9
H index
8
i10 index
384
Citations
Tak Kuen Siu : Citation Profile
Macquarie University | RESEARCH PRODUCTION: 90 Articles 9 Papers 1 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
21 years (1999 - 2020). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Tak Kuen Siu. | Is cited by:
| Cites to:
|
Main data
Where Tak Kuen Siu has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 7 |
Recent works citing Tak Kuen Siu (2020 and 2019)
| Year | Title of citing document |
|---|---|
| 2020 | Review of Matrix Theory with Applications in Education and Decision Sciences. (2020). Wong, Wing-Keung ; Tuong, Hoa Anh ; Tinh, Tran Trung ; Hau, Nguyen Huu. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:1:p:28-69. Full description at Econpapers || Download paper |
| 2018 | Option Pricing in a Regime Switching Stochastic Volatility Model. (2018). Goswami, Anindya ; Biswas, Arunangshu. In: Papers. RePEc:arx:papers:1707.01237. Full description at Econpapers || Download paper |
| 2018 | Dynamic Portfolio Optimization with Looping Contagion Risk. (2018). Zheng, Harry ; Pistorius, Martijn ; Jia, Longjie. In: Papers. RePEc:arx:papers:1710.05168. Full description at Econpapers || Download paper |
| 2019 | A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2019). Pigato, Paolo ; Lejay, Antoine. In: Papers. RePEc:arx:papers:1712.08329. Full description at Econpapers || Download paper |
| 2018 | Optimal portfolio selection in an It\^o-Markov additive market. (2018). Sulima, Anna ; Stettner, Lukasz ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:1806.03496. Full description at Econpapers || Download paper |
| 2019 | Risk-based optimal portfolio of an insurer with regime switching and noisy memory. (2019). Mabitsela, Lesedi ; Guambe, Calisto ; Kufakunesu, Rodwell. In: Papers. RePEc:arx:papers:1808.04604. Full description at Econpapers || Download paper |
| 2019 | Option Pricing in a Regime Switching Jump Diffusion Model. (2019). , Anjana ; Manjarekar, Omkar ; Goswami, Anindya. In: Papers. RePEc:arx:papers:1811.11379. Full description at Econpapers || Download paper |
| 2019 | Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework. (2019). Leung, Tim ; Zhou, Yang. In: Papers. RePEc:arx:papers:1910.06432. Full description at Econpapers || Download paper |
| 2020 | Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes. (2020). Wang, Xingchun ; Liang, Gechun. In: Papers. RePEc:arx:papers:2001.09443. Full description at Econpapers || Download paper |
| 2020 | How Safe are European Safe Bonds? An Analysis from the Perspective of Modern Portfolio Credit Risk Models. (2020). Damian, Camilla ; Kurt, Kevin ; Frey, Rudiger. In: Papers. RePEc:arx:papers:2001.11249. Full description at Econpapers || Download paper |
| 2020 | Robust Optimal Investment and Reinsurance Problems with Learning. (2020). Leimcke, Gregor ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2001.11301. Full description at Econpapers || Download paper |
| 2020 | 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 |
| 2020 | Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model. (2020). Zhang, Tianqi ; Wu, Rongwen ; Li, Bingqing ; Fu, Michael C. In: Papers. RePEc:arx:papers:2006.15054. Full description at Econpapers || Download paper |
| 2020 | Risk management of guaranteed minimum maturity benefits under stochastic mortality and regime-switching by Fourier space time-stepping framework. (2020). Hu, Wenlong. In: Papers. RePEc:arx:papers:2006.15483. Full description at Econpapers || Download paper |
| 2019 | DERIVING ROBUST BAYESIAN PREMIUMS UNDER BANDS OF PRIOR DISTRIBUTIONS WITH APPLICATIONS. (2019). Gomez-Deniz, E ; Suarez-Llorens, A ; Sordo, M A ; Sanchez-Sanchez, M. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:49:y:2019:i:01:p:147-168_00. Full description at Econpapers || Download paper |
| 2019 | Optimal 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. Full description at Econpapers || Download paper |
| 2018 | European 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. Full description at Econpapers || Download paper |
| 2020 | Joint dynamic modeling and option pricing in incomplete derivative-security market. (2020). Chen, Jun-Home ; Lian, Yu-Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081730325x. Full description at Econpapers || Download paper |
| 2019 | Nonlinear 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. Full description at Econpapers || Download paper |
| 2019 | Effects of a secondary market on original equipment manufactures’ pricing, trade-in remanufacturing, and entry decisions. (2019). Govindan, Kannan ; Feng, Lipan ; Li, Yongjian ; Xu, Fangchao. In: European Journal of Operational Research. RePEc:eee:ejores:v:279:y:2019:i:3:p:751-766. Full description at Econpapers || Download paper |
| 2020 | Should a manufacturer sell refurbished returns on the secondary market to incentivize retailers to reduce consumer returns?. (2020). Souza, Gilvan C ; Reimann, Marc ; Dickbauer, Yanick ; Borenich, Andrea. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:2:p:569-579. Full description at Econpapers || Download paper |
