Tak Kuen Siu : Citation Profile


Are you Tak Kuen Siu?

Macquarie University

11

H index

15

i10 index

617

Citations

RESEARCH PRODUCTION:

103

Articles

10

Papers

1

Books

11

Chapters

RESEARCH ACTIVITY:

   23 years (1999 - 2022). See details.
   Cites by year: 26
   Journals where Tak Kuen Siu has often published
   Relations with other researchers
   Recent citing documents: 95.    Total self citations: 40 (6.09 %)

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   Permalink: http://citec.repec.org/psi241
   Updated: 2023-01-28    RAS profile: 2022-10-06    
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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 (8)

Cao, Jiling (7)

Escobar Anel, Marcos (5)

Venegas-Martínez, Francisco (5)

Moraux, Franck (5)

Bo, Lijun (4)

Wang, Xingchun (4)

Wong, Wing-Keung (4)

Goutte, Stéphane (4)

Doko Tchatoka, Firmin (4)

Platen, Eckhard (3)

Cites to:

merton, robert (31)

Hamilton, James (27)

Wong, Wing-Keung (25)

Jarrow, Robert (13)

Stoll, Hans (11)

Artzner, Philippe (11)

Scholes, Myron (11)

Kreps, David (11)

LEHALLE, Charles-Albert (10)

Lo, Andrew (9)

Duffie, Darrell (9)

Main data


Where Tak Kuen Siu has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics15
Quantitative Finance10
Economic Modelling9
Applied Mathematical Finance7
International Journal of Theoretical and Applied Finance (IJTAF)6
Computational Economics6
International Journal of Stochastic Analysis5
Asia-Pacific Financial Markets4
North American Actuarial Journal4
Annals of Finance4
Annals of Operations Research2
Journal of Economic Dynamics and Control2
Communications in Statistics - Theory and Methods2
Methodology and Computing in Applied Probability2
Applied Stochastic Models in Business and Industry2
International Journal of Production Economics2
European Journal of Operational Research2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org8

Recent works citing Tak Kuen Siu (2022 and 2021)


YearTitle of citing document
2022Inference of Binary Regime Models with Jump Discontinuities. (2019). Rajani, Sharan ; Goswami, Anindya ; Das, Milan Kumar. In: Papers. RePEc:arx:papers:1910.10606.

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2021An 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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2021A Perturbation Approach to Optimal Investment, Liability Ratio, and Dividend Strategies. (2020). Xu, Zuoquan ; Jin, Zhuo ; Zou, Bin. In: Papers. RePEc:arx:papers:2012.06703.

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2022Markov-modulated Affine Processes. (2021). Frey, Rudiger ; Kurt, Kevin. In: Papers. RePEc:arx:papers:2106.16240.

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2022Inverse Options in a Black-Scholes World. (2021). Imeraj, Arben ; Alexander, Carol. In: Papers. RePEc:arx:papers:2107.12041.

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2021Collective correlations, dynamics and behavioural inconsistencies of the cryptocurrency market over time. (2021). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2107.13926.

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2021Two Approaches for a Dividend Maximization Problem under an Ornstein-Uhlenbeck Interest Rate. (2021). Steinicke, Alexander ; Kremsner, Stefan ; Eisenberg, Julia. In: Papers. RePEc:arx:papers:2108.00234.

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2022On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy. (2021). Zhou, Xiaowen ; Yu, Xiang ; Wang, Wenyuan. In: Papers. RePEc:arx:papers:2108.01800.

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2022On the systemic nature of global inflation, its association with equity markets and financial portfolio implications. (2021). Chin, Kevin ; James, Nick. In: Papers. RePEc:arx:papers:2111.11022.

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2022Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308.

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2022Regime recovery using implied volatility in Markov modulated market model. (2022). Patalwala, Irvine Homi ; Mukherjee, Kedar Nath ; Goswami, Anindya. In: Papers. RePEc:arx:papers:2201.10304.

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2022Economic state classification and portfolio optimisation with application to stagflationary environments. (2022). Chin, Kevin ; Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2203.15911.

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2022Constrained optimal stopping under a regime-switching model. (2022). Takenaka, Masahiko ; Arai, Takuji. In: Papers. RePEc:arx:papers:2204.07914.

