak Kuen 6 2013 Option valuation under a regime-switching constant elasticity of variance process. Zbl 1422.91691Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen 6 2013 On optimal cash management under a stochastic volatility model. Zbl 1284.91565Song, Na; Ching, Wai-Ki; Siu, Tak-Kuen; Yiu, Cedric Ka-Fai 6 2013 On pricing basket credit default swaps. Zbl 1282.91328Gu, Jia-Wen; Ching, Wai-Ki; Siu, Tak-Kuen; Zheng, Harry 6 2013 Markov chains. Models, algorithms and applications. 2nd ed. Zbl 1270.60001Ching, Wai-Ki; Huang, Ximin; Ng, Michael K.; Siu, Tak-Kuen 6 2013 On modeling credit defaults: a probabilistic Boolean network approach. Zbl 1294.91182Gu, Jia-Wen; Ching, Wai-Ki; Siu, Tak-Kuen; Zheng, Harry 5 2013 Option valuation by a self-exciting threshold binomial model. Zbl 1297.91139Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang 5 2013 Pricing and managing risks of European-style options in a Markovian regime-switching binomial model. Zbl 1298.91163Fard, Farzad Alavi; Siu, Tak Kuen 5 2013 Credit portfolio management using two-level particle swarm optimization. Zbl 1321.91110Lu, Fu-Qiang; Huang, Min; Ching, Wai-Ki; Siu, Tak Kuen 3 2013 Reflected backward stochastic differential equations, convex risk measures and American options. Zbl 1343.60093Elliott, Robert J.; Siu, Tak Kuen 3 2013 Filtering a double threshold model with regime switching. Zbl 1369.93282Elliott, Robert J.; Siu, Tak Kuen; Lau, John W. 2 2013 A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance. Zbl 1244.93180Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen 46 2012 Stochastic differential portfolio games for an insurer in a jump-diffusion risk process. Zbl 1276.91095Lin, Xiang; Zhang, Chunhong; Siu, Tak Kuen 28 2012 On optimal proportional reinsurance and investment in a Markovian regime-switching economy. Zbl 1258.91115Zhang, Xin; Siu, Tak Kuen 17 2012 A BSDE approach to risk-based asset allocation of pension funds with regime switching. Zbl 1260.91233Siu, Tak Kuen 15 2012 An HMM approach for optimal investment of an insurer. Zbl 1276.93084Elliott, Robert J.; Siu, Tak Kuen 13 2012 Functional Itô’s calculus and dynamic convex risk measures for derivative securities. Zbl 1331.91183Siu, Tak Kuen 6 2012 Attainable contingent claims in a Markovian regime-switching market. Zbl 1260.91246Elliott, Robert J.; Siu, Tak Kuen 3 2012 Malliavin differentiability of a class of Feller-diffusions with relevance in finance. Zbl 1277.60100Ewald, Christian-Oliver; Xiao, Yajun; Zou, Yang; Siu, Tak Kuen 3 2012 A BSDE approach to convex risk measures for derivative securities. Zbl 1254.91723Elliott, Robert J.; Siu, Tak Kuen 3 2012 Markovian regime-switching market completion using additional Markov jump assets. Zbl 1280.91078Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen; Guo, Junyi 3 2012 Markovian forward-backward stochastic differential equations and stochastic flows. Zbl 1273.60067Elliott, Robert J.; Siu, Tak Kuen 3 2012 A real option approach to optimal inventory management of retail products. Zbl 1364.90121Huang, 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 1276.91065Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen 2 2012 A flexible Markov chain approach for multivariate credit ratings. Zbl 1245.91097Fung, Eric S.; Siu, Tak Kuen 2 2012 Filtering a nonlinear stochastic volatility model. Zbl 1356.91073Elliott, Robert J.; Siu, Tak Kuen; Fung, Eric S. 2 2012 Asset allocation under threshold autoregressive models. Zbl 1286.91127Song, Na; Siu, Tak Kuen; Ching, Wa-Ki; Tong, Howell; Yang, Hailiang 1 2012 Viterbi-based estimation for Markov switching GARCH model. Zbl 1372.91117Elliott, Robert J.; Lau, John