Tak Kuen Siu : Citation Profile

Macquarie University

13

H index

21

i10 index

771

Citations

RESEARCH PRODUCTION:

119

Articles

10

Papers

1

Books

11

Chapters

RESEARCH ACTIVITY:

   26 years (1999 - 2025). See details.
   Cites by year: 29
   Journals where Tak Kuen Siu has often published
   Relations with other researchers
   Recent citing documents: 58.    Total self citations: 50 (6.09 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psi241
   Updated: 2025-06-14    RAS profile: 2024-10-09    
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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 (16)

Venegas-Martínez, Francisco (7)

Cao, Jiling (7)

Hansen, Peter (6)

Moraux, Franck (5)

Escobar Anel, Marcos (5)

Wang, Xingchun (5)

Doko Tchatoka, Firmin (5)

Platen, Eckhard (4)

Wong, Wing-Keung (4)

Bo, Lijun (4)

Cites to:

merton, robert (46)

Hamilton, James (30)

Wong, Wing-Keung (26)

Hansen, Lars (19)

Sargent, Thomas (16)

Tong, Howell (16)

Jarrow, Robert (13)

Artzner, Philippe (13)

Scholes, Myron (12)

Laeven, Roger (11)

Kreps, David (11)

Main data

Where Tak Kuen Siu has published?

Journals with more than one article published# docs
Insurance: Mathematics and Economics18
Quantitative Finance10
Economic Modelling9
Applied Mathematical Finance7
Computational Economics6
International Journal of Theoretical and Applied Finance (IJTAF)6
North American Actuarial Journal5
International Journal of Stochastic Analysis5
Annals of Finance4
Asia-Pacific Financial Markets4
Scandinavian Actuarial Journal3
Annals of Operations Research3
European Journal of Operational Research3
Communications in Statistics - Theory and Methods2
JRFM2
Applied Stochastic Models in Business and Industry2
Methodology and Computing in Applied Probability2
Risks2
International Journal of Production Economics2
Journal of Economic Dynamics and Control2
Journal of Futures Markets2

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

Recent works citing Tak Kuen Siu (2025 and 2024)

YearTitle of citing document
2024Mind your language: Political signaling and deforestation in the Brazilian Amazon. (2024). Sellare, Jorge ; Borner, Jan ; de Oliveira, Gustavo Magalhes. In: Discussion Papers. RePEc:ags:ubzefd:333334.

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2025On the implied volatility of Inverse options under stochastic volatility models. (2025). Pravosud, Makar ; Nualart, Eula Lia ; Alos, Elisa. In: Papers. RePEc:arx:papers:2401.00539.

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2024The second-order Esscher martingale densities for continuous-time market models. (2024). Choulli, Tahir ; Vanmaele, Michele ; Elazkany, Ella. In: Papers. RePEc:arx:papers:2407.03960.

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2024European Option Pricing in Regime Switching Framework via Physics-Informed Residual Learning. (2024). Gupta, Arvind Kumar ; Kumar, Arun ; Pasricha, Puneet ; Pande, Naman Krishna. In: Papers. RePEc:arx:papers:2410.10474.

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2025Arbitrage-free catastrophe reinsurance valuation for compound dynamic contagion claims. (2025). Jang, Jiwook ; Laub, Patrick J ; Zhao, Hongbiao ; Siu, Tak Kuen. In: Papers. RePEc:arx:papers:2502.13325.

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2025Dual Formulation of the Optimal Consumption problem with Multiplicative Habit Formation. (2025). Pelsser, Antoon ; Kamma, Thijs. In: Papers. RePEc:arx:papers:2502.13678.

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2025Optimal design of reinsurance contracts under adverse selection with a continuum of types. (2025). Yuen, Fei Lung ; Zhang, Yiying ; Phillip, Sheung Chi ; Cheung, Ka Chun. In: Papers. RePEc:arx:papers:2504.17468.

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2024Time inhomogeneous multivariate Markov chains: Detecting and testing multiple structural breaks occurring at unknown dates. (2024). Nicolau, Joo ; Damasio, Bruno. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:180:y:2024:i:c:s0960077924000298.

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2024Reintegration of Russian children returned from war zones in the Middle East: Directions, actors, barriers. (2024). Kozlova, Maria ; Mikheev, Igor ; Lyapina, Alfiya. In: Children and Youth Services Review. RePEc:eee:cysrev:v:156:y:2024:i:c:s0190740923005182.

