Tak Kuen Siu : Citation Profile


Are you Tak Kuen Siu?

Macquarie University

9

H index

8

i10 index

384

Citations

RESEARCH PRODUCTION:

90

Articles

9

Papers

1

Books

RESEARCH ACTIVITY:

   21 years (1999 - 2020). See details.
   Cites by year: 18
   Journals where Tak Kuen Siu has often published
   Relations with other researchers
   Recent citing documents: 61.    Total self citations: 34 (8.13 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psi241
   Updated: 2020-08-09    RAS profile: 2020-06-12    
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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:

Lai, Van Son (7)

Bo, Lijun (4)

Escobar Anel, Marcos (4)

Goutte, Stéphane (3)

Platen, Eckhard (3)

Moraux, Franck (3)

Doko Tchatoka, Firmin (3)

Cao, Jiling (3)

Wong, Wing-Keung (2)

Levy, Moshe (2)

Leung, Tim (2)

Cites to:

merton, robert (24)

Wong, Wing-Keung (24)

Hamilton, James (22)

Jarrow, Robert (13)

Scholes, Myron (11)

Kreps, David (11)

Duffie, Darrell (9)

Stoll, Hans (8)

Artzner, Philippe (8)

LEHALLE, Charles-Albert (8)

Jørgensen, Peter (7)

Main data


Where Tak Kuen Siu has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics14
Economic Modelling9
Quantitative Finance9
Applied Mathematical Finance7
International Journal of Theoretical and Applied Finance (IJTAF)6
Computational Economics6
International Journal of Stochastic Analysis5
Asia-Pacific Financial Markets4
Annals of Finance3
North American Actuarial Journal3
International Journal of Production Economics2
Annals of Operations Research2
Applied Stochastic Models in Business and Industry2
Journal of Economic Dynamics and Control2
European Journal of Operational Research2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org7

Recent works citing Tak Kuen Siu (2020 and 2019)


YearTitle of citing document
2020Review of Matrix Theory with Applications in Education and Decision Sciences. (2020). Wong, Wing-Keung ; Tuong, Hoa Anh ; Tinh, Tran Trung ; Hau, Nguyen Huu. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:1:p:28-69.

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2018Option Pricing in a Regime Switching Stochastic Volatility Model. (2018). Goswami, Anindya ; Biswas, Arunangshu. In: Papers. RePEc:arx:papers:1707.01237.

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2018Dynamic Portfolio Optimization with Looping Contagion Risk. (2018). Zheng, Harry ; Pistorius, Martijn ; Jia, Longjie. In: Papers. RePEc:arx:papers:1710.05168.

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2019A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2019). Pigato, Paolo ; Lejay, Antoine. In: Papers. RePEc:arx:papers:1712.08329.

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2018Optimal portfolio selection in an It\^o-Markov additive market. (2018). Sulima, Anna ; Stettner, Lukasz ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:1806.03496.

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2019Risk-based optimal portfolio of an insurer with regime switching and noisy memory. (2019). Mabitsela, Lesedi ; Guambe, Calisto ; Kufakunesu, Rodwell. In: Papers. RePEc:arx:papers:1808.04604.

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2019Option Pricing in a Regime Switching Jump Diffusion Model. (2019). , Anjana ; Manjarekar, Omkar ; Goswami, Anindya. In: Papers. RePEc:arx:papers:1811.11379.

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2019Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework. (2019). Leung, Tim ; Zhou, Yang. In: Papers. RePEc:arx:papers:1910.06432.

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2020Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes. (2020). Wang, Xingchun ; Liang, Gechun. In: Papers. RePEc:arx:papers:2001.09443.

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2020How Safe are European Safe Bonds? An Analysis from the Perspective of Modern Portfolio Credit Risk Models. (2020). Damian, Camilla ; Kurt, Kevin ; Frey, Rudiger. In: Papers. RePEc:arx:papers:2001.11249.

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2020Robust Optimal Investment and Reinsurance Problems with Learning. (2020). Leimcke, Gregor ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2001.11301.

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2020An analytical study of participating policies with minimum guaranteed and surrender option. (2020). Stabile, Gabriele ; de Angelis, Tiziano ; Chiarolla, Maria B. In: Papers. RePEc:arx:papers:2004.06982.