W.; Miao, Hong; Siu, Tak Kuen 1 2012 Stochastic processes, finance and control. A Festschrift in honor of Robert J. Elliott. Zbl 1253.00011 1 2012 A stochastic differential game for optimal investment of an insurer with regime switching. Zbl 1232.91346Elliott, Robert J.; Siu, Tak Kuen 29 2011 On pricing and hedging options in regime-switching models with feedback effect. Zbl 1209.91156Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alexandru 26 2011 Optimal mixed impulse-equity insurance control problem with reinsurance. Zbl 1229.91164Meng, Hui; Siu, Tak Kuen 24 2011 A BSDE approach to a risk-based optimal investment of an insurer. Zbl 1213.60100Elliott, Robert J.; Siu, Tak Kuen 21 2011 Long-term strategic asset allocation with inflation risk and regime switching. Zbl 1258.91206Siu, Tak Kuen 12 2011 Regime-switching risk: to price or not to price? Zbl 1230.91203Siu, Tak Kuen 12 2011 Pricing and hedging contingent claims with regime switching risk. Zbl 1216.91032Elliott, Robert J.; Siu, Tak Kuen 10 2011 Impulse control of proportional reinsurance with constraints. Zbl 1229.91165Meng, Hui; Siu, Tak Kuen 6 2011 Ruin theory in a hidden Markov-modulated risk model. Zbl 1237.91127Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang 6 2011 A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions. Zbl 1282.91116Badescu, Alexandru; Elliott, Robert J.; Kulperger, Reg; Miettinen, Jarkko; Siu, Tak Kuen 6 2011 A risk-based approach for pricing American options under a generalized Markov regime-switching model. Zbl 1277.91169Elliott, Robert J.; Siu, Tak Kuen 4 2011 On filtering and estimation of a threshold stochastic volatility model. Zbl 1231.91486Elliott, Robert J.; Liew, Chuin Ching; Siu, Tak Kuen 4 2011 Option valuation with a discrete-time double Markovian regime-switching model. Zbl 1239.91167Siu, Tak Kuen; Fung, Eric S.; Ng, Michael K. 3 2011 Utility-based indifference pricing in regime-switching models. Zbl 1237.91220Elliott, Robert J.; Siu, Tak Kuen 3 2011 Characteristic functions and option valuation in a Markov chain market. Zbl 1228.91069Elliott, Robert J.; Liew, Chuin Ching; Siu, Tak Kuen 3 2011 Martingale representation and admissible portfolio process with regime switching. Zbl 1232.91629Liew, Chuin Ching; Siu, Tak Kuen 2 2011 Default times in a continuous-time Markovian regime switching model. Zbl 1233.91297Elliott, Robert J.; Siu, Tak Kuen 2 2011 Control of discrete-time HMM partially observed under fractional Gaussian noises. Zbl 1215.93080Elliott, Robert J.; Siu, Tak Kuen 1 2011 On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy. Zbl 1233.91242Elliott, Robert J.; Siu, Tak Kuen 46 2010 Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows. Zbl 1194.91088Siu, Tak Kuen 27 2010 Optimal portfolios with regime switching and value-at-risk constraint. Zbl 1189.91199Yiu, Ka-Fai Cedric; Liu, Jingzhen; Siu, Tak Kuen; Ching, Wai-Ki 24 2010 ...and 46 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,080 Authors 100 Siu, Tak Kuen 47 Elliott, Robert James 28 Shen, Yang 27 Yang, Hailiang 23 Ching, Wai-Ki 19 Jin, Zhuo 18 Yuen, Kam Chuen 16 Dong, Yinghui 15 Wang, Guojing 13 Qian, Linyi 13 Zhu, Songping 11 Chan, Leunglung 11 Sun, Zhongyang 11 Yam, Sheung Chi Phillip 11 Zhang, Xin 10 Chen, Ping 10 Meng, Hui 10 Wang, Rongming 10 Wang, Wei 10 Wu, Zhen 10 Zeng, Yan 9 Mamon, Rogemar S. 9 Wang, Yongjin 8 Lian, Guanghua 8 Wei, Jiaqin 8 Zhou, Ming 7 Lau, John Wei 7 Menoukeu Pamen, Olivier 7 Wang, Ning 7 Wong, Hoi Ying 7 Yiu, Ka Fai Cedric 6 Badescu, Alexandru M. 6 Chen, Lv 6 Guo, Junyi 6 Hieber, Peter 6 Li, Xun 6 Peng, Xingchun 6 Siu, Chi Chung 6 Wang, Yan 6 Xiong, Jie 6 Xu, Lin 6 Zhang, Nan 