Tak Kuen Siu : Citation Profile

Are you Tak Kuen Siu?

Macquarie University

12

H index

19

i10 index

697

Citations

RESEARCH PRODUCTION:

102

Articles

10

Papers

1

Books

11

Chapters

RESEARCH ACTIVITY:

   23 years (1999 - 2022). See details.
   Cites by year: 30
   Journals where Tak Kuen Siu has often published
   Relations with other researchers
   Recent citing documents: 42.    Total self citations: 40 (5.43 %)

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   Permalink: http://citec.repec.org/psi241
   Updated: 2024-01-16    RAS profile: 2022-10-06    
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Relations with other researchers

Works with:

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

Is cited by:

Lai, Van Son (8)

Venegas-Martínez, Francisco (7)

Cao, Jiling (7)

Hansen, Peter (6)

Escobar Anel, Marcos (5)

Moraux, Franck (5)

Doko Tchatoka, Firmin (5)

stabile, gabriele (4)

Wang, Xingchun (4)

Platen, Eckhard (4)

Wong, Wing-Keung (4)

Cites to:

merton, robert (31)

Hamilton, James (27)

Wong, Wing-Keung (26)

Jarrow, Robert (13)

Artzner, Philippe (11)

Scholes, Myron (11)

Kreps, David (11)

LEHALLE, Charles-Albert (10)

Duffie, Darrell (9)

Lo, Andrew (9)

Laeven, Roger (8)

Main data

Where Tak Kuen Siu has published?

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

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

Recent works citing Tak Kuen Siu (2024 and 2023)

YearTitle of citing document
2023Mind your language: Political discourse affects deforestation in the Brazilian Amazon. (2023). Borner, Jan ; Sellare, Jorge ; de Oliveira, Gustavo Magalhes. In: Discussion Papers. RePEc:ags:ubzefd:333334.

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2023On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy. (2021). Zhou, Xiaowen ; Yu, Xiang ; Wang, Wenyuan. In: Papers. RePEc:arx:papers:2108.01800.

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2023The optimal reinsurance strategy with price-competition between two reinsurers. (2023). Abd, Jingzhen Liu ; Liu, Fangda ; Lin, Liyuan. In: Papers. RePEc:arx:papers:2305.00509.

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2023Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks. (2023). Lin, Sha ; He, Xin-Jiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000414.

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2023Randomization and the valuation of guaranteed minimum death benefits. (2023). Hieber, Peter ; Deelstra, Griselda. In: European Journal of Operational Research. RePEc:eee:ejores:v:309:y:2023:i:3:p:1218-1236.

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2023Reinsurance games with two reinsurers: Tree versus chain. (2023). Zou, Bin ; Young, Virginia R ; Li, Dongchen ; Cao, Jingyi. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:2:p:928-941.

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2023Analysis about the Black-Scholes asset price under the regime-switching framework. (2023). Zhou, Duotai ; Tian, Ping. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002090.

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2023On pricing double-barrier options with Markov regime switching. (2023). Zhang, Tianqi. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005906.

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2023Valuation of chooser options with state-dependent risks. (2023). Chen, Jun-Home ; Lian, Yu-Min. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007036.

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2023A comparative study of firm value models: Default risk of corporate bonds. (2023). Ik, Sung. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004099.

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2023Net buying pressure and the information in bitcoin option trades. (2023). Wan, Huning ; Feng, Jianfen ; Deng, Jun ; Alexander, Carol. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000544.

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2023Multiple per-claim reinsurance based on maximizing the Lundberg exponent. (2023). Zhou, Ming ; Wei, LI ; Meng, Hui. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:112:y:2023:i:c:p:33-47.

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2023Lenient vs. stringent returns policies in the presence of fraudulent returns: The role of customers’ fairness perceptions. (2023). Liu, Zhuojun ; Chen, Bintong ; Yu, BO. In: Omega. RePEc:eee:jomega:v:117:y:2023:i:c:s0305048323000099.

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2023Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm. (2023). Hamdi, Abdelouahed ; Noorani, Idin ; Mehrdoust, Farshid. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:204:y:2023:i:c:p:660-678.

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2023An efficient algorithm for pricing reinsurance contract under the regime-switching model. (2023). Azhdari, Parvin ; Vajargah, Kianoush Fathi ; Abbaspour, Manijeh. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:211:y:2023:i:c:p:278-300.

