12
H index
19
i10 index
697
Citations
Macquarie University | 12 H index 19 i10 index 697 Citations RESEARCH PRODUCTION: 102 Articles 10 Papers 1 Books 11 Chapters RESEARCH ACTIVITY: 23 years (1999 - 2022). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/psi241 |
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: |
Working Papers Series with more than one paper published | # docs |
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Papers / arXiv.org | 8 |
Year | Title of citing document |
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2023 | Mind your language: Political discourse affects deforestation in the Brazilian Amazon. (2023). Borner, Jan ; Sellare, Jorge ; de Oliveira, Gustavo Magalhes. In: Discussion Papers. RePEc:ags:ubzefd:333334. Full description at Econpapers || Download paper |
2023 | On 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. Full description at Econpapers || Download paper |
2023 | The optimal reinsurance strategy with price-competition between two reinsurers. (2023). Abd, Jingzhen Liu ; Liu, Fangda ; Lin, Liyuan. In: Papers. RePEc:arx:papers:2305.00509. Full description at Econpapers || Download paper |
2023 | Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks. (2023). Lin, Sha ; He, Xin-Jiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000414. Full description at Econpapers || Download paper |
2023 | Randomization and the valuation of guaranteed minimum death benefits. (2023). Hieber, Peter ; Deelstra, Griselda. In: European Journal of Operational Research. RePEc:eee:ejores:v:309:y:2023:i:3:p:1218-1236. Full description at Econpapers || Download paper |
2023 | Reinsurance games with two reinsurers: Tree versus chain. (2023). Zou, Bin ; Young, Virginia R ; Li, Dongchen ; Cao, Jingyi. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:2:p:928-941. Full description at Econpapers || Download paper |
2023 | Analysis about the Black-Scholes asset price under the regime-switching framework. (2023). Zhou, Duotai ; Tian, Ping. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002090. Full description at Econpapers || Download paper |
2023 | On pricing double-barrier options with Markov regime switching. (2023). Zhang, Tianqi. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005906. Full description at Econpapers || Download paper |
2023 | Valuation of chooser options with state-dependent risks. (2023). Chen, Jun-Home ; Lian, Yu-Min. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007036. Full description at Econpapers || Download paper |
2023 | A comparative study of firm value models: Default risk of corporate bonds. (2023). Ik, Sung. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004099. Full description at Econpapers || Download paper |
2023 | Net buying pressure and the information in bitcoin option trades. (2023). Wan, Huning ; Feng, Jianfen ; Deng, Jun ; Alexander, Carol. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000544. Full description at Econpapers || Download paper |
2023 | Multiple per-claim reinsurance based on maximizing the Lundberg exponent. (2023). Zhou, Ming ; Wei, LI ; Meng, Hui. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:112:y:2023:i:c:p:33-47. Full description at Econpapers || Download paper |
2023 | Lenient vs. stringent returns policies in the presence of fraudulent returns: The role of customers’ fairness perceptions. (2023). Liu, Zhuojun ; Chen, Bintong ; Yu, BO. In: Omega. RePEc:eee:jomega:v:117:y:2023:i:c:s0305048323000099. Full description at Econpapers || Download paper |
2023 | Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm. (2023). Hamdi, Abdelouahed ; Noorani, Idin ; Mehrdoust, Farshid. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:204:y:2023:i:c:p:660-678. Full description at Econpapers || Download paper |
2023 | An efficient algorithm for pricing reinsurance contract under the regime-switching model. (2023). Azhdari, Parvin ; Vajargah, Kianoush Fathi ; Abbaspour, Manijeh. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:211:y:2023:i:c:p:278-300. Full description at Econpapers || Download paper |
2024 | Valuation of option price in commodity markets described by a Markov-switching model: A case study of WTI crude oil market. (2024). Kanniainen, Juho ; Noorani, Idin ; Mehrdoust, Farshid. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:215:y:2024:i:c:p:228-269. Full description at Econpapers || Download paper |
2023 | Stochastic control with inhomogeneous regime switching: Application to consumption and investment with unemployment and reemployment. (2023). Zhao, Hui ; Rong, Ximin ; Tao, Cheng. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:107:y:2023:i:c:s0304406823000423. Full description at Econpapers || Download paper |
2023 | Incorporating improved directional change and regime change detection to formulate trading strategies in foreign exchange markets. (2023). Wu, Bing ; Li, Danping ; Zhang, Weijie ; Hu, Shicheng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:622:y:2023:i:c:s0378437123003655. Full description at Econpapers || Download paper |
2023 | Recovering and remanufacturing to fulfill EPR regulation in the presence of secondary market. (2023). Kumar, Sanjay ; Wu, Sisi ; Cao, Jian. In: International Journal of Production Economics. RePEc:eee:proeco:v:263:y:2023:i:c:s0925527323001652. Full description at Econpapers || Download paper |
2023 | A hybrid stochastic volatility model in a Lévy market. (2023). Vives, Josep ; Makumbe, Zororo S ; Goutte, Stephane ; El-Khatib, Youssef. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:220-235. Full description at Econpapers || Download paper |
2023 | COVID-19 and stock returns: Evidence from the Markov switching dependence approach. (2023). Abedin, Mohammad Zoynul ; Sharif, Taimur ; Bouteska, Ahmed. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000089. Full description at Econpapers || Download paper |
