9
H index
9
i10 index
329
Citations
Tak Kuen Siu : Citation Profile
Macquarie University | RESEARCH PRODUCTION: 71 Articles 8 Papers 1 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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19 years (1999 - 2018). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Tak Kuen Siu. | Is cited by:
| Cites to:
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Main data
Where Tak Kuen Siu has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 7 |
Recent works citing Tak Kuen Siu (2018 and 2017)
| Year | Title of citing document |
|---|---|
| 2017 | On American VIX options under the generalized 3/2 and 1/2 models. (2017). De Temple, Jerome ; Kitapbayev, Yerkin ; Detemple, Jerome. In: Papers. RePEc:arx:papers:1606.00530. Full description at Econpapers || Download paper |
| 2017 | Extremal Behavior of Long-Term Investors with Power Utility. (2017). Bauerle, Nicole ; Grether, Stefanie . In: Papers. RePEc:arx:papers:1703.04423. Full description at Econpapers || Download paper |
| 2018 | Option Pricing in a Regime Switching Stochastic Volatility Model. (2018). Biswas, Arunangshu ; Goswami, Anindya. In: Papers. RePEc:arx:papers:1707.01237. Full description at Econpapers || Download paper |
| 2018 | Dynamic Portfolio Optimization with Looping Contagion Risk. (2018). Jia, Longjie ; Zheng, Harry ; Pistorius, Martijn. In: Papers. RePEc:arx:papers:1710.05168. Full description at Econpapers || Download paper |
| 2019 | A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2018). Lejay, Antoine ; Pigato, Paolo. In: Papers. RePEc:arx:papers:1712.08329. Full description at Econpapers || Download paper |
| 2018 | Variance swaps under L\{e}vy process with stochastic volatility and stochastic interest rate in incomplete markets. (2018). Yang, Ben-Zhang ; Huang, Nan-Jing ; Yue, Jia. In: Papers. RePEc:arx:papers:1712.10105. Full description at Econpapers || Download paper |
| 2018 | Optimal portfolio selection in an It\^o-Markov additive market. (2018). Palmowski, Zbigniew ; Sulima, Anna ; Stettner, Lukasz. In: Papers. RePEc:arx:papers:1806.03496. Full description at Econpapers || Download paper |
| 2018 | Testing of Binary Regime Switching Models using Squeeze Duration Analysis. (2018). Das, Milan Kumar ; Goswami, Anindya. In: Papers. RePEc:arx:papers:1807.04393. Full description at Econpapers || Download paper |
| 2018 | Utility maximization for L{\e}vy switching models. (2018). Vostrikova, Lioudmila ; Dong, Yuchao. In: Papers. RePEc:arx:papers:1807.08982. Full description at Econpapers || Download paper |
| 2019 | Risk-based optimal portfolio of an insurer with regime switching and noisy memory. (2018). Kufakunesu, Rodwell ; Mabitsela, Lesedi ; Guambe, Calisto. In: Papers. RePEc:arx:papers:1808.04604. Full description at Econpapers || Download paper |
| 2019 | Option Pricing in a Regime Switching Jump Diffusion Model. (2018). Goswami, Anindya ; Manjarekar, Omkar. In: Papers. RePEc:arx:papers:1811.11379. Full description at Econpapers || Download paper |
| 2017 | Optimal investment–consumption strategy with liability and regime switching model under Value-at-Risk constraint. (2017). Hu, Fengxia ; Wang, Rongming. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:313:y:2017:i:c:p:103-118. Full description at Econpapers || Download paper |
| 2019 | Optimal execution with regime-switching market resilience. (2019). Elliott, Robert J ; Zhu, Song-Ping ; Guo, Ivan ; Siu, Chi Chung. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:17-40. Full description at Econpapers || Download paper |
| 2017 | How should a local regime-switching model be calibrated?. (2017). He, Xin-Jiang ; Zhu, Song-Ping. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:78:y:2017:i:c:p:149-163. Full description at Econpapers || Download paper |
| 2017 | Optimal investment of variance-swaps in jump-diffusion market with regime-switching. (2017). Wang, Yongjin ; Bo, Lijun ; Tang, Dan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:83:y:2017:i:c:p:175-197. Full description at Econpapers || Download paper |
| 2017 | Mean-variance portfolio selection with only risky assets under regime switching. (2017). Zhang, Miao ; Yao, Haixiang ; Chen, Ping. In: Economic Modelling. RePEc:eee:ecmode:v:62:y:2017:i:c:p:35-42. Full description at Econpapers || Download paper |
| 2017 | A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises. (2017). Wong, Wing-Keung ; McAleer, Michael ; Guo, Xu ; Zhu, Lixing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:346-358. Full description at Econpapers || Download paper |
| 2018 | European quanto option pricing in presence of liquidity risk. (2018). Li, Zhe ; Liu, Yong-Jun ; Zhang, Wei-Guo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:230-244. Full description at Econpapers || Download paper |
