Tak Kuen Siu : Citation Profile


Are you Tak Kuen Siu?

Macquarie University

9

H index

9

i10 index

329

Citations

RESEARCH PRODUCTION:

71

Articles

8

Papers

1

Books

RESEARCH ACTIVITY:

   19 years (1999 - 2018). See details.
   Cites by year: 17
   Journals where Tak Kuen Siu has often published
   Relations with other researchers
   Recent citing documents: 81.    Total self citations: 30 (8.36 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psi241
   Updated: 2019-10-06    RAS profile: 2018-08-15    
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Relations with other researchers


Works with:

Ewald, Christian-Oliver (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Tak Kuen Siu.

Is cited by:

Bo, Lijun (4)

Platen, Eckhard (3)

Escobar Anel, Marcos (3)

Doko Tchatoka, Firmin (3)

Cao, Jiling (3)

López Cabrera, Brenda (2)

Ritter, Matthias (2)

Odening, Martin (2)

Billio, Monica (2)

Goutte, Stéphane (2)

cotter, john (2)

Cites to:

Wong, Wing-Keung (24)

merton, robert (22)

Hamilton, James (18)

Jarrow, Robert (12)

Kreps, David (11)

Scholes, Myron (10)

Duffie, Darrell (9)

LEHALLE, Charles-Albert (8)

Stoll, Hans (8)

Jørgensen, Peter (7)

Artzner, Philippe (7)

Main data


Where Tak Kuen Siu has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics14
Economic Modelling9
Quantitative Finance8
Applied Mathematical Finance7
International Journal of Theoretical and Applied Finance (IJTAF)5
Asia-Pacific Financial Markets4
Computational Economics4
Annals of Finance3
Journal of Economic Dynamics and Control2
International Journal of Production Economics2

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

Recent works citing Tak Kuen Siu (2018 and 2017)


YearTitle of citing document
2017On American VIX options under the generalized 3/2 and 1/2 models. (2017). De Temple, Jerome ; Kitapbayev, Yerkin ; Detemple, Jerome. In: Papers. RePEc:arx:papers:1606.00530.

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2017Extremal Behavior of Long-Term Investors with Power Utility. (2017). Bauerle, Nicole ; Grether, Stefanie . In: Papers. RePEc:arx:papers:1703.04423.

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

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

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2019A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2018). Lejay, Antoine ; Pigato, Paolo. In: Papers. RePEc:arx:papers:1712.08329.

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2018Variance swaps under L\{e}vy process with stochastic volatility and stochastic interest rate in incomplete markets. (2018). Yang, Ben-Zhang ; Huang, Nan-Jing ; Yue, Jia. In: Papers. RePEc:arx:papers:1712.10105.

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

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2018Testing of Binary Regime Switching Models using Squeeze Duration Analysis. (2018). Das, Milan Kumar ; Goswami, Anindya. In: Papers. RePEc:arx:papers:1807.04393.

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2018Utility maximization for L{\e}vy switching models. (2018). Vostrikova, Lioudmila ; Dong, Yuchao. In: Papers. RePEc:arx:papers:1807.08982.

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2019Risk-based optimal portfolio of an insurer with regime switching and noisy memory. (2018). Kufakunesu, Rodwell ; Mabitsela, Lesedi ; Guambe, Calisto. In: Papers. RePEc:arx:papers:1808.04604.

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2019Option Pricing in a Regime Switching Jump Diffusion Model. (2018). Goswami, Anindya ; Manjarekar, Omkar. In: Papers. RePEc:arx:papers:1811.11379.

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2017Optimal investment–consumption strategy with liability and regime switching model under Value-at-Risk constraint. (2017). Hu, Fengxia ; Wang, Rongming. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:313:y:2017:i:c:p:103-118.

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2019Optimal execution with regime-switching market resilience. (2019). Elliott, Robert J ; Zhu, Song-Ping ; Guo, Ivan ; Siu, Chi Chung. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:17-40.

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2017How should a local regime-switching model be calibrated?. (2017). He, Xin-Jiang ; Zhu, Song-Ping. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:78:y:2017:i:c:p:149-163.

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2017Optimal investment of variance-swaps in jump-diffusion market with regime-switching. (2017). Wang, Yongjin ; Bo, Lijun ; Tang, Dan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:83:y:2017:i:c:p:175-197.