2023 | Hitting times, number of jumps, and occupation times for continuous-time finite state Markov chains. (2023). Colwell, David B. In: Statistics & Probability Letters. RePEc:eee:stapro:v:195:y:2023:i:c:s016771522300010x. Full description at Econpapers || Download paper |
2023 | Models used to characterise blockchain features. A systematic literature review and bibliometric analysis. (2023). Arguedas-Sanz, Raquel ; Rico-Pea, Juan Jesus ; Lopez-Martin, Carmen. In: Technovation. RePEc:eee:techno:v:123:y:2023:i:c:s0166497223000226. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Markov-Switching Bayesian Vector Autoregression Model in Mortality Forecasting. (2023). Droms, Sean ; Brewer, Patrick ; Smith, Barry R ; Fu, Wanying. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:9:p:152-:d:1222432. Full description at Econpapers || Download paper |
2023 | Pricing of Averaged Variance, Volatility, Covariance and Correlation Swaps with Semi-Markov Volatilities. (2023). Franco, Sebastian ; Swishchuk, Anatoliy. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:9:p:162-:d:1236051. Full description at Econpapers || Download paper |
2023 | Multivariate Regime Switching Model Estimation and Asset Allocation. (2023). Zhang, Xili ; Xu, Weidong ; Zheng, Kai. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:1:d:10.1007_s10614-021-10203-9. Full description at Econpapers || Download paper |
2023 | Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset. (2023). Aksoy, Umit ; Uur, Omur ; Aydoan, Burcu. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10272-4. Full description at Econpapers || Download paper |
2023 | Attaining stochastic optimal control over debt ratios in U.S. markets. (2023). Liu, Wei-Han. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:3:d:10.1007_s11156-023-01173-0. Full description at Econpapers || Download paper |
2023 | Bayesian nonlinear expectation for time series modelling and its application to Bitcoin. (2023). Siu, Tak Kuen. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02255-z. Full description at Econpapers || Download paper |
2023 | Optimal Pairs Trading Strategies: A Stochastic Mean–Variance Approach. (2023). Gu, Jia-Wen ; Wu, Chufang ; Ching, Wai-Ki ; Yu, Fenghui. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:196:y:2023:i:1:d:10.1007_s10957-022-02131-x. Full description at Econpapers || Download paper |
2023 | Fund Managers’ Competition for Investment Flows Based on Relative Performance. (2023). Ye, Jiaxuan ; Wang, GU. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:198:y:2023:i:2:d:10.1007_s10957-023-02221-4. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Inference of Binary Regime Models with Jump Discontinuities. (2023). Rajani, Sharan ; Goswami, Anindya ; Das, Milan Kumar. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00277-2. Full description at Econpapers || Download paper |
2023 | Optimal Stock Portfolio Selection with a Multivariate Hidden Markov Model. (2023). Neerchal, Nagaraj K ; Ji, Qing ; Majumder, Reetam. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00290-5. Full description at Econpapers || Download paper |
2023 | Analytically pricing exchange options with stochastic liquidity and regime switching. (2023). Lin, Sha ; He, Xinjiang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:5:p:662-676. Full description at Econpapers || Download paper |
2023 | Hedging options in a hidden Markov?switching local?volatility model via stochastic flows and a Monte?Carlo method. (2023). Siu, Tak Kuen ; Elliott, Robert J. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:7:p:925-950. Full description at Econpapers || Download paper |
2023 | Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure. (2023). Lin, Sha ; He, Xinjiang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:7:p:951-967. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2012 | On Pricing Basket Credit Default Swaps In: Papers. [Full Text][Citation analysis] | paper | 5 |
2013 | On pricing basket credit default swaps.(2013) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2013 | On Reduced Form Intensity-based Model with Trigger Events In: Papers. [Full Text][Citation analysis] | paper | 3 |
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 nother version. Agregated cites: 3 | 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 |
2019 | On Optimal Pricing Model for Multiple Dealers in a Competitive Market.(2019) In: Computational Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2016 | Trading Strategy with Stochastic Volatility in a Limit Order Book Market In: Papers. [Full Text][Citation analysis] | paper | 1 |
2020 | Trading strategy with stochastic volatility in a limit order book market.(2020) In: Decisions in Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2016 | Interacting Default Intensity with Hidden Markov Process In: Papers. [Full Text][Citation analysis] | paper | 2 |
2017 | Interacting default intensity with a hidden Markov process.(2017) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2017 | Generalized Optimal Liquidation Problems Across Multiple Trading Venues In: Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Regime Switching Optimal Growth Model with Risk Sensitive Preferences In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Regime switching optimal growth model with risk sensitive preferences.(2022) In: Journal of Mathematical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
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 | 2 |
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 nother version. Agregated cites: 2 | paper | |
2018 | A hidden Markov regime-switching smooth transition model In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
2006 | On Bayesian Mixture Credibility In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 2 |
