Edit Profile (opens in new tab) Siu, Tak Kuen Co-Author Distance 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: 182 Publications since 1977, including 1 Book 1 Contribution as Editor Reviewing Activity: 56 Reviews Co-Authors: 78 Co-Authors with 164 Joint Publications 2,562 Co-Co-Authors all top 5 Co-Authors 19 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 Liu, Jingzhen 7 Yiu, Ka Fai Cedric 7 Zhang, Xin 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 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 Wang, Yike 1 Wong, Shiu Fung 1 Woo, Wing Hoe 1 Wu, Zhenyu 1 Wylie, Jonathan J. 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 16 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 Finance and Stochastics 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 169 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 86 Probability theory and stochastic processes (60-XX) 39 Systems theory; control (93-XX) 32 Statistics (62-XX) 22 Operations research, mathematical programming (90-XX) 18 Calculus of variations and optimal control; optimization (49-XX) 5 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 157 Publications have been cited 1,732 times in 916 Documents Cited by ▼ Year ▼ Option pricing and Esscher transform under regime switching. Zbl 1233.91270 Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen 196 2005 Optimal investment and reinsurance of an insurer with model uncertainty. Zbl 1231.91257 Zhang, Xin; Siu, Tak Kuen 57 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 56 2012 Pricing options under a generalized Markov-modulated jump-diffusion model. Zbl 1155.91380 Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung; Lau, John W. 53 2007 Pricing volatility swaps under Heston’s stochastic volatility model with regime switching. Zbl 1281.91161 Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 53 2007 Fair valuation of participating policies with surrender options and regime switching. Zbl 1129.60062 Siu, Tak Kuen 51 2005 On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy. Zbl 1233.91242 Elliott, Robert J.; Siu, Tak Kuen 50 2010 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 42 2013 On Markov-modulated exponential-affine bond price formulae. Zbl 1169.91342 Elliott, Robert J.; Siu, Tak Kuen 39 2009 Pricing currency options under two-factor Markov-modulated stochastic volatility models. Zbl 1152.91550 Siu, Tak Kuen; Yang, Hailiang; Lau, John W. 36 2008 A stochastic differential game for optimal investment of an insurer with regime switching. Zbl 1232.91346 Elliott, Robert J.; Siu, Tak Kuen 30 2011 Stochastic differential portfolio games for an insurer in a jump-diffusion risk process. Zbl 1276.91095 Lin, Xiang; Zhang, Chunhong; Siu, Tak Kuen 29 2012 Mean-variance portfolio selection under a constant elasticity of variance model. Zbl 1408.91203 Shen, Yang; Zhang, Xin; Siu, Tak Kuen 28 2014 On pricing derivatives under GARCH models: a dynamic Gerber-Shiu approach. Zbl 1085.91531 Siu, Tak Kuen; Tong, Howell; Yang, Hailiang 28 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 28 2010 Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows. Zbl 1194.91088 Siu, Tak Kuen 28 2010 On pricing and hedging options in regime-switching models with feedback effect. Zbl 1209.91156 Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alexandru 27 2011 Optimal mixed impulse-equity insurance control problem with reinsurance. Zbl 1229.91164 Meng, Hui; Siu, Tak Kuen 25 2011 Pricing annuity guarantees under a double regime-switching model. Zbl 1318.91111 Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming 23 2015 A BSDE approach to a risk-based optimal investment of an insurer. Zbl 1213.60100 Elliott, Robert J.; Siu, Tak Kuen 23 2011 