| 2018 | Non-zero-sum stochastic differential reinsurance and investment games with default risk. (2018). Zhu, Huiming ; Deng, Chao ; Zeng, Xudong. In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:3:p:1144-1158. Full description at Econpapers || Download paper |
| 2018 | An option contract for vaccine procurement using the SIR epidemic model. (2018). Shamsi, N ; Shakouri, H ; Torabi, Ali S. In: European Journal of Operational Research. RePEc:eee:ejores:v:267:y:2018:i:3:p:1122-1140. Full description at Econpapers || Download paper |
| 2018 | Retailer-run resale market and optimal returns and resale policy. (2018). Lee, Changhwan ; Rhee, Byong-Duk. In: European Journal of Operational Research. RePEc:eee:ejores:v:268:y:2018:i:2:p:504-514. Full description at Econpapers || Download paper |
| 2019 | Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement. (2019). Brigo, Damiano ; Pallavicini, Andrea ; Francischello, Marco. In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:2:p:788-805. Full description at Econpapers || Download paper |
| 2018 | Testing for leverage effects in the returns of US equities. (2018). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306. Full description at Econpapers || Download paper |
| 2017 | Resource extraction with a carbon tax and regime switching prices: Exercising your options. (2017). Insley, Margaret. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:1-16. Full description at Econpapers || Download paper |
| 2017 | How fundamental is the one-period trinomial model to European option pricing bounds. A new methodological approach. (2017). Braouezec, Yann. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:92-99. Full description at Econpapers || Download paper |
| 2018 | Option pricing under regime switching: Integration over simplexes method. (2018). Jang, Bong-Gyu ; Tae, Hyeon-Wuk. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:301-312. Full description at Econpapers || Download paper |
| 2017 | Cliquet-style return guarantees in a regime switching Lévy model. (2017). Hieber, Peter. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:138-147. Full description at Econpapers || Download paper |
| 2017 | Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity. (2017). Viens, Frederi G ; Yi, BO ; Gu, Ailing. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:235-249. Full description at Econpapers || Download paper |
| 2017 | Optimal investment strategies for participating contracts. (2017). Lin, Hongcan ; Weng, Chengguo ; Saunders, David. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:73:y:2017:i:c:p:137-155. Full description at Econpapers || Download paper |
| 2017 | Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:46-62. Full description at Econpapers || Download paper |
| 2017 | Optimal investment and reinsurance for an insurer under Markov-modulated financial market. (2017). Xu, Lin ; Yao, Dingjun ; Zhang, Liming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:7-19. Full description at Econpapers || Download paper |
| 2018 | Longevity risk and capital markets: The 2015–16 update. (2018). Blake, David ; MacMinn, Richard ; Loisel, Stephane ; el Karoui, Nicole. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:157-173. Full description at Econpapers || Download paper |
| 2018 | Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing. (2018). Gu, Ailing ; Yao, Haixiang ; Viens, Frederi G. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:80:y:2018:i:c:p:93-109. Full description at Econpapers || Download paper |
| 2018 | Bayesian ratemaking with common effects modeled by mixture of Polya tree processes. (2018). Zhang, Jianjun ; Wu, Xianyi ; Qiu, Chunjuan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:87-94. Full description at Econpapers || Download paper |
| 2019 | Robust non-zero-sum investment and reinsurance game with default risk. (2019). Wang, Ning ; Qian, Linyi ; Jin, Zhuo ; Zhang, Nan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:84:y:2019:i:c:p:115-132. Full description at Econpapers || Download paper |
| 2019 | Derivatives trading for insurers. (2019). Xue, Xiaole ; Weng, Chengguo ; Wei, Pengyu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:84:y:2019:i:c:p:40-53. Full description at Econpapers || Download paper |
| 2018 | Common and fundamental risk factors in shareholder returns of Norwegian salmon producing companies. (2018). Misund, Brd. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:12:y:2018:i:c:p:19-30. Full description at Econpapers || Download paper |
| 2017 | Pricing vulnerable options with stochastic volatility. (2017). Wang, Guanying ; Zhou, KE. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:485:y:2017:i:c:p:91-103. Full description at Econpapers || Download paper |