2019 | Continuous-time optimal reinsurance strategy with nontrivial curved structures In: Applied Mathematics and Computation. [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 | 9 |
2018 | Market-making strategy with asymmetric information and regime-switching In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 2 |
2010 | On mean-variance portfolio selection under a hidden Markovian regime-switching model In: Economic Modelling. [Full Text][Citation analysis] | article | 21 |
2011 | On optimal reinsurance, dividend and reinvestment strategies In: Economic Modelling. [Full Text][Citation analysis] | article | 8 |
2011 | On optimal reinsurance, dividend and reinvestment strategies.(2011) In: Economic Modelling. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
2012 | Asset allocation under stochastic interest rate with regime switching In: Economic Modelling. [Full Text][Citation analysis] | article | 10 |
2013 | Pricing bond options under a Markovian regime-switching Hull–White model In: Economic Modelling. [Full Text][Citation analysis] | article | 3 |
2014 | Pricing foreign equity options with regime-switching In: Economic Modelling. [Full Text][Citation analysis] | article | 11 |
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 | 4 |
2017 | Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model In: Economic Modelling. [Full Text][Citation analysis] | article | 1 |
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 |
2020 | Singular dividend optimization for a linear diffusion model with time-inconsistent preferences In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 7 |
2013 | Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance In: Energy Economics. [Full Text][Citation analysis] | article | 3 |
2021 | Optimal risk exposure and dividend payout policies under model uncertainty In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 0 |
1999 | Subjective risk measures: Bayesian predictive scenarios analysis In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 3 |
2005 | Fair valuation of participating policies with surrender options and regime switching In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 34 |
2008 | A game theoretic approach to option valuation under Markovian regime-switching models In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
2008 | On option pricing under a completely random measure via a generalized Esscher transform In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
2008 | Pricing currency options under two-factor Markov-modulated stochastic volatility models In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 26 |
2009 | Optimal investment and reinsurance of an insurer with model uncertainty In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 21 |
2009 | Esscher transforms and consumption-based models In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 10 |
2010 | A hidden Markov regime-switching model for option valuation In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 8 |
2013 | Longevity bond pricing under stochastic interest rate and mortality with regime-switching In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 11 |
2013 | Optimal dividends with debts and nonlinear insurance risk processes In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 3 |
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 | 7 |
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 | 7 |
2015 | Pricing annuity guarantees under a double regime-switching model In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 14 |
2016 | A self-exciting threshold jump–diffusion model for option valuation In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 5 |
2014 | Impact of secondary market on consumer return policies and supply chain coordination In: Omega. [Full Text][Citation analysis] | article | 28 |
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 | 28 |
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 | 2 |
2011 | A Pseudo-Bayesian Model for Stock Returns In Financial Crises In: JRFM. [Full Text][Citation analysis] | article | 6 |
2018 | A Risk-Based Approach for Asset Allocation with A Defaultable Share In: Risks. [Full Text][Citation analysis] | article | 0 |
2011 | Impulse Control of Proportional Reinsurance with Constraints In: International Journal of Stochastic Analysis. [Full Text][Citation analysis] | article | 0 |
2015 | A Stochastic Flows Approach for Asset Allocation with Hidden Economic Environment In: International Journal of Stochastic Analysis. [Full Text][Citation analysis] | article | 2 |
2008 | Pricing Participating Products under a Generalized Jump-Diffusion Model In: International Journal of Stochastic Analysis. [Full Text][Citation analysis] | article | 1 |
2011 | Regime-Switching Risk: To Price or Not to Price? In: International Journal of Stochastic Analysis. [Full Text][Citation analysis] | article | 1 |
2010 | A Markov Regime-Switching Marked Point Process for Short-Rate Analysis with Credit Risk In: International Journal of Stochastic Analysis. [Full Text][Citation analysis] | article | 1 |
2014 | Integration by Parts and Martingale Representation for a Markov Chain In: Abstract and Applied Analysis. [Full Text][Citation analysis] | article | 0 |
2021 | Two price economic equilibria and financial market bid/ask prices In: Annals of Finance. [Full Text][Citation analysis] | article | 0 |
2005 | Option pricing and Esscher transform under regime switching In: Annals of Finance. [Full Text][Citation analysis] | article | 127 |
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 | 6 |
2004 | On Bayesian Value at Risk: From Linear to Non-Linear Portfolios In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 4 |
2006 | Risk measures for derivatives with Markov-modulated pure jump processes In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 0 |