Option pricing and filtering with hidden Markov-modulated pure-jump processes. Zbl 1457.91372 Elliott, Robert J.; Siu, Tak Kuen 21 2013 Pricing participating products under a generalized jump-diffusion model. Zbl 1141.91386 Siu, Tak Kuen; Lau, John W.; Yang, Hailiang 21 2008 Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching. Zbl 1264.91129 Shen, Yang; Siu, Tak Kuen 20 2013 Robust optimal portfolio choice under Markovian regime-switching model. Zbl 1162.91372 Elliott, Robert J.; Siu, Tak Kuen 19 2009 On optimal proportional reinsurance and investment in a Markovian regime-switching economy. Zbl 1258.91115 Zhang, Xin; Siu, Tak Kuen 19 2012 A BSDE approach to risk-based asset allocation of pension funds with regime switching. Zbl 1260.91233 Siu, Tak Kuen 18 2012 On pricing barrier options with regime switching. Zbl 1350.91016 Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 17 2014 Portfolio selection in the enlarged Markovian regime-switching market. Zbl 1202.91308 Zhang, Xin; Siu, Tak Kuen; Meng, Qingbin 17 2010 Longevity bond pricing under stochastic interest rate and mortality with regime-switching. Zbl 1291.91212 Shen, Yang; Siu, Tak Kuen 16 2013 A game theoretic approach to option valuation under Markovian regime-switching models. Zbl 1141.91344 Siu, Tak Kuen 16 2008 An HMM approach for optimal investment of an insurer. Zbl 1276.93084 Elliott, Robert J.; Siu, Tak Kuen 15 2012 Bayesian risk measures for derivatives via random Esscher transform. Zbl 1083.62544 Siu, Tak Kuen; Tong, Howell; Yang, Hailiang 14 2001 Option pricing when the regime-switching risk is priced. Zbl 1188.91222 Siu, Tak Kuen; Yang, Hailiang 14 2009 Long-term strategic asset allocation with inflation risk and regime switching. Zbl 1258.91206 Siu, Tak Kuen 14 2011 A BSDE approach to optimal investment of an insurer with hidden regime switching. Zbl 1267.91087 Siu, Tak Kuen 14 2013 Optimal dividends with debts and nonlinear insurance risk processes. Zbl 1284.91564 Meng, Hui; Siu, Tak Kuen; Yang, Hailiang 13 2013 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. 13 2005 Option pricing for GARCH models with Markov switching. Zbl 1138.91437 Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 12 2006 Regime-switching risk: to price or not to price? Zbl 1230.91203 Siu, Tak Kuen 12 2011 A hidden Markov regime-switching model for option valuation. Zbl 1231.91443 Liew, Chuin Ching; Siu, Tak Kuen 12 2010 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 12 2013 Optimal insurance risk control with multiple reinsurers. Zbl 1339.93124 Meng, Hui; Siu, Tak Kuen; Yang, Hailiang 12 2016 A PDE approach for risk measures for derivatives with regime switching. Zbl 1233.91271 Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 12 2008 Robust reinsurance contracts with risk constraint. Zbl 1447.91151 Wang, Ning; Siu, Tak Kuen 11 2020 Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model. Zbl 1290.60066 Shen, Yang; Siu, Tak Kuen 10 2013 A hidden Markov-modulated jump diffusion model for European option pricing. Zbl 1418.91539 Siu, Tak Kuen 10 2014 Esscher transforms and consumption-based models. Zbl 1231.91423 Badescu, Alex; Elliott, Robert J.; Siu, Tak Kuen 10 2009 Pricing and hedging contingent claims with regime switching risk. Zbl 1216.91032 Elliott, Robert J.; Siu, Tak Kuen 10 2011 Functional Itô’s calculus and dynamic convex risk measures for derivative securities. Zbl 1331.91183 Siu, Tak Kuen 10 2012 Filtering a Markov modulated random measure. Zbl 1368.93711 Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang 9 2010 Coherent risk measures for derivatives under Black–Scholes economy. Zbl 1153.91606 Yang, H.; Siu, T. K. 9 2001 A self-exciting threshold jump-diffusion model for option valuation. Zbl 1369.91185 Siu, Tak Kuen 8 2016 On modeling credit defaults: a probabilistic Boolean network approach. Zbl 1294.91182 Gu, Jia-Wen; Ching, Wai-Ki; Siu, Tak-Kuen; Zheng, Harry 8 2013 Markov chains. Models, algorithms and applications. 