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2022Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model. (2022). Yin, G ; Wei, J ; Jin, Z ; Zhang, Y. In: Papers. RePEc:arx:papers:2205.08743.

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2022Approximate Pricing of Derivatives Under Fractional Stochastic Volatility Model. (2022). Zheng, Xudong ; Han, Yuecai. In: Papers. RePEc:arx:papers:2210.15453.

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2022Designing Efficient Pair-Trading Strategies Using Cointegration for the Indian Stock Market. (2022). Sen, Jaydip. In: Papers. RePEc:arx:papers:2211.07080.

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2021Development conditions for creative clusters in Poland in view of institutional environment factors. (2021). Namylak, Beata ; Mackiewicz, Marta. In: Growth and Change. RePEc:bla:growch:v:52:y:2021:i:3:p:1295-1311.

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2021Markov chain approximation and measure change for time-inhomogeneous stochastic processes. (2021). Ning, Ning ; Ding, Kailin. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:392:y:2021:i:c:s0096300320306858.

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2021Markov-modulated jump-diffusion models for the short rate: Pricing of zero coupon bonds and convexity adjustment. (2021). Sanchez, Alejandra ; Oleaga, Gerardo ; Lopez, Oscar. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:395:y:2021:i:c:s0096300320308079.

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2021On a class of non-zero-sum stochastic differential dividend games with regime switching. (2021). Li, Shuanming ; Jin, Zhuo ; Chen, Ping ; Zhang, Jiannan. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:397:y:2021:i:c:s0096300321000047.

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2021Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model. (2021). Yu, Wenguang ; Zhang, Zhimin ; Wang, Yayun. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:399:y:2021:i:c:s0096300321000795.

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2021A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model. (2021). He, Xin-Jiang ; Lin, Sha. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:144:y:2021:i:c:s0960077920310353.

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2021Convertible bond valuation with regime switching. (2021). Jang, Bong-Gyu ; Kim, Byung-June. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:150:y:2021:i:c:s0960077921005555.

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2022Vulnerable European option pricing in a Markov regime-switching Heston model with stochastic interest rate. (2022). Deng, Guohe ; Xie, Yurong. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:156:y:2022:i:c:s0960077922001072.

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2022Real options, risk aversion and markets: A corporate finance perspective. (2022). Ewald, Christian-Oliver ; Taub, Bart. In: Journal of Corporate Finance. RePEc:eee:corfin:v:72:y:2022:i:c:s0929119922000074.

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2022Kernel-based hidden Markov conditional densities. (2022). Gooijer, Jan G. ; Yuan, AO ; Henter, Gustav Eje ; de Gooijer, Jan G. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:169:y:2022:i:c:s0167947322000111.

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2021Robust portfolio selection with regime switching and asymmetric dependence. (2021). Bai, Manying ; Su, Xiaoshan ; Han, Yingwei. In: Economic Modelling. RePEc:eee:ecmode:v:99:y:2021:i:c:s0264999321000754.

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2021Valuation of piecewise linear barrier options. (2021). Lee, Minha ; Ha, Hongjun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000929.

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2022Optimal time-consistent reinsurance and investment strategies for a jump–diffusion financial market without cash. (2022). Liang, Zhibin ; Zhang, Caibin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001820.

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2022Price impact, strategic interaction and portfolio choice. (2022). Curatola, Giuliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001959.

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2022Pricing catastrophe equity puts with counterparty risks under Markov-modulated, default-intensity processes. (2022). Liao, Szu-Lang ; Lian, Yu-Min ; Chen, Jun-Home. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000535.

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2022A semi-analytic valuation of two-asset barrier options and autocallable products using Brownian bridge. (2022). Ko, Bangwon ; Lee, Minha. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000560.

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2022Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo. (2022). , William ; Chen, Feng. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:50-68.

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2021Option pricing with conditional GARCH models. (2021). Stentoft, Lars ; Escobar Anel, Marcos ; Escobar-Anel, Marcos ; Rastegari, Javad. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:350-363.

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2021Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?. (2021). Zou, Yihan ; Ewald, Christian. In: European Journal of Operational Research. RePEc:eee:ejores:v:294:y:2021:i:2:p:801-815.

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2022Optimal harvesting under marine reserves and uncertain environment. (2022). Scotti, Simone ; Ly, Vathana ; Gaigi, Mhamed. In: European Journal of Operational Research. RePEc:eee:ejores:v:301:y:2022:i:3:p:1181-1194.