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2020Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model. (2020). Zhang, Tianqi ; Wu, Rongwen ; Li, Bingqing ; Fu, Michael C. In: Papers. RePEc:arx:papers:2006.15054.

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2020Risk management of guaranteed minimum maturity benefits under stochastic mortality and regime-switching by Fourier space time-stepping framework. (2020). Hu, Wenlong. In: Papers. RePEc:arx:papers:2006.15483.

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2019DERIVING ROBUST BAYESIAN PREMIUMS UNDER BANDS OF PRIOR DISTRIBUTIONS WITH APPLICATIONS. (2019). Gomez-Deniz, E ; Suarez-Llorens, A ; Sordo, M A ; Sanchez-Sanchez, M. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:49:y:2019:i:01:p:147-168_00.

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2019Optimal 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.

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2018European 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.

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2020Joint dynamic modeling and option pricing in incomplete derivative-security market. (2020). Chen, Jun-Home ; Lian, Yu-Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081730325x.

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2019Nonlinear 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.

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2019Effects of a secondary market on original equipment manufactures’ pricing, trade-in remanufacturing, and entry decisions. (2019). Govindan, Kannan ; Feng, Lipan ; Li, Yongjian ; Xu, Fangchao. In: European Journal of Operational Research. RePEc:eee:ejores:v:279:y:2019:i:3:p:751-766.

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2020Should a manufacturer sell refurbished returns on the secondary market to incentivize retailers to reduce consumer returns?. (2020). Souza, Gilvan C ; Reimann, Marc ; Dickbauer, Yanick ; Borenich, Andrea. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:2:p:569-579.

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2019Time-consistent investment and reinsurance strategies for mean-variance insurers with relative performance concerns under the Heston model. (2019). Zhang, Chengke ; Cao, Ming ; Zhu, Huainian. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:280-291.

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2018Bayesian 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.

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2019Robust 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.

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2019Derivatives 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.

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2019Option pricing under regime-switching models: Novel approaches removing path-dependence. (2019). Lai, Van Son ; Godin, Frederic ; Trottier, Denis-Alexandre. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:87:y:2019:i:c:p:130-142.

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2019Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan. (2019). Lu, YI ; Wang, Suxin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:89:y:2019:i:c:p:46-62.

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2020To sell or not to sell to an off-price retailer in the presence of strategic consumers. (2020). Zhou, Jing ; Liu, Xin ; Khouja, Moutaz. In: Omega. RePEc:eee:jomega:v:90:y:2020:i:c:s0305048317310940.

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2020Pricing and hedging foreign equity options under Hawkes jump–diffusion processes. (2020). Xu, Weidong ; Shrestha, Keshab ; Pan, Dongtao ; Ma, Yong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:537:y:2020:i:c:s0378437119315110.

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2019Fashion 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.

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2019Does 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.

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2020A game theoretic approach for pricing under a return policy and a money back guarantee in a closed loop supply chain. (2020). Rasti-Barzoki, Morteza ; Assarzadegan, Parisa. In: International Journal of Production Economics. RePEc:eee:proeco:v:222:y:2020:i:c:s0925527319303044.

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2019Pricing 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.

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2018Option 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.

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2020Coordination of a fashion supply chain with demand disruptions. (2020). Wang, Ke ; Yu, Yugang ; Liang, Liang ; Chen, YA ; Xu, Xiaoping ; Zhao, Tianyi . In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:134:y:2020:i:c:s136655451930448x.

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2020A Discrete-Time Approach to Evaluate Path-Dependent Derivatives in a Regime-Switching Risk Model. (2020). Russo, Emilio. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:9-:d:314174.

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2019Risk Measurement. (2019). Hassani, Bertrand K ; Guegan, Dominique. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-02119256.

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2019A 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.

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2019A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Post-Print. RePEc:hal:journl:halshs-01909772.

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2019Competitive investment with varying risk premia. (2019). Gunnelin, ke ; Armerin, Fredrik. In: Working Paper Series. RePEc:hhs:kthrec:2019_012.

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2019Moment-Based Density Approximation Techniques as Applied to Heavy-tailed Distributions. (2019). Ren, Jiandong ; Provost, Serge B ; Jin, John Sang. In: International Journal of Statistics and Probability. RePEc:ibn:ijspjl:v:8:y:2019:i:3:p:1.