2nd ed. Zbl 1270.60001 Ching, Wai-Ki; Huang, Ximin; Ng, Michael K.; Siu, Tak-Kuen 8 2013 The pricing of credit default swaps under a Markov-modulated Merton’s structural model. Zbl 1481.91211 Siu, Tak Kuen; Erlwein, Christina; Mamon, Rogemar S. 8 2008 Optimal investment of an insurer with regime-switching and risk constraint. Zbl 1401.91169 Liu, Jingzhen; Yiu, Ka-Fai Cedric; Siu, Tak Kuen 7 2014 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. 7 2015 Martingale representation for contingent claims with regime switching. Zbl 1328.91291 Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang 7 2007 A PDE approach to risk measures of derivatives. Zbl 1013.91060 Siu, Tak Kuen; Yang, Hailiang 7 2000 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 7 2017 Optimal dividend-reinsurance with two types of premium principles. Zbl 1414.91220 Meng, Hui; Zhou, Ming; Siu, Tak Kuen 7 2016 Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach. Zbl 1290.91179 Fard, Farzad Alavi; Siu, Tak Kuen 7 2013 Option pricing under threshold autoregressive models by threshold Esscher transform. Zbl 1135.91362 Siu, Tak Kuen; Tong, Howell; Yang, Hailiang 7 2006 Optimal portfolio in a continuous-time self-exciting threshold model. Zbl 1274.91389 Meng, Hui; Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang 7 2013 On pricing basket credit default swaps. Zbl 1282.91328 Gu, Jia-Wen; Ching, Wai-Ki; Siu, Tak-Kuen; Zheng, Harry 7 2013 Singular dividend optimization for a linear diffusion model with time-inconsistent preferences. Zbl 1441.91065 Zhu, Jinxia; Siu, Tak Kuen; Yang, Hailiang 7 2020 A stochastic flows approach for asset allocation with hidden economic environment. Zbl 1346.60104 Siu, Tak Kuen 7 2015 A Markov regime-switching marked point process for short-rate analysis with credit risk. Zbl 1203.91304 Siu, Tak Kuen 7 2010 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 6 2016 On optimal cash management under a stochastic volatility model. Zbl 1284.91565 Song, Na; Ching, Wai-Ki; Siu, Tak-Kuen; Yiu, Cedric Ka-Fai 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 6 2013 Option valuation under a regime-switching constant elasticity of variance process. Zbl 1422.91691 Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen 6 2013 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 6 2011 On Bayesian mixture credibility. Zbl 1162.91422 Lau, John W.; Siu, Tak Kuen; Yang, Hailiang 6 2006 Impulse control of proportional reinsurance with constraints. Zbl 1229.91165 Meng, Hui; Siu, Tak Kuen 6 2011 Risk measures for derivatives with Markov-modulated pure jump processes. Zbl 1283.91173 Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen 6 2006 Subjective risk measures: Bayesian predictive scenarios analysis. Zbl 0954.62125 Siu, Tak Kuen; Yang, Hailiang 5 1999 Pricing dynamic fund protection under hidden Markov models. Zbl 1473.91014 Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming 5 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 5 2017 Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model. Zbl 1362.93168 Shen, Yang; Siu, Tak Kuen 5 2017 Asset pricing using trading volumes in a hidden regime-switching environment. Zbl 1368.91170 Elliott, Robert J.; Siu, Tak Kuen 5 2015 Option valuation by a self-exciting threshold binomial model. Zbl 1297.91139 Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang 5 2013 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 Household consumption-investment-insurance decisions with uncertain income and