| 2017 | Supply risk sharing in a closed-loop supply chain. (2017). He, Yuanjie . In: International Journal of Production Economics. RePEc:eee:proeco:v:183:y:2017:i:pa:p:39-52. Full description at Econpapers || Download paper |
| 2018 | Supply chain coordination with customer returns and retailers store brand product. (2018). Li, Wei ; Chen, Bintong. In: International Journal of Production Economics. RePEc:eee:proeco:v:203:y:2018:i:c:p:69-82. Full description at Econpapers || Download paper |
| 2018 | Does the buy-online-and-pick-up-in-store strategy with pre-orders benefit a retailer with the consideration of returns?. (2018). Shi, Xiutian ; Cheng, T. C. E., ; Dong, Ciwei. In: International Journal of Production Economics. RePEc:eee:proeco:v:206:y:2018:i:c:p:134-145. Full description at Econpapers || Download paper |
| 2019 | Fashion retail supply chain management: A review of operational models. (2019). Wen, Xin ; Chung, Sai-Ho ; Choi, Tsan-Ming. In: International Journal of Production Economics. RePEc:eee:proeco:v:207:y:2019:i:c:p:34-55. Full description at Econpapers || Download paper |
| 2019 | Does the presence of secondary market platform really hurt the firm?. (2019). Xue, Kelei ; Govindan, Kannan ; Zheng, Xiong ; Feng, Lipan. In: International Journal of Production Economics. RePEc:eee:proeco:v:213:y:2019:i:c:p:55-68. Full description at Econpapers || Download paper |
| 2018 | Performance of fixed-income mutual funds with regime-switching models. (2018). Ayadi, Mohamed A ; Welch, Robert ; Liao, Yusui ; Lazrak, Skander. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:217-231. Full description at Econpapers || Download paper |
| 2017 | Real option valuation in renewable energy literature: Research focus, trends and design. (2017). Kozlova, Mariia . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:80:y:2017:i:c:p:180-196. Full description at Econpapers || Download paper |
| 2019 | Pricing discrete barrier options under jump-diffusion model with liquidity risk. (2019). Li, Zhe ; Zhang, Yue ; Liu, Yong-Jun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:347-368. Full description at Econpapers || Download paper |
| 2018 | Option pricing in a regime switching stochastic volatility model. (2018). Biswas, Arunangshu ; Overbeck, Ludger ; Goswami, Anindya. In: Statistics & Probability Letters. RePEc:eee:stapro:v:138:y:2018:i:c:p:116-126. Full description at Econpapers || Download paper |
| 2018 | R&D Project Valuation Considering Changes of Economic Environment: A Case of a Pharmaceutical R&D Project. (2018). Ho, Jung ; Shin, Kwangsoo. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:4:p:993-:d:138433. Full description at Econpapers || Download paper |
| 2018 | A Location-Inventory Problem in a Closed-Loop Supply Chain with Secondary Market Consideration. (2018). Guo, Hao ; Lu, Mengmeng ; Zhang, Chunnan ; Li, Congdong. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:6:p:1891-:d:150861. Full description at Econpapers || Download paper |
| 2019 | A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2019). Pigato, Paolo ; Lejay, Antoine. In: Post-Print. RePEc:hal:journl:hal-01669082. Full description at Econpapers || Download paper |
| 2019 | A switching self-exciting jump diffusion process for stock prices. (2018). Hainaut, Donatien ; Moraux, Franck. In: Post-Print. RePEc:hal:journl:halshs-01909772. Full description at Econpapers || Download paper |
| 2017 | Regime-switching Stochastic Volatility Model : Estimation and Calibration to VIX options. (2017). Goutte, Stéphane ; Pham, Huyen ; Ismail, Amine . In: Working Papers. RePEc:hal:wpaper:hal-01212018. Full description at Econpapers || Download paper |
| 2017 | A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2017). Lejay, Antoine ; Pigato, Paolo. In: Working Papers. RePEc:hal:wpaper:hal-01669082. Full description at Econpapers || Download paper |
| 2018 | Utility maximization for Lévy switching models. (2018). Vostrikova, Lioudmila ; Dong, Yuchao. In: Working Papers. RePEc:hal:wpaper:hal-01844635. Full description at Econpapers || Download paper |
| 2019 | Change point dynamics for financial data: an indexed Markov chain approach. (2019). Petroni, Filippo ; Lika, Ada ; Damico, Guglielmo. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:2:d:10.1007_s10436-018-0337-0. Full description at Econpapers || Download paper |
| 2019 | A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:2:d:10.1007_s10436-018-0340-5. Full description at Econpapers || Download paper |
| 2018 | Pricing exotic options in a regime switching economy: a Fourier transform method. (2018). Hieber, Peter. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:2:d:10.1007_s11147-017-9139-1. Full description at Econpapers || Download paper |