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2017Mean-variance portfolio selection with only risky assets under regime switching. (2017). Zhang, Miao ; Yao, Haixiang ; Chen, Ping. In: Economic Modelling. RePEc:eee:ecmode:v:62:y:2017:i:c:p:35-42.

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2017A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises. (2017). Wong, Wing-Keung ; McAleer, Michael ; Guo, Xu ; Zhu, Lixing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:346-358.

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2018European quanto option pricing in presence of liquidity risk. (2018). Li, Zhe ; Liu, Yong-Jun ; Zhang, Wei-Guo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:230-244.

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2018Non-zero-sum stochastic differential reinsurance and investment games with default risk. (2018). Zhu, Huiming ; Deng, Chao ; Zeng, Xudong. In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:3:p:1144-1158.

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2018An option contract for vaccine procurement using the SIR epidemic model. (2018). Shamsi, N ; Shakouri, H ; Torabi, Ali S. In: European Journal of Operational Research. RePEc:eee:ejores:v:267:y:2018:i:3:p:1122-1140.

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2018Retailer-run resale market and optimal returns and resale policy. (2018). Lee, Changhwan ; Rhee, Byong-Duk. In: European Journal of Operational Research. RePEc:eee:ejores:v:268:y:2018:i:2:p:504-514.

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2019Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement. (2019). Brigo, Damiano ; Pallavicini, Andrea ; Francischello, Marco. In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:2:p:788-805.

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2018Testing for leverage effects in the returns of US equities. (2018). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306.

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2017Resource extraction with a carbon tax and regime switching prices: Exercising your options. (2017). Insley, Margaret. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:1-16.

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2017How fundamental is the one-period trinomial model to European option pricing bounds. A new methodological approach. (2017). Braouezec, Yann. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:92-99.

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2018Option pricing under regime switching: Integration over simplexes method. (2018). Jang, Bong-Gyu ; Tae, Hyeon-Wuk. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:301-312.

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2017Cliquet-style return guarantees in a regime switching Lévy model. (2017). Hieber, Peter. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:138-147.

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2017Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity. (2017). Viens, Frederi G ; Yi, BO ; Gu, Ailing. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:235-249.

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2017Optimal investment strategies for participating contracts. (2017). Lin, Hongcan ; Weng, Chengguo ; Saunders, David. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:73:y:2017:i:c:p:137-155.

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2017Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:46-62.

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2017Optimal investment and reinsurance for an insurer under Markov-modulated financial market. (2017). Xu, Lin ; Yao, Dingjun ; Zhang, Liming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:7-19.

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2018Longevity risk and capital markets: The 2015–16 update. (2018). Blake, David ; MacMinn, Richard ; Loisel, Stephane ; el Karoui, Nicole. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:157-173.

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2018Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing. (2018). Gu, Ailing ; Yao, Haixiang ; Viens, Frederi G. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:80:y:2018:i:c:p:93-109.

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2018Bayesian ratemaking with common effects modeled by mixture of Polya tree processes. (2018). Zhang, Jianjun ; Wu, Xianyi ; Qiu, Chunjuan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:87-94.

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2019Robust non-zero-sum investment and reinsurance game with default risk. (2019). Wang, Ning ; Qian, Linyi ; Jin, Zhuo ; Zhang, Nan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:84:y:2019:i:c:p:115-132.

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2019Derivatives trading for insurers. (2019). Xue, Xiaole ; Weng, Chengguo ; Wei, Pengyu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:84:y:2019:i:c:p:40-53.

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2018Common and fundamental risk factors in shareholder returns of Norwegian salmon producing companies. (2018). Misund, Brd. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:12:y:2018:i:c:p:19-30.

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2017Pricing vulnerable options with stochastic volatility. (2017). Wang, Guanying ; Zhou, KE. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:485:y:2017:i:c:p:91-103.

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2017Supply risk sharing in a closed-loop supply chain. (2017). He, Yuanjie . In: International Journal of Production Economics. RePEc:eee:proeco:v:183:y:2017:i:pa:p:39-52.

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2018Supply chain coordination with customer returns and retailers store brand product. (2018). Li, Wei ; Chen, Bintong. In: International Journal of Production Economics. RePEc:eee:proeco:v:203:y:2018:i:c:p:69-82.

