11
H index
15
i10 index
617
Citations
Macquarie University | 11 H index 15 i10 index 617 Citations RESEARCH PRODUCTION: 103 Articles 10 Papers 1 Books 11 Chapters RESEARCH ACTIVITY:
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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 |
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2022 | Inference of Binary Regime Models with Jump Discontinuities. (2019). Rajani, Sharan ; Goswami, Anindya ; Das, Milan Kumar. In: Papers. RePEc:arx:papers:1910.10606. Full description at Econpapers || Download paper |
2021 | An 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. Full description at Econpapers || Download paper |
2021 | A Perturbation Approach to Optimal Investment, Liability Ratio, and Dividend Strategies. (2020). Xu, Zuoquan ; Jin, Zhuo ; Zou, Bin. In: Papers. RePEc:arx:papers:2012.06703. Full description at Econpapers || Download paper |
2022 | Markov-modulated Affine Processes. (2021). Frey, Rudiger ; Kurt, Kevin. In: Papers. RePEc:arx:papers:2106.16240. Full description at Econpapers || Download paper |
2022 | Inverse Options in a Black-Scholes World. (2021). Imeraj, Arben ; Alexander, Carol. In: Papers. RePEc:arx:papers:2107.12041. Full description at Econpapers || Download paper |
2021 | Collective correlations, dynamics and behavioural inconsistencies of the cryptocurrency market over time. (2021). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2107.13926. Full description at Econpapers || Download paper |
2021 | Two 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. Full description at Econpapers || Download paper |
2022 | 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 |
2022 | On 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. Full description at Econpapers || Download paper |
2022 | Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308. Full description at Econpapers || Download paper |
2022 | Regime 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. Full description at Econpapers || Download paper |
2022 | Economic state classification and portfolio optimisation with application to stagflationary environments. (2022). Chin, Kevin ; Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2203.15911. Full description at Econpapers || Download paper |
2022 | Constrained optimal stopping under a regime-switching model. (2022). Takenaka, Masahiko ; Arai, Takuji. In: Papers. RePEc:arx:papers:2204.07914. Full description at Econpapers || Download paper |
2022 | Mean-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. Full description at Econpapers || Download paper |
2022 | Approximate Pricing of Derivatives Under Fractional Stochastic Volatility Model. (2022). Zheng, Xudong ; Han, Yuecai. In: Papers. RePEc:arx:papers:2210.15453. Full description at Econpapers || Download paper |
2022 | Designing Efficient Pair-Trading Strategies Using Cointegration for the Indian Stock Market. (2022). Sen, Jaydip. In: Papers. RePEc:arx:papers:2211.07080. Full description at Econpapers || Download paper |
2021 | Development 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. Full description at Econpapers || Download paper |
2021 | Markov 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. Full description at Econpapers || Download paper |
2021 | Markov-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. Full description at Econpapers || Download paper |
2021 | On 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. Full description at Econpapers || Download paper |
2021 | Pricing 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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2021 | Convertible 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. Full description at Econpapers || Download paper |
2022 | Vulnerable 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. Full description at Econpapers || Download paper |
2022 | Real 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. Full description at Econpapers || Download paper |
2022 | Kernel-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. Full description at Econpapers || Download paper |
2021 | Robust 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. Full description at Econpapers || Download paper |
2021 | Valuation 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. Full description at Econpapers || Download paper |
2022 | Optimal 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. Full description at Econpapers || Download paper |
2022 | Price 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. Full description at Econpapers || Download paper |
2022 | Pricing 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. Full description at Econpapers || Download paper |
2022 | A 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. Full description at Econpapers || Download paper |
2022 | Likelihood 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. Full description at Econpapers || Download paper |
2021 | Option 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. Full description at Econpapers || Download paper |
2021 | Analytic 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. Full description at Econpapers || Download paper |
2022 | Optimal 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. Full description at Econpapers || Download paper |
2022 | Relative 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. Full description at Econpapers || Download paper |
2022 | Foreign 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. Full description at Econpapers || Download paper |
2021 | Equity-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. Full description at Econpapers || Download paper |
2021 | Dividend 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. Full description at Econpapers || Download paper |
2021 | Stochastic 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. Full description at Econpapers || Download paper |
2021 | Option 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. Full description at Econpapers || Download paper |
2021 | Longevity 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. Full description at Econpapers || Download paper |
2021 | Reveal 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. Full description at Econpapers || Download paper |
2021 | Managing 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. Full description at Econpapers || Download paper |
2021 | Offering 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. Full description at Econpapers || Download paper |
2022 | The 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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2022 | On 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. Full description at Econpapers || Download paper |
2022 | Deep 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. Full description at Econpapers || Download paper |
2021 | Retailer-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. Full description at Econpapers || Download paper |
2021 | Pricing 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. Full description at Econpapers || Download paper |
2022 | Markov-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. Full description at Econpapers || Download paper |
2022 | The 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. Full description at Econpapers || Download paper |
2022 | Manufacturer’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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2021 | Maximum 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. Full description at Econpapers || Download paper |
2021 | An 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. Full description at Econpapers || Download paper |
2021 | Univariate 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. Full description at Econpapers || Download paper |