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2024Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market. (2024). Li, Lingfei ; Wu, BO. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s0165188923001938.

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2024Pricing cryptocurrency options with machine learning regression for handling market volatility. (2024). Lenz, Jimmie ; Brini, Alessio. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001081.

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2024Analytically pricing European options in dynamic markets: Incorporating liquidity variations and economic cycles. (2024). He, Xin-Jiang ; Lin, Sha ; Pasricha, Puneet. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s0264999324001962.

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2024Pricing vulnerable spread options with liquidity risk under Lévy processes. (2024). Wang, Xingchun ; Cai, Chengyou ; Yu, Baimin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000494.

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2024Valuations of generalized variance swaps under the jump–diffusion model with stochastic liquidity risk. (2024). Guo, Xun-Xiang ; Wang, KE ; Zhang, Hong-Yu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001153.

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2024The equilibrium strategy of insurance companies’ dividends and reinsurance games. (2024). Wang, Yueyang ; Xu, Xin ; Yang, BO ; Yao, Dingjun. In: Economics Letters. RePEc:eee:ecolet:v:245:y:2024:i:c:s016517652400524x.

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2024Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure. (2024). Liang, Zhibin ; Yuan, YU ; Zhang, Caibin. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:1:p:213-227.

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2024Supply chain coordination in a dual sourcing system under the Tailored Base-Surge policy. (2024). Hamdan, Sadeque ; Boulaksil, Youssef ; Hamdouch, Younes ; Ghoudi, Kilani. In: European Journal of Operational Research. RePEc:eee:ejores:v:317:y:2024:i:2:p:533-549.

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2025Contagion network, portfolio credit risk, and financial crisis. (2025). Li, Bingqing ; Fu, Michael C ; Wu, Rongwen. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:3:p:942-957.

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2024Optimal dividend and risk control strategies for an insurer when there are multiple reinsurers with different risk attitudes. (2024). Cheng, Gongpin ; Zhou, Hua ; Yao, Dingjun. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324010407.

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2024Arbitrage opportunities and efficiency tests in crypto derivatives. (2024). Chen, XI ; Alexander, Carol ; Wang, Tianyi ; Deng, Jun. In: Journal of Financial Markets. RePEc:eee:finmar:v:71:y:2024:i:c:s138641812400048x.

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2024Analyzing the interest rate risk of equity-indexed annuities via scenario matrices. (2024). Gunther, Sascha ; Hieber, Peter. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:15-28.

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2024Optimal portfolio and insurance strategy with biometric risks, habit formation and smooth ambiguity. (2024). Chen, Zhiping ; Wang, Tao. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:118:y:2024:i:c:p:195-222.

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2025Optimal investment strategy for DC pension with mean-weighted variance-CVaR criterion under partial information. (2025). Luo, Liuling ; Peng, Xingchun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:120:y:2025:i:c:p:302-324.

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2024Unveiling the web of interactions: Analyzing dynamic customer engagements across multiple websites. (2024). Kannan, P K ; Lim, Hyungsoo ; Kim, Chul. In: Journal of Business Research. RePEc:eee:jbrese:v:183:y:2024:i:c:s0148296324003400.

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2024The role of news sentiment in salmon price prediction using deep learning. (2024). Ewald, Christian-Oliver ; Li, Yaoyu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000576.

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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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2024Multi-regime foreign exchange rate model: Calibration and pricing. (2024). Zhang, Ziqing. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:220:y:2024:i:c:p:204-218.

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2024Consistent asset modelling with random coefficients and switches between regimes. (2024). Grzelak, Lech A ; Deelstra, Griselda ; Wolf, Felix L. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:223:y:2024:i:c:p:65-85.

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2025Analytical computation of conditional moments in the extended Cox–Ingersoll–Ross process with regime switching: Hybrid PDE system solutions with financial applications. (2025). Thamrongrat, Nopporn ; Rujivan, Sanae ; Djehiche, Boualem ; Juntanon, Parun. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:229:y:2025:i:c:p:176-202.

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2024Vulnerable options with regime switching and stochastic liquidity. (2024). Lu, Tuantuan ; Lin, Sha ; He, Xin-Jiang ; Pasricha, Puneet. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:98:y:2024:i:c:s1062976924001364.

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2024Pricing derivatives on foreign assets using Markov-modulated cojump-diffusion dynamics. (2024). Lian, Yu-Min ; Liao, Szu-Lang ; Chen, Jun-Home. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:503-519.