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2022Relative performance evaluation for dynamic contracts in a large competitive market. (2022). Phillip, Sheung Chi ; Ma, Guiyuan ; Han, Jinhui. In: European Journal of Operational Research. RePEc:eee:ejores:v:302:y:2022:i:2:p:768-780.

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2022Foreign exchange option pricing under regime switching with asymmetrical jumps. (2022). Chen, Jun-Home ; Lian, Yu-Min. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003287.

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2021Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging. (2021). Nguyen, Duy ; Kirkby, Lars J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:408-428.

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2021Dividend optimisation: A behaviouristic approach. (2021). Eisenberg, Julia ; Brinker, Leonie Violetta. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:202-224.

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2021Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints. (2021). Qian, Linyi ; Jin, Zhuo ; Zhang, Nan ; Wang, Ning. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:168-184.

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2021Option pricing in regime-switching frameworks with the Extended Girsanov Principle. (2021). Trottier, Denis-Alexandre ; Godin, Frederic. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:116-129.

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2021Longevity risk and capital markets: The 2019-20 update. (2021). , Andrew ; Blake, David. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:395-439.

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2021Reveal or hide? Impact of demonstration on pricing decisions considering showrooming behavior. (2021). Li, BO ; Chen, Xue ; Zheng, Wei. In: Omega. RePEc:eee:jomega:v:102:y:2021:i:c:s0305048320306836.

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2021Managing consumer returns with technology-enabled countermeasures. (2021). Ketzenberg, Michael ; Akturk, Serkan M ; Yildiz, Bari. In: Omega. RePEc:eee:jomega:v:102:y:2021:i:c:s0305048320306915.

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2021Offering return-freight insurance or not: Strategic analysis of an e-sellers decisions. (2021). Zhao, Xuan ; Fan, Zhi-Ping ; Chen, Zhongwei. In: Omega. RePEc:eee:jomega:v:103:y:2021:i:c:s0305048321000566.

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2022The impact of cross-selling on managing consumer returns in omnichannel operations. (2022). Ji, Guojun ; Yang, Guangyong. In: Omega. RePEc:eee:jomega:v:111:y:2022:i:c:s030504832200072x.

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2021A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model. (2021). Nasroallah, Abdelaziz ; Mehrdoust, Farshid ; Noorani, Idin. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:181:y:2021:i:c:p:1-15.

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2022On the systemic nature of global inflation, its association with equity markets and financial portfolio implications. (2022). Chin, Kevin ; James, Nick. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:593:y:2022:i:c:s0378437122000279.

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2022Deep learning in predicting cryptocurrency volatility. (2022). Piscopo, Gabriella ; Levantesi, Susanna ; Damato, Valeria. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:596:y:2022:i:c:s0378437122001704.

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2021Retailer-run resale market and supply chain coordination. (2021). Rhee, Byong-Duk ; Lee, Chang Hwan. In: International Journal of Production Economics. RePEc:eee:proeco:v:235:y:2021:i:c:s0925527321000657.

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2021Pricing virtual currency-linked derivatives with time-inhomogeneity. (2021). Chen, Jun-Home ; Lian, Yu-Min. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:424-439.

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2022Markov-modulated affine processes. (2022). Kurt, Kevin ; Frey, Rudiger. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:153:y:2022:i:c:p:391-422.

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2022The tail behavior of jump-diffusion Cox–Ingersoll–Ross processes with regime-switching. (2022). , Fubao ; Ji, Huijie. In: Statistics & Probability Letters. RePEc:eee:stapro:v:181:y:2022:i:c:s0167715221002339.

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2022Manufacturer’s contract choice and retailer’s returns management strategy. (2022). Liao, YI ; Chen, Bintong. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:165:y:2022:i:c:s1366554522002435.

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2021A Novel Health Prognosis Method for a Power System Based on a High-Order Hidden Semi-Markov Model. (2021). Liu, Wenyi ; Xia, Tangbin. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:24:p:8208-:d:696701.

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2021Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model. (2021). Doko Tchatoka, Firmin ; Alavifard, Farzad ; Sriananthakumar, Sivagowry. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:3:p:97-:d:507723.

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2021An Analytic Approach for Pricing American Options with Regime Switching. (2021). Zhu, Song-Ping ; Chan, Leunglung. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:188-:d:540271.