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2018Does the buy-online-and-pick-up-in-store strategy with pre-orders benefit a retailer with the consideration of returns?. (2018). Shi, Xiutian ; Cheng, T. C. E., ; Dong, Ciwei. In: International Journal of Production Economics. RePEc:eee:proeco:v:206:y:2018:i:c:p:134-145.

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2019Fashion retail supply chain management: A review of operational models. (2019). Wen, Xin ; Chung, Sai-Ho ; Choi, Tsan-Ming. In: International Journal of Production Economics. RePEc:eee:proeco:v:207:y:2019:i:c:p:34-55.

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2019Does the presence of secondary market platform really hurt the firm?. (2019). Xue, Kelei ; Govindan, Kannan ; Zheng, Xiong ; Feng, Lipan. In: International Journal of Production Economics. RePEc:eee:proeco:v:213:y:2019:i:c:p:55-68.

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2018Performance of fixed-income mutual funds with regime-switching models. (2018). Ayadi, Mohamed A ; Welch, Robert ; Liao, Yusui ; Lazrak, Skander. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:217-231.

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2017Real option valuation in renewable energy literature: Research focus, trends and design. (2017). Kozlova, Mariia . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:80:y:2017:i:c:p:180-196.

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2019Pricing discrete barrier options under jump-diffusion model with liquidity risk. (2019). Li, Zhe ; Zhang, Yue ; Liu, Yong-Jun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:347-368.

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2018Option pricing in a regime switching stochastic volatility model. (2018). Biswas, Arunangshu ; Overbeck, Ludger ; Goswami, Anindya. In: Statistics & Probability Letters. RePEc:eee:stapro:v:138:y:2018:i:c:p:116-126.

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2018R&D Project Valuation Considering Changes of Economic Environment: A Case of a Pharmaceutical R&D Project. (2018). Ho, Jung ; Shin, Kwangsoo. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:4:p:993-:d:138433.

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2018A Location-Inventory Problem in a Closed-Loop Supply Chain with Secondary Market Consideration. (2018). Guo, Hao ; Lu, Mengmeng ; Zhang, Chunnan ; Li, Congdong. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:6:p:1891-:d:150861.

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2019A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2019). Pigato, Paolo ; Lejay, Antoine. In: Post-Print. RePEc:hal:journl:hal-01669082.

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2019A switching self-exciting jump diffusion process for stock prices. (2018). Hainaut, Donatien ; Moraux, Franck. In: Post-Print. RePEc:hal:journl:halshs-01909772.

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2017Regime-switching Stochastic Volatility Model : Estimation and Calibration to VIX options. (2017). Goutte, Stéphane ; Pham, Huyen ; Ismail, Amine . In: Working Papers. RePEc:hal:wpaper:hal-01212018.

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2017A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2017). Lejay, Antoine ; Pigato, Paolo. In: Working Papers. RePEc:hal:wpaper:hal-01669082.

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2018Utility maximization for Lévy switching models. (2018). Vostrikova, Lioudmila ; Dong, Yuchao. In: Working Papers. RePEc:hal:wpaper:hal-01844635.

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2019Change point dynamics for financial data: an indexed Markov chain approach. (2019). Petroni, Filippo ; Lika, Ada ; Damico, Guglielmo. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:2:d:10.1007_s10436-018-0337-0.

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2019A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:2:d:10.1007_s10436-018-0340-5.

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2018Pricing exotic options in a regime switching economy: a Fourier transform method. (2018). Hieber, Peter. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:2:d:10.1007_s11147-017-9139-1.

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2018GARCH option pricing models with Meixner innovations. (2018). Fengler, Matthias ; Melnikov, Alexander. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:3:d:10.1007_s11147-017-9141-7.

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2017Real options approach for fashionable and perishable products using stock loan with regime switching. (2017). Chiu, Chun-Hung ; Liu, Wei ; Hou, Shui-Hung . In: Annals of Operations Research. RePEc:spr:annopr:v:257:y:2017:i:1:d:10.1007_s10479-015-1887-4.

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2018How do capital structure and economic regime affect fair prices of bank’s equity and liabilities?. (2018). Hainaut, Donatien ; Zeng, Yan ; Shen, Yang. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-016-2210-8.