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2024Pricing vulnerable options under cross-asset markov-modulated jump-diffusion dynamics. (2024). Lian, Yu-Min ; Chen, Jun-Home. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003848.

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2024Life-cycle planning with CEV model and time-inconsistent preferences. (2024). Wang, Rongming ; Siu, Tak Kuen ; Hu, Shujie. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pa:s1059056024005094.

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2024Forecasting Bitcoin prices using artificial intelligence: Combination of ML, SARIMA, and Facebook Prophet models. (2024). Shahzad, Umer ; Tiwari, Sunil ; Mahendru, Mandeep ; Cheng, Jiyang ; Khaled, Djebbouri. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:198:y:2024:i:c:s0040162523006236.

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2025The billion-pound question in fashion E-commerce: Investigating the anatomy of returns. (2025). Bekta, Tolga ; Marriott, Joshua ; Lyons, Andrew ; Ka, Erik. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:194:y:2025:i:c:s1366554524004952.

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2024Pricing a Defaultable Zero-Coupon Bond under Imperfect Information and Regime Switching. (2024). Salopek, Donna Mary ; Colwell, David ; Zarban, Ashwaq Ali. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:17:p:2740-:d:1469922.

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2024Regime Tracking in Markets with Markov Switching. (2024). Borisov, Andrey. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:3:p:423-:d:1328156.

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2024Valuation of a Mixture of GMIB and GMDB Variable Annuity. (2024). Han, Yichen ; Li, Luyan ; Fan, Kun ; Wan, Jiaxin. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:3:p:441-:d:1329602.

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2024The Regime-Switching Structural Default Risk Model. (2024). Chisholm, Kevin ; Milidonis, Andreas. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:3:p:48-:d:1351001.

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2025Option pricing in a sentiment-biased stochastic volatility model. (2025). Patacca, Marco ; Fig-Talamanca, Gianna ; Cretarola, Alessandra. In: Annals of Finance. RePEc:kap:annfin:v:21:y:2025:i:1:d:10.1007_s10436-024-00448-3.

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2024Valuations of Variance and Volatility Swaps Under Double Heston Jump-Diffusion Model With Approximative Fractional Stochastic Volatility. (2024). Guo, Xunxiang ; Wang, KE. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:4:d:10.1007_s10614-023-10374-7.

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2024Automation of the Individualized Investing Strategy for an Investment Advisor Established by a Semi-Markov Regime-Switching Model. (2024). Chen, Zhiping ; Duan, Qihong ; Liu, Junrong. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:6:d:10.1007_s10614-023-10409-z.

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2025Modeling Bitcoin Price Dynamics: Overcoming Kurtosis and Skewness Challenges for Enhanced Predictive Accuracy. (2025). Tamandi, Mostafa. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10652-y.

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2024Non-linear volatility with normal inverse Gaussian innovations: ad-hoc analytic option pricing. (2024). Mozumder, Sharif ; Kabir, Humayun M ; Li, Bingxin ; Talukdar, Bakhtear. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:62:y:2024:i:1:d:10.1007_s11156-023-01195-8.

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2024Idlefish or not? Online platform’s strategy of secondhand marketplace introduction in the presence of consumer’s uncertain preferences and strategic behavior. (2024). Sun, Yumin ; Chen, Yujing ; Zha, Yong ; Zhao, Linlin. In: Annals of Operations Research. RePEc:spr:annopr:v:333:y:2024:i:1:d:10.1007_s10479-023-05584-z.

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2025A dynamic game approach for optimal consumption, investment and life insurance problem. (2025). Maggistro, Rosario ; Marino, Mario ; Martire, Antonio. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:2:d:10.1007_s10479-024-05847-3.

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2024A Bayes Analysis of Random Walk Model Under Different Error Assumptions. (2024). Agarwal, Manika ; Tripathi, Praveen Kumar. In: Annals of Data Science. RePEc:spr:aodasc:v:11:y:2024:i:5:d:10.1007_s40745-023-00465-5.

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2024A mean field game model of green economy. (2024). Ren, Lianhai ; Zhang, Jingguo. In: Digital Finance. RePEc:spr:digfin:v:6:y:2024:i:4:d:10.1007_s42521-024-00118-z.