| 2018 | GARCH option pricing models with Meixner innovations. (2018). Fengler, Matthias ; Melnikov, Alexander. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:3:d:10.1007_s11147-017-9141-7. Full description at Econpapers || Download paper |
| 2017 | Real options approach for fashionable and perishable products using stock loan with regime switching. (2017). Chiu, Chun-Hung ; Liu, Wei ; Hou, Shui-Hung . In: Annals of Operations Research. RePEc:spr:annopr:v:257:y:2017:i:1:d:10.1007_s10479-015-1887-4. Full description at Econpapers || Download paper |
| 2018 | How do capital structure and economic regime affect fair prices of bank’s equity and liabilities?. (2018). Hainaut, Donatien ; Zeng, Yan ; Shen, Yang. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-016-2210-8. Full description at Econpapers || Download paper |
| 2017 | Robust optimal investment and reinsurance problem for a general insurance company under Heston model. (2017). Huang, YA ; Zhou, Jieming ; Yang, Xiangqun . In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:85:y:2017:i:2:d:10.1007_s00186-017-0570-8. Full description at Econpapers || Download paper |
| 2017 | Stock market prediction and Portfolio selection models: a survey. (2017). Rather, Akhter Mohiuddin ; Agarwal, Arun ; Sastry, V N. In: OPSEARCH. RePEc:spr:opsear:v:54:y:2017:i:3:d:10.1007_s12597-016-0289-y. Full description at Econpapers || Download paper |
| 2017 | HARA utility maximization in a Markov-switching bond–stock market. (2017). Escobar, M ; Zagst, R ; Neykova, D. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:11:p:1715-1733. Full description at Econpapers || Download paper |
| 2017 | Adjustable Robust Optimisation approach to optimise discounts for multi-period supply chain coordination under demand uncertainty. (2017). Buhayenko, Viktoryia ; den Hertog, Dick. In: International Journal of Production Research. RePEc:taf:tprsxx:v:55:y:2017:i:22:p:6801-6823. Full description at Econpapers || Download paper |
| 2017 | Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes. (2017). Lin, Fangyuan Sally ; Kolkiewicz, Adam W. In: North American Actuarial Journal. RePEc:taf:uaajxx:v:21:y:2017:i:3:p:433-457. Full description at Econpapers || Download paper |
| 2019 | Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:41. Full description at Econpapers || Download paper |
| 2018 | Regime Switching Rough Heston Model. (2018). Alfeus, Mesias ; Overbeck, Ludger. In: Research Paper Series. RePEc:uts:rpaper:387. Full description at Econpapers || Download paper |
| 2019 | Pricing variance swaps under the Hawkes jump‐diffusion process. (2019). Zhu, Songping ; Liu, Weiyi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:6:p:635-655. Full description at Econpapers || Download paper |
| 2017 | Pricing European options and risk measurement under exponential Lévy models — a practical guide. (2017). Salhi, Khaled . In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500165. Full description at Econpapers || Download paper |
| 2017 | EXTREMAL BEHAVIOR OF LONG-TERM INVESTORS WITH POWER UTILITY. (2017). Bauerle, Nicole ; Grether, Stefanie . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500297. Full description at Econpapers || Download paper |
| 2018 | On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures. (2018). Zhu, Song-Ping ; Lian, Guang-Hua. In: New Mathematics and Natural Computation (NMNC). RePEc:wsi:nmncxx:v:14:y:2018:i:03:n:s1793005718500230. Full description at Econpapers || Download paper |
| 2017 | The fair surrender value of a tontine. (2017). Weinert, Jan-Hendrik . In: ICIR Working Paper Series. RePEc:zbw:icirwp:2617. Full description at Econpapers || Download paper |
Works by Tak Kuen Siu:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2012 | On Pricing Basket Credit Default Swaps In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2013 | On pricing basket credit default swaps.(2013) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
| 2013 | On Reduced Form Intensity-based Model with Trigger Events In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | On reduced-form intensity-based model with ‘trigger’ events.(2014) In: Journal of the Operational Research Society. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2013 | On Infectious Model for Dependent Defaults In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | On Optimal Pricing Model for Multiple Dealers in a Competitive Market In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Trading Strategy with Stochastic Volatility in a Limit Order Book Market In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Interacting Default Intensity with Hidden Markov Process In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Interacting default intensity with a hidden Markov process.(2017) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2017 | Generalized Optimal Liquidation Problems Across Multiple Trading Venues In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2017 | A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach.(2017) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2006 | On Bayesian Mixture Credibility In: ASTIN Bulletin: The Journal of the International Actuarial Association. [Full Text][Citation analysis] | article | 1 |