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2017Robust optimal investment and reinsurance problem for a general insurance company under Heston model. (2017). Huang, YA ; Zhou, Jieming ; Yang, Xiangqun . In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:85:y:2017:i:2:d:10.1007_s00186-017-0570-8.

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2017Stock market prediction and Portfolio selection models: a survey. (2017). Rather, Akhter Mohiuddin ; Agarwal, Arun ; Sastry, V N. In: OPSEARCH. RePEc:spr:opsear:v:54:y:2017:i:3:d:10.1007_s12597-016-0289-y.

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2017HARA utility maximization in a Markov-switching bond–stock market. (2017). Escobar, M ; Zagst, R ; Neykova, D. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:11:p:1715-1733.

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2017Adjustable Robust Optimisation approach to optimise discounts for multi-period supply chain coordination under demand uncertainty. (2017). Buhayenko, Viktoryia ; den Hertog, Dick. In: International Journal of Production Research. RePEc:taf:tprsxx:v:55:y:2017:i:22:p:6801-6823.

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2017Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes. (2017). Lin, Fangyuan Sally ; Kolkiewicz, Adam W. In: North American Actuarial Journal. RePEc:taf:uaajxx:v:21:y:2017:i:3:p:433-457.

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

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2018Regime Switching Rough Heston Model. (2018). Alfeus, Mesias ; Overbeck, Ludger. In: Research Paper Series. RePEc:uts:rpaper:387.

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2019Pricing variance swaps under the Hawkes jump‐diffusion process. (2019). Zhu, Songping ; Liu, Weiyi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:6:p:635-655.

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2017Pricing European options and risk measurement under exponential Lévy models — a practical guide. (2017). Salhi, Khaled . In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500165.

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2017EXTREMAL BEHAVIOR OF LONG-TERM INVESTORS WITH POWER UTILITY. (2017). Bauerle, Nicole ; Grether, Stefanie . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500297.

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2018On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures. (2018). Zhu, Song-Ping ; Lian, Guang-Hua. In: New Mathematics and Natural Computation (NMNC). RePEc:wsi:nmncxx:v:14:y:2018:i:03:n:s1793005718500230.

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2017The fair surrender value of a tontine. (2017). Weinert, Jan-Hendrik . In: ICIR Working Paper Series. RePEc:zbw:icirwp:2617.

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Works by Tak Kuen Siu:


YearTitleTypeCited
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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2016Trading Strategy with Stochastic Volatility in a Limit Order Book Market In: Papers.
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2016Interacting Default Intensity with Hidden Markov Process In: Papers.
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2017Interacting default intensity with a hidden Markov process.(2017) In: Quantitative Finance.
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2017Generalized Optimal Liquidation Problems Across Multiple Trading Venues In: Papers.
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2017A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach In: Journal of Time Series Analysis.
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2017A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach.(2017) In: LSE Research Online Documents on Economics.
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2006On Bayesian Mixture Credibility In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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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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2013Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance In: Energy Economics.
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1999Subjective risk measures: Bayesian predictive scenarios analysis In: Insurance: Mathematics and Economics.
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2005Fair valuation of participating policies with surrender options and regime switching In: Insurance: Mathematics and Economics.
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2008A game theoretic approach to option valuation under Markovian regime-switching models In: Insurance: Mathematics and Economics.
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2008On option pricing under a completely random measure via a generalized Esscher transform In: Insurance: Mathematics and Economics.
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2008Pricing currency options under two-factor Markov-modulated stochastic volatility models In: Insurance: Mathematics and Economics.
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2009Optimal investment and reinsurance of an insurer with model uncertainty In: Insurance: Mathematics and Economics.
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2009Esscher transforms and consumption-based models In: Insurance: Mathematics and Economics.
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2010A hidden Markov regime-switching model for option valuation In: Insurance: Mathematics and Economics.
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2013Longevity bond pricing under stochastic interest rate and mortality with regime-switching In: Insurance: Mathematics and Economics.
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2013Optimal dividends with debts and nonlinear insurance risk processes In: Insurance: Mathematics and Economics.
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2013Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach In: Insurance: Mathematics and Economics.
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2013Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model In: Insurance: Mathematics and Economics.
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2015Pricing annuity guarantees under a double regime-switching model In: Insurance: Mathematics and Economics.
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2016A self-exciting threshold jump–diffusion model for option valuation In: Insurance: Mathematics and Economics.
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