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2024Valuation of option price in commodity markets described by a Markov-switching model: A case study of WTI crude oil market. (2024). Kanniainen, Juho ; Noorani, Idin ; Mehrdoust, Farshid. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:215:y:2024:i:c:p:228-269.

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2023Stochastic control with inhomogeneous regime switching: Application to consumption and investment with unemployment and reemployment. (2023). Zhao, Hui ; Rong, Ximin ; Tao, Cheng. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:107:y:2023:i:c:s0304406823000423.

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2023Incorporating improved directional change and regime change detection to formulate trading strategies in foreign exchange markets. (2023). Wu, Bing ; Li, Danping ; Zhang, Weijie ; Hu, Shicheng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:622:y:2023:i:c:s0378437123003655.

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2023Recovering and remanufacturing to fulfill EPR regulation in the presence of secondary market. (2023). Kumar, Sanjay ; Wu, Sisi ; Cao, Jian. In: International Journal of Production Economics. RePEc:eee:proeco:v:263:y:2023:i:c:s0925527323001652.

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2023A hybrid stochastic volatility model in a Lévy market. (2023). Vives, Josep ; Makumbe, Zororo S ; Goutte, Stephane ; El-Khatib, Youssef. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:220-235.

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2023COVID-19 and stock returns: Evidence from the Markov switching dependence approach. (2023). Abedin, Mohammad Zoynul ; Sharif, Taimur ; Bouteska, Ahmed. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000089.

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2023Hitting times, number of jumps, and occupation times for continuous-time finite state Markov chains. (2023). Colwell, David B. In: Statistics & Probability Letters. RePEc:eee:stapro:v:195:y:2023:i:c:s016771522300010x.

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2023Models used to characterise blockchain features. A systematic literature review and bibliometric analysis. (2023). Arguedas-Sanz, Raquel ; Rico-Pea, Juan Jesus ; Lopez-Martin, Carmen. In: Technovation. RePEc:eee:techno:v:123:y:2023:i:c:s0166497223000226.

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2023Markov-Switching Bayesian Vector Autoregression Model in Mortality Forecasting. (2023). Droms, Sean ; Brewer, Patrick ; Smith, Barry R ; Fu, Wanying. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:9:p:152-:d:1222432.

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2023Pricing of Averaged Variance, Volatility, Covariance and Correlation Swaps with Semi-Markov Volatilities. (2023). Franco, Sebastian ; Swishchuk, Anatoliy. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:9:p:162-:d:1236051.

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2023Multivariate Regime Switching Model Estimation and Asset Allocation. (2023). Zhang, Xili ; Xu, Weidong ; Zheng, Kai. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:1:d:10.1007_s10614-021-10203-9.

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2023Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset. (2023). Aksoy, Umit ; Uur, Omur ; Aydoan, Burcu. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10272-4.

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2023Attaining stochastic optimal control over debt ratios in U.S. markets. (2023). Liu, Wei-Han. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:3:d:10.1007_s11156-023-01173-0.

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2023Bayesian nonlinear expectation for time series modelling and its application to Bitcoin. (2023). Siu, Tak Kuen. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02255-z.

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2023Optimal Pairs Trading Strategies: A Stochastic Mean–Variance Approach. (2023). Gu, Jia-Wen ; Wu, Chufang ; Ching, Wai-Ki ; Yu, Fenghui. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:196:y:2023:i:1:d:10.1007_s10957-022-02131-x.

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2023Fund Managers’ Competition for Investment Flows Based on Relative Performance. (2023). Ye, Jiaxuan ; Wang, GU. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:198:y:2023:i:2:d:10.1007_s10957-023-02221-4.

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2023Inference of Binary Regime Models with Jump Discontinuities. (2023). Rajani, Sharan ; Goswami, Anindya ; Das, Milan Kumar. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00277-2.

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2023Optimal Stock Portfolio Selection with a Multivariate Hidden Markov Model. (2023). Neerchal, Nagaraj K ; Ji, Qing ; Majumder, Reetam. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00290-5.

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2023Analytically pricing exchange options with stochastic liquidity and regime switching. (2023). Lin, Sha ; He, Xinjiang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:5:p:662-676.

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2023Hedging options in a hidden Markov?switching local?volatility model via stochastic flows and a Monte?Carlo method. (2023). Siu, Tak Kuen ; Elliott, Robert J. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:7:p:925-950.

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2023Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure. (2023). Lin, Sha ; He, Xinjiang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:7:p:951-967.