market ambiguity. Zbl 1485.91211 Wang, Ning; Jin, Zhuo; Siu, Tak Kuen; Qiu, Ming 5 2021 Risk-based indifference pricing under a stochastic volatility model. Zbl 1331.91175 Elliott, Robert J.; Siu, Tak Kuen 5 2010 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 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 functional Itô’s calculus approach to convex risk measures with jump diffusion. Zbl 1346.91272 Siu, Tak Kuen 4 2016 Capital requirements and optimal investment with solvency probability constraints. Zbl 1433.91125 Asimit, Alexandru V.; Badescu, Alexandru M.; Siu, Tak Kuen; Zinchenko, Yuriy 4 2015 A note on optimal insurance risk control with multiple reinsurers. Zbl 1357.93105 Meng, Hui; Siu, Tak Kuen; Yang, Hailiang 4 2017 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 On filtering and estimation of a threshold stochastic volatility model. Zbl 1231.91486 Elliott, Robert J.; Liew, Chuin Ching; Siu, Tak Kuen 4 2011 Markovian regime-switching market completion using additional Markov jump assets. Zbl 1280.91078 Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen; Guo, Junyi 4 2012 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 Attainable contingent claims in a Markovian regime-switching market. Zbl 1260.91246 Elliott, Robert J.; Siu, Tak Kuen 4 2012 Interactive hidden Markov models and their applications. Zbl 1123.62087 Ching, W. K.; Fung, E.; Ng, M.; Siu, T. K.; Li, W. K. 4 2007 On option pricing under a completely random measure via a generalized Esscher transform. Zbl 1140.91400 Lau, John W.; Siu, Tak Kuen 4 2008 A generalized Esscher transform for option valuation with regime switching risk. Zbl 1490.91212 Elliott, R. J.; Siu, T. K. 1 2022 Lower and upper pricing of financial assets. Zbl 1492.91396 Elliott, Robert; Madan, Dilip B.; Siu, Tak Kuen 1 2022 Household consumption-investment-insurance decisions with uncertain income and market ambiguity. Zbl 1485.91211 Wang, Ning; Jin, Zhuo; Siu, Tak Kuen; Qiu, Ming 5 2021 Optimal risk exposure and dividend payout policies under model uncertainty. Zbl 1471.91458 Feng, Yang; Zhu, Jinxia; Siu, Tak Kuen 1 2021 Optimal pairs trading with dynamic mean-variance objective. Zbl 1480.91282 Zhu, Dong-Mei; Gu, Jia-Wen; Yu, Feng-Hui; Siu, Tak-Kuen; Ching, Wai-Ki 1 2021 Robust reinsurance contracts with risk constraint. Zbl 1447.91151 Wang, Ning; Siu, Tak Kuen 11 2020 Singular dividend optimization for a linear diffusion model with time-inconsistent preferences. Zbl 1441.91065 Zhu, Jinxia; Siu, Tak Kuen; Yang, Hailiang 7 2020 Book review of: H. Kunita, Stochastic flows and jump-diffusions. Zbl 1451.00054 Siu, Tak Kuen 1 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 Continuous-time optimal reinsurance strategy with nontrivial curved structures. Zbl 1433.91141 Meng, Hui; Liao, Pu; Siu, Tak Kuen 3 2019 Hedging options in a doubly Markov-modulated financial market via stochastic flows. Zbl 1431.91404 Siu, Tak Kuen; Elliott, Robert J. 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 Pricing dynamic fund protection under hidden Markov models. Zbl 1473.91014 Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming 5 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 3 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 A hidden Markov regime-switching smooth transition model. Zbl 1507.62283 Elliott, 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 1369.91178 Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming 7 2017 Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model. Zbl 1414.91389 Siu, Tak Kuen; Shen, Yang 5 2017 Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model. Zbl 1362.93168 Shen, Yang; Siu, Tak Kuen 5 2017 A note on optimal insurance risk control with multiple reinsurers. Zbl 