| 2019 | Time-consistent investment and reinsurance strategies for mean-variance insurers with relative performance concerns under the Heston model. (2019). Zhang, Chengke ; Cao, Ming ; Zhu, Huainian. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:280-291. Full description at Econpapers || Download paper |
| 2018 | Bayesian 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. Full description at Econpapers || Download paper |
| 2019 | Robust 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. Full description at Econpapers || Download paper |
| 2019 | Derivatives 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. Full description at Econpapers || Download paper |
| 2019 | Option pricing under regime-switching models: Novel approaches removing path-dependence. (2019). Lai, Van Son ; Godin, Frederic ; Trottier, Denis-Alexandre. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:87:y:2019:i:c:p:130-142. Full description at Econpapers || Download paper |
| 2019 | Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan. (2019). Lu, YI ; Wang, Suxin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:89:y:2019:i:c:p:46-62. Full description at Econpapers || Download paper |
| 2020 | To sell or not to sell to an off-price retailer in the presence of strategic consumers. (2020). Zhou, Jing ; Liu, Xin ; Khouja, Moutaz. In: Omega. RePEc:eee:jomega:v:90:y:2020:i:c:s0305048317310940. Full description at Econpapers || Download paper |
| 2020 | Pricing and hedging foreign equity options under Hawkes jump–diffusion processes. (2020). Xu, Weidong ; Shrestha, Keshab ; Pan, Dongtao ; Ma, Yong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:537:y:2020:i:c:s0378437119315110. Full description at Econpapers || Download paper |
| 2019 | Fashion 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. Full description at Econpapers || Download paper |
| 2019 | Does 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. Full description at Econpapers || Download paper |
| 2020 | A game theoretic approach for pricing under a return policy and a money back guarantee in a closed loop supply chain. (2020). Rasti-Barzoki, Morteza ; Assarzadegan, Parisa. In: International Journal of Production Economics. RePEc:eee:proeco:v:222:y:2020:i:c:s0925527319303044. Full description at Econpapers || Download paper |
| 2019 | Pricing 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. Full description at Econpapers || Download paper |
| 2018 | Option 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. Full description at Econpapers || Download paper |
| 2020 | Coordination of a fashion supply chain with demand disruptions. (2020). Wang, Ke ; Yu, Yugang ; Liang, Liang ; Chen, YA ; Xu, Xiaoping ; Zhao, Tianyi . In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:134:y:2020:i:c:s136655451930448x. Full description at Econpapers || Download paper |
| 2020 | A Discrete-Time Approach to Evaluate Path-Dependent Derivatives in a Regime-Switching Risk Model. (2020). Russo, Emilio. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:9-:d:314174. Full description at Econpapers || Download paper |
| 2019 | Risk Measurement. (2019). Hassani, Bertrand K ; Guegan, Dominique. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-02119256. Full description at Econpapers || Download paper |
| 2019 | A 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. Full description at Econpapers || Download paper |
| 2019 | A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Post-Print. RePEc:hal:journl:halshs-01909772. Full description at Econpapers || Download paper |
| 2019 | Competitive investment with varying risk premia. (2019). Gunnelin, ke ; Armerin, Fredrik. In: Working Paper Series. RePEc:hhs:kthrec:2019_012. Full description at Econpapers || Download paper |
| 2019 | Moment-Based Density Approximation Techniques as Applied to Heavy-tailed Distributions. (2019). Ren, Jiandong ; Provost, Serge B ; Jin, John Sang. In: International Journal of Statistics and Probability. RePEc:ibn:ijspjl:v:8:y:2019:i:3:p:1. Full description at Econpapers || Download paper |
| 2020 | Time Inhomogeneous Multivariate Markov Chains: Detecting and Testing Multiple Structural Breaks Occurring at Unknown. (2020). Nicolau, Joo ; Damasio, Bruno. In: Working Papers REM. RePEc:ise:remwps:wp01362020. Full description at Econpapers || Download paper |
| 2019 | Change 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. Full description at Econpapers || Download paper |
| 2019 | A 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. Full description at Econpapers || Download paper |
| 2019 | Modeling Credit Risk with Hidden Markov Default Intensity. (2019). Ching, Wai-Ki ; Gu, Jia-Wen ; Lu, Jiejun ; Yu, Feng-Hui. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:3:d:10.1007_s10614-018-9869-7. Full description at Econpapers || Download paper |
| 2019 | Stability advances in robust portfolio optimization under parallelepiped uncertainty. (2019). Kara, Guray ; Weber, Gerhard-Wilhelm ; Ozmen, Aye. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:27:y:2019:i:1:d:10.1007_s10100-017-0508-5. Full description at Econpapers || Download paper |