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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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This paper has nother version. Agregated cites: 5		article
2013On Reduced Form Intensity-based Model with Trigger Events In: Papers.
[Full Text][Citation analysis]		paper3
2014On reduced-form intensity-based model with ‘trigger’ events.(2014) In: Journal of the Operational Research Society.
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This paper has nother version. Agregated cites: 3		article
2013On Infectious Model for Dependent Defaults In: Papers.
[Full Text][Citation analysis]		paper0
2015On Optimal Pricing Model for Multiple Dealers in a Competitive Market In: Papers.
[Full Text][Citation analysis]		paper0
2019On Optimal Pricing Model for Multiple Dealers in a Competitive Market.(2019) In: Computational Economics.
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This paper has nother version. Agregated cites: 0		article
2016Trading Strategy with Stochastic Volatility in a Limit Order Book Market In: Papers.
[Full Text][Citation analysis]		paper1
2020Trading strategy with stochastic volatility in a limit order book market.(2020) In: Decisions in Economics and Finance.
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This paper has nother version. Agregated cites: 1		article
2016Interacting Default Intensity with Hidden Markov Process In: Papers.
[Full Text][Citation analysis]		paper2
2017Interacting default intensity with a hidden Markov process.(2017) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 2		article
2017Generalized Optimal Liquidation Problems Across Multiple Trading Venues In: Papers.
[Full Text][Citation analysis]		paper0
2021Regime Switching Optimal Growth Model with Risk Sensitive Preferences In: Papers.
[Full Text][Citation analysis]		paper0
2022Regime switching optimal growth model with risk sensitive preferences.(2022) In: Journal of Mathematical Economics.
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This paper has nother version. Agregated cites: 0		article
2017A 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]		article2
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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This paper has nother version. Agregated cites: 2		paper
2018A hidden Markov regime-switching smooth transition model In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article1
2006On Bayesian Mixture Credibility In: ASTIN Bulletin.
[Full Text][Citation analysis]		article2
2019Continuous-time optimal reinsurance strategy with nontrivial curved structures In: Applied Mathematics and Computation.
[Full Text][Citation analysis]		article1
2011On pricing and hedging options in regime-switching models with feedback effect In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article9
2018Market-making strategy with asymmetric information and regime-switching In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article2
2010On mean-variance portfolio selection under a hidden Markovian regime-switching model In: Economic Modelling.
[Full Text][Citation analysis]		article21
2011On optimal reinsurance, dividend and reinvestment strategies In: Economic Modelling.
[Full Text][Citation analysis]		article8
2011On optimal reinsurance, dividend and reinvestment strategies.(2011) In: Economic Modelling.
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This paper has nother version. Agregated cites: 8		article
2012Asset allocation under stochastic interest rate with regime switching In: Economic Modelling.
[Full Text][Citation analysis]		article10
2013Pricing bond options under a Markovian regime-switching Hull–White model In: Economic Modelling.
[Full Text][Citation analysis]		article3
2014Pricing foreign equity options with regime-switching In: Economic Modelling.
[Full Text][Citation analysis]		article11
2015Valuing commodity options and futures options with changing economic conditions In: Economic Modelling.
[Full Text][Citation analysis]		article0
2016Optimal reinsurance policies with two reinsurers in continuous time In: Economic Modelling.
[Full Text][Citation analysis]		article4
2017Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model In: Economic Modelling.
[Full Text][Citation analysis]		article1
2016A functional Itô’s calculus approach to convex risk measures with jump diffusion In: European Journal of Operational Research.
[Full Text][Citation analysis]		article1
2020Singular dividend optimization for a linear diffusion model with time-inconsistent preferences In: European Journal of Operational Research.
[Full Text][Citation analysis]		article7
2013Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance In: Energy Economics.
[Full Text][Citation analysis]		article3
2021Optimal risk exposure and dividend payout policies under model uncertainty In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article0
1999Subjective risk measures: Bayesian predictive scenarios analysis In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article3
2005Fair valuation of participating policies with surrender options and regime switching In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article34
2008A game theoretic approach to option valuation under Markovian regime-switching models In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article2
2008On option pricing under a completely random measure via a generalized Esscher transform In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article2
2008Pricing currency options under two-factor Markov-modulated stochastic volatility models In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article26
2009Optimal investment and reinsurance of an insurer with model uncertainty In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article21
2009Esscher transforms and consumption-based models In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article10
2010A hidden Markov regime-switching model for option valuation In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article8