1357.93105 Meng, Hui; Siu, Tak Kuen; Yang, Hailiang 4 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 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 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 2 2017 Optimal investment and consumption in a continuous-time co-integration model. Zbl 07613719 Shen, Yang; Siu, Tak Kuen 2 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 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 Optimal insurance risk control with multiple reinsurers. Zbl 1339.93124 Meng, Hui; Siu, Tak Kuen; Yang, Hailiang 12 2016 A self-exciting threshold jump-diffusion model for option valuation. Zbl 1369.91185 Siu, Tak Kuen 8 2016 Optimal dividend-reinsurance with two types of premium principles. Zbl 1414.91220 Meng, Hui; Zhou, Ming; Siu, Tak Kuen 7 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 6 2016 A functional Itô’s calculus approach to convex risk measures with jump diffusion. Zbl 1346.91272 Siu, Tak Kuen 4 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 3 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 23 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. 7 2015 A stochastic flows approach for asset allocation with hidden economic environment. Zbl 1346.60104 Siu, Tak Kuen 7 2015 Asset pricing using trading volumes in a hidden regime-switching environment. Zbl 1368.91170 Elliott, Robert J.; Siu, Tak Kuen 5 2015 A Dupire equation for a regime-switching model. Zbl 1337.91095 Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen 5 2015 Capital requirements and optimal investment with solvency probability constraints. Zbl 1433.91125 Asimit, Alexandru V.; Badescu, Alexandru M.; Siu, Tak Kuen; Zinchenko, Yuriy 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 Mean-variance portfolio selection under a constant elasticity of variance model. Zbl 1408.91203 Shen, Yang; Zhang, Xin; Siu, Tak Kuen 28 2014 On pricing barrier options with regime switching. Zbl 1350.91016 Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 17 2014 A hidden Markov-modulated jump diffusion model for European option pricing. Zbl 1418.91539 Siu, Tak Kuen 10 2014 Optimal investment of an insurer with regime-switching and risk constraint. Zbl 1401.91169 Liu, Jingzhen; Yiu, Ka-Fai Cedric; Siu, Tak Kuen 7 2014 Integration by parts and martingale representation for a Markov chain. Zbl 1469.60244 Siu, Tak Kuen 3 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 Filtering and change point estimation for hidden Markov-modulated Poisson processes. Zbl 1311.62128 Elliott, Robert J.; Siu, Tak Kuen 2 2014 Optimal insurance in a changing economy. Zbl 1281.93107 Liu, Jingzhen; Yiu, Ka-Fai Cedric; Siu, Tak Kuen; Ching, Wai-Ki 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 42 2013 Option pricing and filtering with hidden Markov-modulated pure-jump processes. Zbl 1457.91372 Elliott, Robert J.; Siu, Tak Kuen 21 2013 Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching. Zbl 1264.91129 Shen, Yang; Siu, Tak Kuen 20 2013 Longevity bond pricing under stochastic interest rate and mortality with regime-switching. Zbl 1291.91212 Shen, Yang; Siu, Tak Kuen 16 2013 A BSDE approach to optimal investment of an insurer with hidden regime switching. Zbl 1267.91087 Siu, Tak Kuen 14 2013 Optimal dividends with debts and nonlinear insurance risk processes. Zbl 1284.91564 Meng, Hui; Siu, Tak Kuen; Yang, Hailiang 13 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 12 2013 Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model. Zbl 1290.60066 Shen, Yang; Siu, Tak Kuen 10 2013 On modeling credit defaults: a probabilistic Boolean network approach. Zbl 1294.91182 Gu, Jia-Wen; Ching, Wai-Ki; Siu, Tak-Kuen; Zheng, Harry 8 2013 Markov chains. Models, algorithms and applications. 