| 2020 | Pricing and hedging defaultable participating contracts with regime switching and jump risk. (2020). Su, Xiaoshan ; Quittard-Pinon, Franois ; le Courtois, Olivier. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-020-00276-w. Full description at Econpapers || Download paper |
| 2020 | Trading strategy with stochastic volatility in a limit order book market. (2020). Siu, Tak-Kuen ; Gu, Jiawen ; Ching, Wai-Ki ; Yang, Qing-Qing . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-020-00278-8. Full description at Econpapers || Download paper |
| 2020 | Regime switching affine processes with applications to finance. (2020). Beek, Misha ; Winands, Erik ; Spreij, Peter ; Mandjes, Michel. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00419-2. Full description at Econpapers || Download paper |
| 2019 | Coordination contracts for reverse supply chains: a state-of-the-art review. (2019). Kraus, Johannes B ; Krapp, Michael . In: Journal of Business Economics. RePEc:spr:jbecon:v:89:y:2019:i:7:d:10.1007_s11573-017-0887-z. Full description at Econpapers || Download paper |
| 2019 | Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:41. Full description at Econpapers || Download paper |
| 2019 | Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility. (2019). Chen, Cathy W. S. ; Watanabe, Toshiaki. In: Applied Stochastic Models in Business and Industry. RePEc:wly:apsmbi:v:35:y:2019:i:3:p:747-765. Full description at Econpapers || Download paper |
| 2019 | Regime switching rough Heston model. (2019). Schlogl, Erik ; Alfeus, Mesias ; Overbeck, Ludger. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:5:p:538-552. Full description at Econpapers || Download paper |
| 2019 | Pricing 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. Full description at Econpapers || Download paper |
| 2019 | Testing of binary regime switching models using squeeze duration analysis. (2019). Goswami, Anindya ; Das, Milan Kumar. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:06:y:2019:i:01:n:s2424786319500063. Full description at Econpapers || Download paper |
| 2020 | Optimal dynamic futures portfolio in a regime-switching market framework. (2020). Leung, Tim ; Zhou, Yang. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:06:y:2020:i:04:n:s2424786319500348. Full description at Econpapers || Download paper |
| 2020 | Markov modulated jump-diffusions for currency options when regime switching risk is priced. (2020). Liu, David. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:06:y:2020:i:04:n:s2424786319500385. Full description at Econpapers || Download paper |
| 2019 | VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING. (2019). Zhu, Song-Ping ; He, Xin-Jiang. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:04:n:s0219024919500092. Full description at Econpapers || Download paper |
| 2019 | EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE. (2019). Huang, Nan-Jing ; Yue, Jia ; Yang, Ben-Zhang. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:04:n:s021902491950016x. Full description at Econpapers || Download paper |
| 2019 | A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA. (2019). Pigato, Paolo ; Lejay, Antoine. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:04:n:s0219024919500171. Full description at Econpapers || Download paper |
| 2019 | CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING. (2019). Yao, Haixiang ; Chen, Ping ; Wang, Liyuan. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:06:n:s0219024919500298. Full description at Econpapers || Download paper |
Works by Tak Kuen Siu:
| Year | Title | Type | Cited |
|---|---|---|---|
| 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 | 2 |
| 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: 2 | 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 | 1 |
| 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: 1 | article | |
| 2016 | Trading Strategy with Stochastic Volatility in a Limit Order Book Market In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Interacting Default Intensity with Hidden Markov Process In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Interacting default intensity with a hidden Markov process.(2017) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2017 | Generalized Optimal Liquidation Problems Across Multiple Trading Venues In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 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 | 0 |
| 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: 0 | paper | |
| 2018 | A hidden Markov regime-switching smooth transition model In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 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 | 4 |
| 2018 | Market-making strategy with asymmetric information and regime-switching In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 1 |
| 2010 | On mean-variance portfolio selection under a hidden Markovian regime-switching model In: Economic Modelling. [Full Text][Citation analysis] | article | 9 |