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2021Univariate and Multivariate GARCH Models Applied to Bitcoin Futures Option Pricing. (2021). Mare, Eben ; Venter, Pierre J. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:261-:d:572373.

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2021Investigating the Determinants of Credit Spread Using a Markov Regime-Switching Model: Evidence from Banks in Taiwan. (2021). Lee, Kuo-Jung ; Lu, Su-Lien. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:17:p:9535-:d:621039.

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2022Contract Design of Logistics Service Supply Chain Based on Smart Transformation. (2022). Zhang, Hengyi ; Chen, Haodong ; Liu, Hao ; Yu, Xingwang. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:10:p:6261-:d:820446.

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2022Does a Buyback Contract Coordinate a Reverse Supply Chain Facing Remanufacturing Capacity Disruption and Returned Product Quality Uncertainty?. (2022). Yazdani, Maziar ; Jolai, Fariborz ; Aghsami, Amir ; Bakhshi, Alireza ; Eslamipirharati, Mohammadreza ; Salami, Mehr Sadat. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:23:p:15939-:d:988266.

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2022Pricing and Contract Coordination of BOPS Supply Chain Considering Product Return Risk. (2022). Tang, Huajun ; Wai, Ivan Kai ; Yang, Shujun. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:9:p:5055-:d:799999.

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2021Tendencias y perspectivas de la ciencia financiera: Un artículo de revisión. (2021). Venegas-Martínez, Francisco ; Venegas-Martinez, Francisco ; Merton, Robert Cox. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:16:y:2021:i:1:a:1.

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2021Textual Machine Learning: An Application to Computational Economics Research. (2021). POLEMIS, MICHAEL ; Eleftheriou, Konstantinos ; Dowling, Michael ; Alexakis, Christos. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:1:d:10.1007_s10614-020-10077-3.

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2021Variance Swaps with Deterministic and Stochastic Correlations. (2021). Kim, See-Woo ; Han, Ah-Reum. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:4:d:10.1007_s10614-020-10002-8.

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2021Foreign Currency Power Option Pricing Based on Esscher Transform. (2021). Wang, Mengna ; Liu, Lixia. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:2:d:10.1007_s10614-020-10046-w.

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2022Analytically Pricing European Options under a New Two-Factor Heston Model with Regime Switching. (2022). He, Xin-Jiang ; Lin, Sha. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10117-6.

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2021Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes. (2021). Wang, Xingchun ; Liang, Gechun. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:1:d:10.1007_s11147-020-09167-z.

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2021Pricing vulnerable options with jump risk and liquidity risk. (2021). Wang, Xingchun. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:3:d:10.1007_s11147-021-09177-5.

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2021Option pricing under stock market cycles with jump risks: evidence from the S&P 500 index. (2021). Shyu, So-De ; Wang, Shin-Yun ; Lin, Shih-Kuei ; Chuang, Ming-Che. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:1:d:10.1007_s11156-020-00885-x.

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2022Forecasting the Value-at-Risk of energy commodities: A comparison of models and alternative distribution functions. (2022). Madaleno, Mara ; Pinho, Carlos ; Amaro, Raphael. In: Applied Econometrics. RePEc:ris:apltrx:0440.

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2021Dynamic Commodity Portfolio Management: A Regime-switching VAR Model. (2021). Biswal, Pratap Chandra ; Singhal, Shelly. In: Global Business Review. RePEc:sae:globus:v:22:y:2021:i:2:p:532-549.

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2021Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach. (2021). ausloos, marcel ; Shakeel, Bilal ; Dhesi, Gurjeet. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03305-z.

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2021Regime switching model estimation: spectral clustering hidden Markov model. (2021). Xu, Weidong ; Li, Yuying ; Zheng, Kai. In: Annals of Operations Research. RePEc:spr:annopr:v:303:y:2021:i:1:d:10.1007_s10479-019-03140-2.

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2022Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market. (2022). G.-W Weber, ; Savku, E. In: Annals of Operations Research. RePEc:spr:annopr:v:312:y:2022:i:2:d:10.1007_s10479-020-03768-5.

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2022A probabilistic approach to the stochastic fluid cash management balance problem. (2022). Barron, Yonit. In: Annals of Operations Research. RePEc:spr:annopr:v:312:y:2022:i:2:d:10.1007_s10479-021-04500-7.