2013Longevity bond pricing under stochastic interest rate and mortality with regime-switching In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article11
2013Optimal dividends with debts and nonlinear insurance risk processes In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article3
2013Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article7
2013Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article7
2015Pricing annuity guarantees under a double regime-switching model In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article14
2016A self-exciting threshold jump–diffusion model for option valuation In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article5
2014Impact of secondary market on consumer return policies and supply chain coordination In: Omega.
[Full Text][Citation analysis]		article28
2011On supply chain coordination for false failure returns: A quantity discount contract approach In: International Journal of Production Economics.
[Full Text][Citation analysis]		article28
2016Pricing strategy for a two-echelon supply chain with optimized return effort level In: International Journal of Production Economics.
[Full Text][Citation analysis]		article2
2011A Pseudo-Bayesian Model for Stock Returns In Financial Crises In: JRFM.
[Full Text][Citation analysis]		article6
2018A Risk-Based Approach for Asset Allocation with A Defaultable Share In: Risks.
[Full Text][Citation analysis]		article0
2011Impulse Control of Proportional Reinsurance with Constraints In: International Journal of Stochastic Analysis.
[Full Text][Citation analysis]		article0
2015A Stochastic Flows Approach for Asset Allocation with Hidden Economic Environment In: International Journal of Stochastic Analysis.
[Full Text][Citation analysis]		article2
2008Pricing Participating Products under a Generalized Jump-Diffusion Model In: International Journal of Stochastic Analysis.
[Full Text][Citation analysis]		article1
2011Regime-Switching Risk: To Price or Not to Price? In: International Journal of Stochastic Analysis.
[Full Text][Citation analysis]		article1
2010A Markov Regime-Switching Marked Point Process for Short-Rate Analysis with Credit Risk In: International Journal of Stochastic Analysis.
[Full Text][Citation analysis]		article1
2014Integration by Parts and Martingale Representation for a Markov Chain In: Abstract and Applied Analysis.
[Full Text][Citation analysis]		article0
2021Two price economic equilibria and financial market bid/ask prices In: Annals of Finance.
[Full Text][Citation analysis]		article0
2005Option pricing and Esscher transform under regime switching In: Annals of Finance.
[Full Text][Citation analysis]		article127
2008A PDE approach for risk measures for derivatives with regime switching In: Annals of Finance.
[Full Text][Citation analysis]		article5
2013Pricing and managing risks of European-style options in a Markovian regime-switching binomial model In: Annals of Finance.
[Full Text][Citation analysis]		article6
2004On Bayesian Value at Risk: From Linear to Non-Linear Portfolios In: Asia-Pacific Financial Markets.
[Full Text][Citation analysis]		article4
2006Risk measures for derivatives with Markov-modulated pure jump processes In: Asia-Pacific Financial Markets.
[Full Text][Citation analysis]		article0
2007On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity In: Asia-Pacific Financial Markets.
[Full Text][Citation analysis]		article0
2015Asset Pricing Using Trading Volumes in a Hidden Regime-Switching Environment In: Asia-Pacific Financial Markets.
[Full Text][Citation analysis]		article1
2005Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models In: Computational Economics.
[Full Text][Citation analysis]		article3
2007Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models.(2007) In: Computational Economics.
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This paper has nother version. Agregated cites: 3		article
2008Pricing Risky Debts Under a Markov-modudated Merton Model with Completely Random Measures In: Computational Economics.
[Full Text][Citation analysis]		article0
2012A Flexible Markov Chain Approach for Multivariate Credit Ratings In: Computational Economics.
[Full Text][Citation analysis]		article2
2019Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching In: Computational Economics.
[Full Text][Citation analysis]		article3
2017On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures In: American Journal of Agricultural Economics.
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In: .
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2010On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy In: Annals of Operations Research.
[Full Text][Citation analysis]		article20
2012A BSDE approach to risk-based asset allocation of pension funds with regime switching In: Annals of Operations Research.
[Full Text][Citation analysis]		article9
2010Improving Revenue Management: A Real Option Approach In: International Handbooks on Information Systems.
[Citation analysis]		chapter1
2007On Fair Valuation of Participating Life Insurance Policies With Regime Switching In: International Series in Operations Research & Management Science.
[Citation analysis]		chapter1
2013Introduction In: International Series in Operations Research & Management Science.
[Citation analysis]		chapter0
2013Queueing Systems and the Web In: International Series in Operations Research & Management Science.
[Citation analysis]		chapter0
2013Manufacturing and Re-manufacturing Systems In: International Series in Operations Research & Management Science.
[Citation analysis]		chapter0
2013A Hidden Markov Model for Customer Classification In: International Series in Operations Research & Management Science.
[Citation analysis]		chapter1
2013Markov Decision Processes for Customer Lifetime Value In: International Series in Operations Research & Management Science.
[Citation analysis]		chapter0
2013Higher-Order Markov Chains In: International Series in Operations Research & Management Science.