5 Bensoussan, Alain 5 Blake, David 5 Bo, Lijun 5 Chen, Mi 5 Chen, Zhiping 5 D’Amico, Guglielmo 5 Fard, Farzad Alavi 5 Fung, Eric S. 5 Gu, Jiawen 5 Hainaut, Donatien 5 He, Xinjiang 5 Khaliq, Abdul Q. M. 5 Li, Danping 5 Li, Zhongfei 5 Liang, Xue 5 Liu, Jingzhen 5 Momeya, Romuald Hervé 5 Wang, Xingchun 5 Weber, Gerhard-Wilhelm 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 Fan, Kun 4 Godin, Frédéric 4 Gu, Ailing 4 Li, Shuanming 4 Liang, Zhibin 4 Lv, Siyu 4 MacMinn, Richard D. 4 Mandjes, Michel Robertus Hendrikus 4 Ng, Michael Kwok-Po 4 Song, Aimin 4 Song, Na 4 Spreij, Peter 4 Su, Xiaonan 4 Tan, Ken Seng 4 Tembine, Hamidou 4 Viens, Frederi G. 4 Wang, Chou-Wen 4 Wang, Wensheng 4 Wang, Wenyuan 4 Wu, Chongfeng 4 Yang, Qingqing 4 Zhao, Hui 4 Zhou, Jieming 4 Zhu, Jinxia 4 Ziveyi, Jonathan 3 A, Chunxiang 3 Alia, Ishak 3 Bai, Zhengjian 3 Cao, Jiling 3 Capponi, Agostino 3 Cui, Zhenyu 3 Dela Vega, Engel John C. ...and 980 more Authors all top 5 Cited in 148 Serials 101 Insurance Mathematics & Economics 37 Journal of Computational and Applied Mathematics 34 Journal of Industrial and Management Optimization 28 International Journal of Theoretical and Applied Finance 28 Quantitative Finance 26 Communications in Statistics. 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Mathematics 3 AIMS Mathematics 3 Probability, Uncertainty and Quantitative Risk 2 Advances in Applied Probability 2 Mathematics and Computers in Simulation 2 Optimal Control Applications & Methods 2 Bulletin of the Korean Mathematical Society 2 Chinese Annals of Mathematics. Series B 2 Bulletin of the Iranian Mathematical Society 2 SIAM Journal on Matrix Analysis and Applications 2 Communications in Statistics. Simulation and Computation 2 Computational Statistics and Data Analysis 2 Computational Economics 2 Statistical Papers 2 Complexity 2 Bernoulli 2 Journal of Applied Mathematics 2 Communications in Computational Physics 2 Journal of Statistical Theory and Practice 2 Nonlinear Analysis. Hybrid Systems 2 International Journal of Stochastic Analysis 2 Dynamic Games and Applications 2 Journal of the Operations Research Society of China 2 East Asian Journal on Applied Mathematics 2 Modern Stochastics. Theory and Applications 1 Journal of Engineering Mathematics 1 Journal of Mathematical Physics 1 Journal of Differential Equations 1 Kybernetika 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 ...and 48 more Serials all top 5 Cited in 29 Fields 667 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 391 Probability theory and stochastic processes (60-XX) 203 Systems theory; control (93-XX) 115 Statistics (62-XX) 103 Calculus of variations and optimal control; optimization (49-XX) 59 Operations research, mathematical programming (90-XX) 54 Numerical analysis (65-XX) 23 Partial differential equations (35-XX) 10 Ordinary differential equations (34-XX) 9 Integral transforms, operational calculus (44-XX) 6 General and overarching topics; collections (00-XX) 4 Integral equations (45-XX) 4 Operator theory (47-XX) 4 Biology and other natural sciences (92-XX) 4 Information and communication theory, circuits (94-XX) 3 Linear and multilinear algebra; matrix theory (15-XX) 3 Harmonic analysis on Euclidean spaces (42-XX) 3 Computer science (68-XX) 2 Measure and integration (28-XX) 2 Special functions (33-XX) 2 Difference and functional equations (39-XX) 2 Functional analysis (46-XX) 2 Statistical mechanics, structure of matter (82-XX) 2 Mathematics education (97-XX) 1 Mathematical logic and foundations (03-XX) 1 Real functions (26-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Approximations and expansions (41-XX) Citations by Year