| 2011 | On pricing and hedging options in regime-switching models with feedback effect In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 3 |
| 2018 | Market-making strategy with asymmetric information and regime-switching In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 1 |
| 2010 | On mean-variance portfolio selection under a hidden Markovian regime-switching model In: Economic Modelling. [Full Text][Citation analysis] | article | 10 |
| 2011 | On optimal reinsurance, dividend and reinvestment strategies In: Economic Modelling. [Full Text][Citation analysis] | article | 6 |
| 2011 | On optimal reinsurance, dividend and reinvestment strategies.(2011) In: Economic Modelling. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
| 2012 | Asset allocation under stochastic interest rate with regime switching In: Economic Modelling. [Full Text][Citation analysis] | article | 7 |
| 2013 | Pricing bond options under a Markovian regime-switching Hull–White model In: Economic Modelling. [Full Text][Citation analysis] | article | 4 |
| 2014 | Pricing foreign equity options with regime-switching In: Economic Modelling. [Full Text][Citation analysis] | article | 3 |
| 2015 | Valuing commodity options and futures options with changing economic conditions In: Economic Modelling. [Full Text][Citation analysis] | article | 0 |
| 2016 | Optimal reinsurance policies with two reinsurers in continuous time In: Economic Modelling. [Full Text][Citation analysis] | article | 0 |
| 2017 | Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model In: Economic Modelling. [Full Text][Citation analysis] | article | 0 |
| 2016 | A functional Itô’s calculus approach to convex risk measures with jump diffusion In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 1 |
| 2013 | Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance In: Energy Economics. [Full Text][Citation analysis] | article | 2 |
| 1999 | Subjective risk measures: Bayesian predictive scenarios analysis In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
| 2005 | Fair valuation of participating policies with surrender options and regime switching In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 26 |
| 2008 | A game theoretic approach to option valuation under Markovian regime-switching models In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 1 |
| 2008 | On option pricing under a completely random measure via a generalized Esscher transform In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 1 |
| 2008 | Pricing currency options under two-factor Markov-modulated stochastic volatility models In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 19 |
| 2009 | Optimal investment and reinsurance of an insurer with model uncertainty In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 18 |
| 2009 | Esscher transforms and consumption-based models In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 9 |
| 2010 | A hidden Markov regime-switching model for option valuation In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
| 2013 | Longevity bond pricing under stochastic interest rate and mortality with regime-switching In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
| 2013 | Optimal dividends with debts and nonlinear insurance risk processes In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
| 2013 | Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 3 |
| 2013 | Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 1 |
| 2015 | Pricing annuity guarantees under a double regime-switching model In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 4 |
| 2016 | A self-exciting threshold jump–diffusion model for option valuation In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 4 |
| 2014 | Impact of secondary market on consumer return policies and supply chain coordination In: Omega. [Full Text][Citation analysis] | article | 12 |
| 2011 | On supply chain coordination for false failure returns: A quantity discount contract approach In: International Journal of Production Economics. [Full Text][Citation analysis] | article | 12 |
| 2016 | Pricing strategy for a two-echelon supply chain with optimized return effort level In: International Journal of Production Economics. [Full Text][Citation analysis] | article | 0 |