[Citation analysis]		chapter2
2013Multivariate Markov Chains In: International Series in Operations Research & Management Science.
[Citation analysis]		chapter0
2013Hidden Markov Chains In: International Series in Operations Research & Management Science.
[Citation analysis]		chapter0
2014A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing In: International Series in Operations Research & Management Science.
[Citation analysis]		chapter5
2013Markov Chains In: International Series in Operations Research and Management Science.
[Citation analysis]		book0
2021Optimal pairs trading with dynamic mean-variance objective In: Mathematical Methods of Operations Research.
[Full Text][Citation analysis]		article3
2009Robust Optimal Portfolio Choice Under Markovian Regime-switching Model In: Methodology and Computing in Applied Probability.
[Full Text][Citation analysis]		article11
2014Strategic Asset Allocation Under a Fractional Hidden Markov Model In: Methodology and Computing in Applied Probability.
[Full Text][Citation analysis]		article2
2017A Higher-order interactive hidden Markov model and its applications In: OR Spectrum: Quantitative Approaches in Management.
[Full Text][Citation analysis]		article0
2004A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article0
2007Pricing Volatility Swaps Under Hestons Stochastic Volatility Model with Regime Switching In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article48
2009On Markov-modulated Exponential-affine Bond Price Formulae In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article23
2011Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article3
2012Viterbi-Based Estimation for Markov Switching GARCH Model In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article4
2013Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article13
2000A PDE approach to risk measures of derivatives In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article1
2021The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights In: Applied Economics.
[Full Text][Citation analysis]		article4
2021Bitcoin option pricing with a SETAR-GARCH model In: The European Journal of Finance.
[Full Text][Citation analysis]		article8
2017An FFT approach for option pricing under a regime-switching stochastic interest rate model In: Communications in Statistics - Theory and Methods.
[Full Text][Citation analysis]		article2
2020Consumption-leisure-investment strategies with time-inconsistent preference in a life-cycle model In: Communications in Statistics - Theory and Methods.
[Full Text][Citation analysis]		article0
2010Can expected shortfall and Value-at-Risk be used to statically hedge options? In: Quantitative Finance.
[Full Text][Citation analysis]		article5
2010A stochastic differential game for optimal investment of an insurer with regime switching In: Quantitative Finance.
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2011Long-term strategic asset allocation with inflation risk and regime switching In: Quantitative Finance.
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2016Pricing regime-switching risk in an HJM interest rate environment In: Quantitative Finance.
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2016The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model In: Quantitative Finance.
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2020Stochastic Flows and Jump-Diffusions In: Quantitative Finance.
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2022A generalized Esscher transform for option valuation with regime switching risk In: Quantitative Finance.
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2005On a multivariate Markov chain model for credit risk measurement In: Quantitative Finance.
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2008The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model In: North American Actuarial Journal.
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2008“Asset Allocation with Hedge Funds on the Menu,” Phelim Boyle and Sun Siang Liew, October 2007 In: North American Actuarial Journal.
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2022Dynamic Fund Protection for Property Markets In: North American Actuarial Journal.
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2001Bayesian Risk Measures for Derivatives via Random Esscher Transform In: North American Actuarial Journal.
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2012Asset allocation under threshold autoregressive models In: Applied Stochastic Models in Business and Industry.
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2018Malliavin calculus in a binomial framework In: Applied Stochastic Models in Business and Industry.
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2014Option Valuation Under a Double Regime?Switching Model In: Journal of Futures Markets.
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2001COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY In: International Journal of Theoretical and Applied Finance (IJTAF).
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2006OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING In: International Journal of Theoretical and Applied Finance (IJTAF).
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2011A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS In: International Journal of Theoretical and Applied Finance (IJTAF).
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2012ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET In: International Journal of Theoretical and Applied Finance (IJTAF).
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2015A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL In: International Journal of Theoretical and Applied Finance (IJTAF).
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2019HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS In: International Journal of Theoretical and Applied Finance (IJTAF).
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