2nd ed. Zbl 1270.60001 Ching, Wai-Ki; Huang, Ximin; Ng, Michael K.; Siu, Tak-Kuen 8 2013 Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach. Zbl 1290.91179 Fard, Farzad Alavi; 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 7 2013 On pricing basket credit default swaps. Zbl 1282.91328 Gu, Jia-Wen; Ching, Wai-Ki; Siu, Tak-Kuen; Zheng, Harry 7 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 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 6 2013 Option valuation under a regime-switching constant elasticity of variance process. Zbl 1422.91691 Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen 6 2013 Option valuation by a self-exciting threshold binomial model. Zbl 1297.91139 Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang 5 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 Reflected backward stochastic differential equations, convex risk measures and American options. Zbl 1343.60093 Elliott, Robert J.; 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. 2 2013 A stochastic maximum principle for backward control systems with random default time. Zbl 1480.93447 Shen, Yang; Siu, Tak Kuen 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 56 2012 Stochastic differential portfolio games for an insurer in a jump-diffusion risk process. Zbl 1276.91095 Lin, Xiang; Zhang, Chunhong; Siu, Tak Kuen 29 2012 On optimal proportional reinsurance and investment in a Markovian regime-switching economy. Zbl 1258.91115 Zhang, Xin; Siu, Tak Kuen 19 2012 A BSDE approach to risk-based asset allocation of pension funds with regime switching. Zbl 1260.91233 Siu, Tak Kuen 18 2012 An HMM approach for optimal investment of an insurer. Zbl 1276.93084 Elliott, Robert J.; Siu, Tak Kuen 15 2012 Functional Itô’s calculus and dynamic convex risk measures for derivative securities. Zbl 1331.91183 Siu, Tak Kuen 10 2012 Markovian regime-switching market completion using additional Markov jump assets. Zbl 1280.91078 Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen; Guo, Junyi 4 2012 Attainable contingent claims in a Markovian regime-switching market. Zbl 1260.91246 Elliott, Robert J.; Siu, Tak Kuen 4 2012 Markovian forward-backward stochastic differential equations and stochastic flows. Zbl 1273.60067 Elliott, Robert J.; Siu, Tak Kuen 3 2012 A Bayesian approach for optimal reinsurance and investment in a diffusion model. Zbl 1276.91065 Zhang, Xin; 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 A BSDE approach to convex risk measures for derivative securities. Zbl 1254.91723 Elliott, Robert J.; Siu, Tak Kuen 3 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 Asset allocation under threshold autoregressive models. Zbl 1286.91127 Song, Na; Siu, Tak Kuen; Ching, Wa-Ki; Tong, Howell; Yang, Hailiang 2 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 Stochastic processes, finance and control. A Festschrift in honor of Robert J. Elliott. Zbl 1253.00011 2 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 Risk measures and behaviors for bonds under stochastic interest rate models. Zbl 1255.91417 Song, Na; Siu, Tak Kuen; Fard, Farzad Alavi; Ching, Wai-Ki; Fung, Eric S. 1 2012 A stochastic differential game for optimal investment of an insurer with regime switching. Zbl 1232.91346 Elliott, Robert J.; Siu, Tak Kuen 30 2011 On pricing and hedging options in regime-switching models with feedback effect. Zbl 1209.91156 Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alexandru 27 2011 Optimal mixed impulse-equity insurance control problem with reinsurance. Zbl 1229.91164 Meng, Hui; Siu, Tak Kuen 25 2011 A BSDE approach to a risk-based optimal investment of an insurer. Zbl 1213.60100 Elliott, Robert J.; Siu, Tak Kuen 23 2011 Long-term strategic asset