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2020Time Inhomogeneous Multivariate Markov Chains: Detecting and Testing Multiple Structural Breaks Occurring at Unknown. (2020). Nicolau, Joo ; Damasio, Bruno. In: Working Papers REM. RePEc:ise:remwps:wp01362020.

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2019Change 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.

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2019A 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.

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2019Modeling Credit Risk with Hidden Markov Default Intensity. (2019). Ching, Wai-Ki ; Gu, Jia-Wen ; Lu, Jiejun ; Yu, Feng-Hui. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:3:d:10.1007_s10614-018-9869-7.

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2019Stability advances in robust portfolio optimization under parallelepiped uncertainty. (2019). Kara, Guray ; Weber, Gerhard-Wilhelm ; Ozmen, Aye. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:27:y:2019:i:1:d:10.1007_s10100-017-0508-5.

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2020Pricing and hedging defaultable participating contracts with regime switching and jump risk. (2020). Su, Xiaoshan ; Quittard-Pinon, Franois ; le Courtois, Olivier. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-020-00276-w.

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2020Trading strategy with stochastic volatility in a limit order book market. (2020). Siu, Tak-Kuen ; Gu, Jiawen ; Ching, Wai-Ki ; Yang, Qing-Qing . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-020-00278-8.

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2020Regime switching affine processes with applications to finance. (2020). Beek, Misha ; Winands, Erik ; Spreij, Peter ; Mandjes, Michel. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00419-2.

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2019Coordination contracts for reverse supply chains: a state-of-the-art review. (2019). Kraus, Johannes B ; Krapp, Michael . In: Journal of Business Economics. RePEc:spr:jbecon:v:89:y:2019:i:7:d:10.1007_s11573-017-0887-z.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:41.

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2019Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility. (2019). Chen, Cathy W. S. ; Watanabe, Toshiaki. In: Applied Stochastic Models in Business and Industry. RePEc:wly:apsmbi:v:35:y:2019:i:3:p:747-765.

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2019Regime switching rough Heston model. (2019). Schlogl, Erik ; Alfeus, Mesias ; Overbeck, Ludger. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:5:p:538-552.

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2019Pricing 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.

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2019Testing of binary regime switching models using squeeze duration analysis. (2019). Goswami, Anindya ; Das, Milan Kumar. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:06:y:2019:i:01:n:s2424786319500063.

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2020Optimal dynamic futures portfolio in a regime-switching market framework. (2020). Leung, Tim ; Zhou, Yang. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:06:y:2020:i:04:n:s2424786319500348.

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2020Markov modulated jump-diffusions for currency options when regime switching risk is priced. (2020). Liu, David. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:06:y:2020:i:04:n:s2424786319500385.

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2019VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING. (2019). Zhu, Song-Ping ; He, Xin-Jiang. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:04:n:s0219024919500092.

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2019EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE. (2019). Huang, Nan-Jing ; Yue, Jia ; Yang, Ben-Zhang. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:04:n:s021902491950016x.

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2019A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA. (2019). Pigato, Paolo ; Lejay, Antoine. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:04:n:s0219024919500171.

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2019CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING. (2019). Yao, Haixiang ; Chen, Ping ; Wang, Liyuan. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:06:n:s0219024919500298.

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Works by Tak Kuen Siu:


YearTitleTypeCited
2012On Pricing Basket Credit Default Swaps In: Papers.
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paper5
2013On pricing basket credit default swaps.(2013) In: Quantitative Finance.
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2013On Reduced Form Intensity-based Model with Trigger Events In: Papers.
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2014On reduced-form intensity-based model with ‘trigger’ events.(2014) In: Journal of the Operational Research Society.
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2013On Infectious Model for Dependent Defaults In: Papers.
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2015On Optimal Pricing Model for Multiple Dealers in a Competitive Market In: Papers.
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2019On Optimal Pricing Model for Multiple Dealers in a Competitive Market.(2019) In: Computational Economics.
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2016Trading Strategy with Stochastic Volatility in a Limit Order Book Market In: Papers.
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2016Interacting Default Intensity with Hidden Markov Process In: Papers.
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2017Interacting default intensity with a hidden Markov process.(2017) In: Quantitative Finance.
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2017Generalized Optimal Liquidation Problems Across Multiple Trading Venues In: Papers.
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2017A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach In: Journal of Time Series Analysis.
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2017A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach.(2017) In: LSE Research Online Documents on Economics.
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2018A hidden Markov regime-switching smooth transition model In: Studies in Nonlinear Dynamics & Econometrics.
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2006On Bayesian Mixture Credibility In: ASTIN Bulletin.
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2019Continuous-time optimal reinsurance strategy with nontrivial curved structures In: Applied Mathematics and Computation.
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2011On pricing and hedging options in regime-switching models with feedback effect In: Journal of Economic Dynamics and Control.
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2018Market-making strategy with asymmetric information and regime-switching In: Journal of Economic Dynamics and Control.
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2010On mean-variance portfolio selection under a hidden Markovian regime-switching model In: Economic Modelling.
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2011On optimal reinsurance, dividend and reinvestment strategies In: Economic Modelling.
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2011On optimal reinsurance, dividend and reinvestment strategies.(2011) In: Economic Modelling.
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2012Asset allocation under stochastic interest rate with regime switching In: Economic Modelling.
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2013Pricing bond options under a Markovian regime-switching Hull–White model In: Economic Modelling.
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2014Pricing foreign equity options with regime-switching In: Economic Modelling.
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2015Valuing commodity options and futures options with changing economic conditions In: Economic Modelling.
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2016Optimal reinsurance policies with two reinsurers in continuous time In: Economic Modelling.
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2017Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model In: Economic Modelling.
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2016A functional Itô’s calculus approach to convex risk measures with jump diffusion In: European Journal of Operational Research.
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2020Singular dividend optimization for a linear diffusion model with time-inconsistent preferences In: European Journal of Operational Research.
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2013Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance In: Energy Economics.
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1999Subjective risk measures: Bayesian predictive scenarios analysis In: Insurance: Mathematics and Economics.
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2005Fair valuation of participating policies with surrender options and regime switching In: Insurance: Mathematics and Economics.
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2008A game theoretic approach to option valuation under Markovian regime-switching models In: Insurance: Mathematics and Economics.
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2008On option pricing under a completely random measure via a generalized Esscher transform In: Insurance: Mathematics and Economics.
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2008Pricing currency options under two-factor Markov-modulated stochastic volatility models In: Insurance: Mathematics and Economics.
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2009Optimal investment and reinsurance of an insurer with model uncertainty In: Insurance: Mathematics and Economics.
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2009Esscher transforms and consumption-based models In: Insurance: Mathematics and Economics.
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2010A hidden Markov regime-switching model for option valuation In: Insurance: Mathematics and Economics.
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2013Longevity bond pricing under stochastic interest rate and mortality with regime-switching In: Insurance: Mathematics and Economics.
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2013Optimal dividends with debts and nonlinear insurance risk processes In: Insurance: Mathematics and Economics.
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2013Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach In: Insurance: Mathematics and Economics.
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2013Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model In: Insurance: Mathematics and Economics.
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2015Pricing annuity guarantees under a double regime-switching model In: Insurance: Mathematics and Economics.
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2016A self-exciting threshold jump–diffusion model for option valuation In: Insurance: Mathematics and Economics.
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2014Impact of secondary market on consumer return policies and supply chain coordination In: Omega.
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2011On supply chain coordination for false failure returns: A quantity discount contract approach In: International Journal of Production Economics.
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2016Pricing strategy for a two-echelon supply chain with optimized return effort level In: International Journal of Production Economics.
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2011Bond valuation under a discrete-time regime-switching term-structure model and its continuous-time extension In: Managerial Finance.
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2011A Pseudo-Bayesian Model for Stock Returns In Financial Crises In: Journal of Risk and Financial Management.
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2018A Risk-Based Approach for Asset Allocation with A Defaultable Share In: Risks.
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2011Impulse Control of Proportional Reinsurance with Constraints In: International Journal of Stochastic Analysis.
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2015A Stochastic Flows Approach for Asset Allocation with Hidden Economic Environment In: International Journal of Stochastic Analysis.
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2008Pricing Participating Products under a Generalized Jump-Diffusion Model In: International Journal of Stochastic Analysis.
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2011Regime-Switching Risk: To Price or Not to Price? In: International Journal of Stochastic Analysis.
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2010A Markov Regime-Switching Marked Point Process for Short-Rate Analysis with Credit Risk In: International Journal of Stochastic Analysis.
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2014Integration by Parts and Martingale Representation for a Markov Chain In: Abstract and Applied Analysis.
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