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2021 | Investigating 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. Full description at Econpapers || Download paper |
2022 | Contract 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. Full description at Econpapers || Download paper |
2022 | Does 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. Full description at Econpapers || Download paper |
2022 | Pricing 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. Full description at Econpapers || Download paper |
2021 | Tendencias y perspectivas de la ciencia financiera: Un artículo de revisión. (2021). Venegas-MartÃnez, 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. Full description at Econpapers || Download paper |
2021 | Textual 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. Full description at Econpapers || Download paper |
2021 | Variance 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. Full description at Econpapers || Download paper |
2021 | Foreign 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. Full description at Econpapers || Download paper |
2022 | Analytically 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. Full description at Econpapers || Download paper |
2021 | Pricing 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. Full description at Econpapers || Download paper |
2021 | Pricing 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. Full description at Econpapers || Download paper |
2021 | Option 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. Full description at Econpapers || Download paper |
2022 | Forecasting 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. Full description at Econpapers || Download paper |
2021 | Dynamic 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. Full description at Econpapers || Download paper |
2021 | Modelling 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. Full description at Econpapers || Download paper |
2021 | Regime 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. Full description at Econpapers || Download paper |
2022 | Stochastic 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. Full description at Econpapers || Download paper |
2022 | A 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. Full description at Econpapers || Download paper |
2022 | The 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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2021 | Blockchain 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. Full description at Econpapers || Download paper |
2021 | Optimal 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. Full description at Econpapers || Download paper |
2022 | An 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. Full description at Econpapers || Download paper |
2022 | Valuation 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. Full description at Econpapers || Download paper |
2021 | Proposing 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. Full description at Econpapers || Download paper |
2022 | Emission 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. Full description at Econpapers || Download paper |
2021 | Goodness-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. Full description at Econpapers || Download paper |
2022 | Measuring 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. Full description at Econpapers || Download paper |
2022 | Option 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. Full description at Econpapers || Download paper |
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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 another 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 another 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 another version. Agregated cites: 0 | article | |
2016 | Trading Strategy with Stochastic Volatility in a Limit Order Book Market In: Papers. [Full Text][Citation analysis] | paper | 0 |
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 another version. Agregated cites: 0 | 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 another 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 another 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 another 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 | 0 |
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 | 6 |
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 | 19 |
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 another version. Agregated cites: 8 | article | |
2012 | Asset allocation under stochastic interest rate with regime switching In: Economic Modelling. [Full Text][Citation analysis] | article | 9 |
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 | 8 |
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 | 1 |
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 | 2 |
2005 | Fair valuation of participating policies with surrender options and regime switching In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 32 |
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 | 25 |
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 | 7 |
2013 | Longevity bond pricing under stochastic interest rate and mortality with regime-switching In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 10 |
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 | 5 |
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 | 6 |
2015 | Pricing annuity guarantees under a double regime-switching model In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 13 |
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 | 26 |
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 | Bond valuation under a discrete-time regime-switching term-structure model and its continuous-time extension In: Managerial Finance. [Full Text][Citation analysis] | article | 4 |
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 | 0 |
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 | 114 |
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 | 3 |
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 another version. Agregated cites: 3 | article | |
2008 | Pricing Risky Debts Under a Markov-modudated Merton Model with Completely Random Measures In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
2012 | A Flexible Markov Chain Approach for Multivariate Credit Ratings In: Computational Economics. [Full Text][Citation analysis] | article | 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 | 1 |
2017 | On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures In: American Journal of Agricultural Economics. [Full Text][Citation analysis] | article | 4 |
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 | 15 |
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 | 7 |
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 | 4 |
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 | 1 |
2009 | Robust Optimal Portfolio Choice Under Markovian Regime-switching Model In: Methodology and Computing in Applied Probability. [Full Text][Citation analysis] | article | 10 |
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 | 38 |
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 | 11 |
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 | 1 |
2021 | Bitcoin option pricing with a SETAR-GARCH model In: The European Journal of Finance. [Full Text][Citation analysis] | article | 5 |
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 | 9 |
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 | 0 |
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 | 2 |
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 | 7 |
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 | 0 |
2015 | A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 4 |
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 | 0 |
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