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2024Deterministic modelling of implied volatility in cryptocurrency options with underlying multiple resolution momentum indicator and non-linear machine learning regression algorithm. (2024). Djeng, S K ; Law, M ; Leung, F. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00631-5.

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2024Price dynamics and volatility jumps in bitcoin options. (2024). Yang, Jimmy J ; Chen, Kuo Shing. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00653-z.

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2024Optimal R &D Investment Problem with Regime-Switching. (2024). Huang, Nan-Jing ; Wang, Ming-Hui ; Yue, Jia. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:202:y:2024:i:2:d:10.1007_s10957-024-02451-0.

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2024Markov decision processes with risk-sensitive criteria: an overview. (2024). Jakiewicz, Anna ; Buerle, Nicole. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:99:y:2024:i:1:d:10.1007_s00186-024-00857-0.

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2024Optimal Investment-reinsurance Strategies for an Insurer with Options Trading Under Model Ambiguity. (2024). Liu, Bing ; Yin, Weijun ; Chen, Cuixia ; Qian, Tong. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:26:y:2024:i:4:d:10.1007_s11009-024-10110-0.

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2024Occam’s razor, machine learning and stochastic modeling of complex systems: the case of the Italian energy market. (2024). Mari, Carlo. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:58:y:2024:i:2:d:10.1007_s11135-023-01681-0.

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2024Information quantity evaluation of multivariate SETAR processes of order one and applications. (2024). Contreras-Reyes, Javier E. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:3:d:10.1007_s00362-023-01457-6.

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2025Vector SHAP Values for Machine Learning Time Series Forecasting. (2025). Shin, Dong Wan ; Choi, Ji Eun. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:635-645.

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2025A Closed‐Form Formula for Pricing European Options With Stochastic Volatility, Regime Switching, and Stochastic Market Liquidity. (2025). Chen, Hang ; Lin, Sha. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:5:p:429-440.

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2024Supply chain coordination and decision-making under revenue sharing and cost-revenue sharing contracts with returns. (2024). SZAPIRO, Tomasz ; Bieniek, Milena. In: Operations Research and Decisions. RePEc:wut:journl:v:34:y:2024:i:3:p:15-39:id:2.

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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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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]		paper1
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: 1		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]		article3
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: 3		paper
2018A hidden Markov regime-switching smooth transition model In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article2
2024Epidemic modelling and actuarial applications for pandemic insurance: a case study of Victoria, Australia In: Annals of Actuarial Science.
[Full Text][Citation analysis]		article0
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]		article8
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]		article22
2011On optimal reinsurance, dividend and reinvestment strategies In: Economic Modelling.
[Full Text][Citation analysis]		article9
2011On optimal reinsurance, dividend and reinvestment strategies.(2011) In: Economic Modelling.
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This paper has nother version. Agregated cites: 9		article
2012Asset allocation under stochastic interest rate with regime switching In: Economic Modelling.
[Full Text][Citation analysis]		article11
2013Pricing bond options under a Markovian regime-switching Hull–White model In: Economic Modelling.
[Full Text][Citation analysis]		article4
2014Pricing foreign equity options with regime-switching In: Economic Modelling.
[Full Text][Citation analysis]		article14
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]		article5
2017Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model In: Economic Modelling.
[Full Text][Citation analysis]		article1
2024Life-cycle model with subsistence consumption constraint and state-dependent utilities In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article0
2025Threshold Autoregressive Nearest-Neighbour Models for Claims Reserving In: Econometrics and Statistics.
[Full Text][Citation analysis]		article0
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
2024Investment–consumption optimization with transaction cost and learning about return predictability In: European Journal of Operational Research.
[Full Text][Citation analysis]		article0
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]		article1
2023European option pricing with market frictions, regime switches and model uncertainty In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article1
2024Optimal payout strategies when Bruno de Finetti meets model uncertainty In: Insurance: Mathematics and Economics.
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2025How might model uncertainty and transaction costs impact retained earning & dividend strategies? An examination through a classical insurance risk model In: Insurance: Mathematics and Economics.
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1999Subjective risk measures: Bayesian predictive scenarios analysis In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article2
2005Fair valuation of participating policies with surrender options and regime switching In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article35
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]		article3
2008Pricing currency options under two-factor Markov-modulated stochastic volatility models In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article28
2009Optimal investment and reinsurance of an insurer with model uncertainty In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article22
2009Esscher transforms and consumption-based models In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article13
2010A hidden Markov regime-switching model for option valuation In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article7
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