| 2011 | On optimal reinsurance, dividend and reinvestment strategies In: Economic Modelling. [Full Text][Citation analysis] | article | 6 |
| 2011 | On optimal reinsurance, dividend and reinvestment strategies.(2011) In: Economic Modelling. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
| 2012 | Asset allocation under stochastic interest rate with regime switching In: Economic Modelling. [Full Text][Citation analysis] | article | 7 |
| 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 | 5 |
| 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 | 0 |
| 2017 | Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model In: Economic Modelling. [Full Text][Citation analysis] | article | 0 |
| 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 | 0 |
| 2013 | Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance In: Energy Economics. [Full Text][Citation analysis] | article | 2 |
| 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 | 28 |
| 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 | 1 |
| 2008 | Pricing currency options under two-factor Markov-modulated stochastic volatility models In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 21 |
| 2009 | Optimal investment and reinsurance of an insurer with model uncertainty In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 20 |
| 2009 | Esscher transforms and consumption-based models In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 9 |
| 2010 | A hidden Markov regime-switching model for option valuation In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
| 2013 | Longevity bond pricing under stochastic interest rate and mortality with regime-switching In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
| 2013 | Optimal dividends with debts and nonlinear insurance risk processes In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
| 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 | 2 |
| 2015 | Pricing annuity guarantees under a double regime-switching model In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 6 |
| 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 | 16 |
| 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 | 16 |
| 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 | 0 |
| 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 | 3 |
| 2011 | A Pseudo-Bayesian Model for Stock Returns In Financial Crises In: Journal of Risk and Financial Management. [Full Text][Citation analysis] | article | 3 |
| 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 | 0 |
| 2014 | Integration by Parts and Martingale Representation for a Markov Chain In: Abstract and Applied Analysis. [Full Text][Citation analysis] | article | 0 |
| 2005 | Option pricing and Esscher transform under regime switching In: Annals of Finance. [Full Text][Citation analysis] | article | 81 |
| 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 | 5 |
| 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 | 0 |
| 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 | 0 |
| 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 | 3 |
| 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 | 5 |
| 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 | 4 |
| 2013 | Markov Chains In: International Series in Operations Research and Management Science. [Citation analysis] | book | 0 |
| 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 | 28 |
| 2009 | On Markov-modulated Exponential-affine Bond Price Formulae In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 17 |
| 2011 | Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 1 |
| 2012 | Viterbi-Based Estimation for Markov Switching GARCH Model In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 2 |
| 2013 | Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 8 |
| 2000 | A PDE approach to risk measures of derivatives In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 1 |
| 2010 | Can expected shortfall and Value-at-Risk be used to statically hedge options? In: Quantitative Finance. [Full Text][Citation analysis] | article | 3 |
| 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 | 0 |
| 2016 | Pricing regime-switching risk in an HJM interest rate environment In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 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 |
| 2005 | On a multivariate Markov chain model for credit risk measurement In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 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 | 0 |
| 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 |
| 2001 | Bayesian Risk Measures for Derivatives via Random Esscher Transform In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 1 |
| 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 | 5 |
| 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 | 1 |
| 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 | 5 |
| 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 | 3 |
| 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 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 2 2020. Contact: CitEc Team