| 2011 | Bond valuation under a discrete-time regime-switching term-structure model and its continuous-time extension In: Managerial Finance. [Full Text][Citation analysis] | article | 3 |
| 2011 | A Pseudo-Bayesian Model for Stock Returns In Financial Crises In: Journal of Risk and Financial Management. [Full Text][Citation analysis] | article | 2 |
| 2018 | A Risk-Based Approach for Asset Allocation with A Defaultable Share In: Risks. [Full Text][Citation analysis] | article | 0 |
| 2005 | Option pricing and Esscher transform under regime switching In: Annals of Finance. [Full Text][Citation analysis] | article | 72 |
| 2008 | A PDE approach for risk measures for derivatives with regime switching In: Annals of Finance. [Full Text][Citation analysis] | article | 5 |
| 2013 | Pricing and managing risks of European-style options in a Markovian regime-switching binomial model In: Annals of Finance. [Full Text][Citation analysis] | article | 5 |
| 2004 | On Bayesian Value at Risk: From Linear to Non-Linear Portfolios In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 3 |
| 2006 | Risk measures for derivatives with Markov-modulated pure jump processes In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 1 |
| 2007 | On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 0 |
| 2015 | Asset Pricing Using Trading Volumes in a Hidden Regime-Switching Environment In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 1 |
| 2005 | Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models In: Computational Economics. [Full Text][Citation analysis] | article | 3 |
| 2007 | Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models.(2007) In: Computational Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| 2008 | Pricing Risky Debts Under a Markov-modudated Merton Model with Completely Random Measures In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
| 2012 | A Flexible Markov Chain Approach for Multivariate Credit Ratings In: Computational Economics. [Full Text][Citation analysis] | article | 1 |
| 2017 | On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures In: American Journal of Agricultural Economics. [Full Text][Citation analysis] | article | 3 |
| 2012 | A BSDE approach to risk-based asset allocation of pension funds with regime switching In: Annals of Operations Research. [Full Text][Citation analysis] | article | 4 |
| 2013 | Markov Chains In: International Series in Operations Research and Management Science. [Citation analysis] | book | 0 |
| 2017 | A Higher-order interactive hidden Markov model and its applications In: OR Spectrum: Quantitative Approaches in Management. [Full Text][Citation analysis] | article | 0 |
| 2004 | A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
| 2007 | Pricing Volatility Swaps Under Hestons Stochastic Volatility Model with Regime Switching In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 26 |
| 2009 | On Markov-modulated Exponential-affine Bond Price Formulae In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 14 |
| 2011 | Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
| 2012 | Viterbi-Based Estimation for Markov Switching GARCH Model In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 2 |
| 2013 | Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 8 |
| 2000 | A PDE approach to risk measures of derivatives In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 1 |
| 2010 | Can expected shortfall and Value-at-Risk be used to statically hedge options? In: Quantitative Finance. [Full Text][Citation analysis] | article | 3 |
| 2010 | A stochastic differential game for optimal investment of an insurer with regime switching In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2011 | Long-term strategic asset allocation with inflation risk and regime switching In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
| 2016 | Pricing regime-switching risk in an HJM interest rate environment In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2016 | The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
| 2005 | On a multivariate Markov chain model for credit risk measurement In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2014 | Option Valuation Under a Double Regime‐Switching Model In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 4 |
| 2001 | COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
| 2006 | OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
| 2011 | A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 4 |
| 2012 | ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
| 2015 | A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 1 |
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