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2022The Dynkin game with regime switching and applications to pricing game options. (2022). Zhang, Qing ; Wu, Zhen ; Lv, Siyu. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-020-03656-y.

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2021A data-driven approach for a class of stochastic dynamic optimization problems. (2021). Homem-De, Tito ; Vallado, Davi ; Silva, Thuener. In: Computational Optimization and Applications. RePEc:spr:coopap:v:80:y:2021:i:3:d:10.1007_s10589-021-00320-4.

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2021Blockchain and cryptocurrencies: economic and financial research. (2021). Cretarola, Alessandra ; Grunspan, Cyril ; Figa-Talamanca, Gianna. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00366-3.

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2021Optimal quantile hedging under Markov regime switching. (2021). Lien, Donald ; Yu, Xiaojian ; Wang, Ziling. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:5:d:10.1007_s00181-020-01831-5.

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2022An analytical study of participating policies with minimum rate guarantee and surrender option. (2022). Stabile, Gabriele ; Angelis, Tiziano ; Chiarolla, Maria B. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:2:d:10.1007_s00780-022-00471-0.

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2022Valuation of Annuity Guarantees Under a Self-Exciting Switching Jump Model. (2022). Njike, Charles Guy ; Hainaut, Donatien. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-022-09931-8.

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2021Proposing a discount policy for two-level supply chain coordination with periodic review replenishment and promotional efforts decisions. (2021). Nematollahi, Mohammadreza ; Hosseini-Motlagh, Seyyed-Mahdi ; Nouri, Mina. In: Operational Research. RePEc:spr:operea:v:21:y:2021:i:1:d:10.1007_s12351-018-0434-x.

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2022Emission reduction and coordination of a dynamic supply chain with green reputation. (2022). Gao, Huming ; Yu, Baoqin ; Ma, Rui ; Lu, Xinman ; Zhang, Qian ; Wang, Jun. In: Operational Research. RePEc:spr:operea:v:22:y:2022:i:4:d:10.1007_s12351-021-00678-7.

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2021Goodness-of-fit test of copula functions for semi-parametric univariate time series models. (2021). Lin, Huazhen ; Zhou, Qian M ; Zhang, Shulin. In: Statistical Papers. RePEc:spr:stpapr:v:62:y:2021:i:4:d:10.1007_s00362-019-01153-4.

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2022Measuring multi?volatility states of financial markets based on multifractal clustering model. (2022). Tang, Huiyue ; Huang, Xun. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:3:p:422-434.

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2022Option pricing with state?dependent pricing kernel. (2022). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:8:p:1409-1433.

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Works by Tak Kuen Siu:


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2012On Pricing Basket Credit Default Swaps In: Papers.
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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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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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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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2021Optimal risk exposure and dividend payout policies under model uncertainty In: Insurance: Mathematics and 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: JRFM.
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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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2005Option pricing and Esscher transform under regime switching In: Annals of Finance.
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2008A PDE approach for risk measures for derivatives with regime switching In: Annals of Finance.
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2013Pricing and managing risks of European-style options in a Markovian regime-switching binomial model In: Annals of Finance.
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2004On Bayesian Value at Risk: From Linear to Non-Linear Portfolios In: Asia-Pacific Financial Markets.
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2006Risk measures for derivatives with Markov-modulated pure jump processes In: Asia-Pacific Financial Markets.
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2007On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity In: Asia-Pacific Financial Markets.
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2015Asset Pricing Using Trading Volumes in a Hidden Regime-Switching Environment In: Asia-Pacific Financial Markets.
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2005Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models In: Computational Economics.
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2007Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models.(2007) In: Computational Economics.
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2008Pricing Risky Debts Under a Markov-modudated Merton Model with Completely Random Measures In: Computational Economics.
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2012A Flexible Markov Chain Approach for Multivariate Credit Ratings In: Computational Economics.
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2019Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching In: Computational Economics.
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2017On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures In: American Journal of Agricultural Economics.
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2010On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy In: Annals of Operations Research.
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2012A BSDE approach to risk-based asset allocation of pension funds with regime switching In: Annals of Operations Research.
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2010Improving Revenue Management: A Real Option Approach In: International Handbooks on Information Systems.
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2007On Fair Valuation of Participating Life Insurance Policies With Regime Switching In: International Series in Operations Research & Management Science.
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2013Introduction In: International Series in Operations Research & Management Science.
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2013Queueing Systems and the Web In: International Series in Operations Research & Management Science.
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2013Manufacturing and Re-manufacturing Systems In: International Series in Operations Research & Management Science.
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2013A Hidden Markov Model for Customer Classification In: International Series in Operations Research & Management Science.
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2013Markov Decision Processes for Customer Lifetime Value In: International Series in Operations Research & Management Science.
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2013Higher-Order Markov Chains In: International Series in Operations Research & Management Science.
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2013Multivariate Markov Chains In: International Series in Operations Research & Management Science.
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2013Hidden Markov Chains In: International Series in Operations Research & Management Science.
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2014A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing In: International Series in Operations Research & Management Science.
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2013Markov Chains In: International Series in Operations Research and Management Science.
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2021Optimal pairs trading with dynamic mean-variance objective In: Mathematical Methods of Operations Research.
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2009Robust Optimal Portfolio Choice Under Markovian Regime-switching Model In: Methodology and Computing in Applied Probability.
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2014Strategic Asset Allocation Under a Fractional Hidden Markov Model In: Methodology and Computing in Applied Probability.
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2017A Higher-order interactive hidden Markov model and its applications In: OR Spectrum: Quantitative Approaches in Management.
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2004A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach In: Applied Mathematical Finance.
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2007Pricing Volatility Swaps Under Hestons Stochastic Volatility Model with Regime Switching In: Applied Mathematical Finance.
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2009On Markov-modulated Exponential-affine Bond Price Formulae In: Applied Mathematical Finance.
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2011Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model In: Applied Mathematical Finance.
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2012Viterbi-Based Estimation for Markov Switching GARCH Model In: Applied Mathematical Finance.
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2013Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes In: Applied Mathematical Finance.
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2000A PDE approach to risk measures of derivatives In: Applied Mathematical Finance.
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2021The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights In: Applied Economics.
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2021Bitcoin option pricing with a SETAR-GARCH model In: The European Journal of Finance.
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2017An FFT approach for option pricing under a regime-switching stochastic interest rate model In: Communications in Statistics - Theory and Methods.
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2020Consumption-leisure-investment strategies with time-inconsistent preference in a life-cycle model In: Communications in Statistics - Theory and Methods.
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2010Can expected shortfall and Value-at-Risk be used to statically hedge options? In: Quantitative Finance.
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2010A stochastic differential game for optimal investment of an insurer with regime switching In: Quantitative Finance.
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2011Long-term strategic asset allocation with inflation risk and regime switching In: Quantitative Finance.
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2016Pricing regime-switching risk in an HJM interest rate environment In: Quantitative Finance.
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2016The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model In: Quantitative Finance.
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2020Stochastic Flows and Jump-Diffusions In: Quantitative Finance.
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2022A generalized Esscher transform for option valuation with regime switching risk In: Quantitative Finance.
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2005On a multivariate Markov chain model for credit risk measurement In: Quantitative Finance.
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2008The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model In: North American Actuarial Journal.
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2008“Asset Allocation with Hedge Funds on the Menu,” Phelim Boyle and Sun Siang Liew, October 2007 In: North American Actuarial Journal.
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2022Dynamic Fund Protection for Property Markets In: North American Actuarial Journal.
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2001Bayesian Risk Measures for Derivatives via Random Esscher Transform In: North American Actuarial Journal.
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2012Asset allocation under threshold autoregressive models In: Applied Stochastic Models in Business and Industry.
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2018Malliavin calculus in a binomial framework In: Applied Stochastic Models in Business and Industry.
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2014Option Valuation Under a Double Regime?Switching Model In: Journal of Futures Markets.
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2001COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY In: International Journal of Theoretical and Applied Finance (IJTAF).
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2006OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING In: International Journal of Theoretical and Applied Finance (IJTAF).
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2011A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS In: International Journal of Theoretical and Applied Finance (IJTAF).
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2012ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET In: International Journal of Theoretical and Applied Finance (IJTAF).
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2015A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL In: International Journal of Theoretical and Applied Finance (IJTAF).
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2019HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS In: International Journal of Theoretical and Applied Finance (IJTAF).
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