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 nother 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 | 2 |
2019 | Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching In: Computational Economics. [Full Text][Citation analysis] | article | 3 |
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 | 5 |
In: . [Full Text][Citation analysis] | paper | 0 | |
2010 | On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy In: Annals of Operations Research. [Full Text][Citation analysis] | article | 20 |
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 | 9 |
2010 | Improving Revenue Management: A Real Option Approach In: International Handbooks on Information Systems. [Citation analysis] | chapter | 1 |
2007 | On Fair Valuation of Participating Life Insurance Policies With Regime Switching In: International Series in Operations Research & Management Science. [Citation analysis] | chapter | 1 |
2013 | Introduction In: International Series in Operations Research & Management Science. [Citation analysis] | chapter | 0 |
2013 | Queueing Systems and the Web In: International Series in Operations Research & Management Science. [Citation analysis] | chapter | 0 |
2013 | Manufacturing and Re-manufacturing Systems In: International Series in Operations Research & Management Science. [Citation analysis] | chapter | 0 |
2013 | A Hidden Markov Model for Customer Classification In: International Series in Operations Research & Management Science. [Citation analysis] | chapter | 1 |
2013 | Markov Decision Processes for Customer Lifetime Value In: International Series in Operations Research & Management Science. [Citation analysis] | chapter | 0 |
2013 | Higher-Order Markov Chains In: International Series in Operations Research & Management Science. [Citation analysis] | chapter | 2 |
2013 | Multivariate Markov Chains In: International Series in Operations Research & Management Science. [Citation analysis] | chapter | 0 |
2013 | Hidden Markov Chains In: International Series in Operations Research & Management Science. [Citation analysis] | chapter | 0 |
2014 | A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing In: International Series in Operations Research & Management Science. [Citation analysis] | chapter | 5 |
2013 | Markov Chains In: International Series in Operations Research and Management Science. [Citation analysis] | book | 0 |
2021 | Optimal pairs trading with dynamic mean-variance objective In: Mathematical Methods of Operations Research. [Full Text][Citation analysis] | article | 3 |
2009 | Robust Optimal Portfolio Choice Under Markovian Regime-switching Model In: Methodology and Computing in Applied Probability. [Full Text][Citation analysis] | article | 11 |
2014 | Strategic Asset Allocation Under a Fractional Hidden Markov Model In: Methodology and Computing in Applied Probability. [Full Text][Citation analysis] | article | 2 |
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 | 48 |
2009 | On Markov-modulated Exponential-affine Bond Price Formulae In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 23 |
2011 | Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 3 |
2012 | Viterbi-Based Estimation for Markov Switching GARCH Model In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 4 |
2013 | Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 13 |
2000 | A PDE approach to risk measures of derivatives In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 1 |
2021 | The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights In: Applied Economics. [Full Text][Citation analysis] | article | 4 |
2021 | Bitcoin option pricing with a SETAR-GARCH model In: The European Journal of Finance. [Full Text][Citation analysis] | article | 8 |
2017 | An FFT approach for option pricing under a regime-switching stochastic interest rate model In: Communications in Statistics - Theory and Methods. [Full Text][Citation analysis] | article | 2 |
2020 | Consumption-leisure-investment strategies with time-inconsistent preference in a life-cycle model In: Communications in Statistics - Theory and Methods. [Full Text][Citation analysis] | article | 0 |
2010 | Can expected shortfall and Value-at-Risk be used to statically hedge options? In: Quantitative Finance. [Full Text][Citation analysis] | article | 5 |
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 | 10 |
2016 | Pricing regime-switching risk in an HJM interest rate environment In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
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 |
2020 | Stochastic Flows and Jump-Diffusions In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
2022 | A generalized Esscher transform for option valuation with regime switching risk 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 | 1 |
2008 | The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 6 |
2008 | “Asset Allocation with Hedge Funds on the Menu,” Phelim Boyle and Sun Siang Liew, October 2007 In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 0 |
2022 | Dynamic Fund Protection for Property Markets In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 0 |
2001 | Bayesian Risk Measures for Derivatives via Random Esscher Transform In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 3 |
2012 | Asset allocation under threshold autoregressive models In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] | article | 1 |
2018 | Malliavin calculus in a binomial framework In: Applied Stochastic Models in Business and Industry. [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 | 10 |
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 | 7 |
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 | 6 |
2012 | ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 1 |
2015 | A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 6 |
2019 | HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 1 |
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