allocation with inflation risk and regime switching. Zbl 1258.91206 Siu, Tak Kuen 14 2011 Regime-switching risk: to price or not to price? Zbl 1230.91203 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 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 6 2011 Impulse control of proportional reinsurance with constraints. Zbl 1229.91165 Meng, Hui; Siu, Tak Kuen 6 2011 ...and 57 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,218 Authors 105 Siu, Tak Kuen 48 Elliott, Robert James 29 Shen, Yang 27 Yang, Hailiang 25 Ching, Wai-Ki 20 Jin, Zhuo 18 Yuen, Kam Chuen 16 Dong, Yinghui 14 Qian, Linyi 14 Wang, Guojing 14 Zhu, Songping 12 Meng, Hui 12 Wang, Rongming 12 Yam, Sheung Chi Phillip 12 Zhang, Xin 11 Chan, Leunglung 11 Sun, Zhongyang 11 Wang, Wei 11 Wu, Zhen 11 Zeng, Yan 10 Mamon, Rogemar S. 10 Wei, Jiaqin 9 Chen, Ping 9 Peng, Xingchun 9 Wang, Ning 9 Wang, Yongjin 9 Wong, Hoi Ying 9 Zhou, Ming 8 Hieber, Peter 8 Lian, Guanghua 8 Liu, Jingzhen 8 Yiu, Ka Fai Cedric 7 Chen, Lv 7 Lau, John Wei 7 Li, Xun 7 Menoukeu Pamen, Olivier 7 Siu, Chi Chung 7 Xiong, Jie 7 Xu, Lin 6 Badescu, Alexandru M. 6 Chen, Mi 6 Gu, Ailing 6 Gu, Jiawen 6 Guo, Junyi 6 He, Xinjiang 6 Khaliq, Abdul Q. M. 6 Li, Danping 6 Lv, Siyu 6 Wang, Yan 6 Yao, Dingjun 6 Zhang, Nan 6 Zhang, Yumo 6 Zhao, Hui 5 Bensoussan, Alain 5 Blake, David 5 Bo, Lijun 5 Chen, Zhiping 5 D’Amico, Guglielmo 5 Fan, Kun 5 Fard, Farzad Alavi 5 Fung, Eric S. 5 Godin, Frédéric 5 Hainaut, Donatien 5 Li, Shuanming 5 Li, Zhongfei 5 Liang, Xue 5 Liang, Zhibin 5 Meng, Qingxin 5 Momeya, Romuald Hervé 5 Su, Xiaonan 5 Wang, Wenyuan 5 Wang, Xingchun 5 Weber, Gerhard-Wilhelm 5 Weng, Chengguo 5 Yao, Haixiang 5 Yin, George Gang 5 Young, Virginia R. 5 Yuen, Fei Lung 5 Zagst, Rudi 5 Zhang, Zhimin 5 Zheng, Harry H. 4 Chen, Fenge 4 Cheng, Gongpin 4 Deelstra, Griselda 4 Goswami, Anindya 4 Hafayed, Mokhtar 4 Han, Miao 4 Hu, Yijun 4 Liang, Zongxia 4 Ma, Guiyuan 4 MacMinn, Richard D. 4 Madan, Dilip B. 4 Mandjes, Michel Robertus Hendrikus 4 Mehrdoust, Farshid 4 Moon, Jun-Hee 4 Ng, Michael Kwok-Po 4 Noorani, Idin 4 Rong, Ximin 4 Song, Aimin 4 Song, Na ...and 1,118 more Authors all top 5 Cited in 164 Serials 108 Insurance Mathematics & Economics 42 Journal of Industrial and Management Optimization 39 Journal of Computational and Applied Mathematics 33 Communications in Statistics. 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Hybrid Systems 2 Asian Journal of Control 2 Dynamic Games and Applications 2 Communications in Mathematics and Statistics ...and 64 more Serials all top 5 Cited in 30 Fields 748 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 432 Probability theory and stochastic processes (60-XX) 242 Systems theory; control (93-XX) 133 Statistics (62-XX) 123 Calculus of variations and optimal control; optimization (49-XX) 66 Operations research, mathematical programming (90-XX) 59 Numerical analysis (65-XX) 28 Partial differential equations (35-XX) 10 Ordinary differential equations (34-XX) 10 Integral transforms, operational calculus (44-XX) 6 General and overarching topics; collections (00-XX) 5 Integral equations (45-XX) 5 Operator theory (47-XX) 5 Biology and other natural sciences (92-XX) 4 Linear and multilinear algebra; matrix theory (15-XX) 4 Harmonic analysis on Euclidean spaces (42-XX) 4 Computer science (68-XX) 4 Statistical mechanics, structure of matter (82-XX) 4 Information and communication theory, circuits (94-XX) 3 Dynamical systems and ergodic theory (37-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 Mathematics education (97-XX) 1 Mathematical logic and foundations (03-XX) 1 Combinatorics (05-XX) 1 Real functions (26-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Approximations and expansions (41-XX) Citations by Year