Tak Kuen Siu : Citation Profile

Are you Tak Kuen Siu?

Macquarie University

12

H index

19

i10 index

720

Citations

RESEARCH PRODUCTION:

111

Articles

10

Papers

1

Books

11

Chapters

RESEARCH ACTIVITY:

   25 years (1999 - 2024). See details.
   Cites by year: 28
   Journals where Tak Kuen Siu has often published
   Relations with other researchers
   Recent citing documents: 80.    Total self citations: 45 (5.88 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psi241
   Updated: 2024-11-04    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)

Doko Tchatoka, Firmin (5)

Escobar Anel, Marcos (5)

Wang, Xingchun (4)

Platen, Eckhard (4)

stabile, gabriele (4)

Hansen, Peter (4)

Bo, Lijun (4)

Moraux, Franck (4)

Cites to:

merton, robert (33)

Hamilton, James (29)

Wong, Wing-Keung (26)

Hansen, Lars (15)

Jarrow, Robert (13)

Sargent, Thomas (12)

Artzner, Philippe (12)

Scholes, Myron (11)

Kreps, David (11)

LEHALLE, Charles-Albert (10)

Lo, Andrew (9)

Main data

Where Tak Kuen Siu has published?

Journals with more than one article published# docs
Insurance: Mathematics and Economics17
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
European Journal of Operational Research3
JRFM2
Communications in Statistics - Theory and Methods2
Methodology and Computing in Applied Probability2
Journal of Economic Dynamics and Control2
Applied Stochastic Models in Business and Industry2
Annals of Operations Research2
International Journal of Production Economics2

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
2024Mind 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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2023Arbitrage across different Bitcoin exchange venues: Perspectives from investor base and market related events. (2023). Cheng, Feiyang ; Shu, AO ; Pan, Zheyao ; Liang, Zini ; Han, Jianlei. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:5:p:5183-5210.

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

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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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2024Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure. (2024). Yuan, YU ; Liang, Zhibin ; 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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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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2023Frequency connectedness between FinTech, NFT and DeFi: Considering linkages to investor sentiment. (2023). Muhammed, Shahnawaz ; Goodell, John W ; Gunay, Samet ; Kirimhan, Destan. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004416.

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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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2023Optimal risk sharing and dividend strategies under default contagion: A semi-analytical approach. (2023). Li, Shuanming ; Jin, Zhuo ; Qiu, Ming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:1-23.

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2023Optimal investment, consumption and life insurance purchase with learning about return predictability. (2023). Li, Baihui ; Peng, Xingchun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:70-95.

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

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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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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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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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2023The Mixture Transition Distribution approach to networks: Evidence from stock markets. (2023). Petroni, Filippo ; de Blasis, Riccardo ; Damico, Guglielmo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:632:y:2023:i:p1:s0378437123008907.

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

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

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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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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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2023Stochastic Differential Games on Optimal Investment and Reinsurance Strategy with Delay Under the CEV Model. (2023). Zhang, Chengke ; Zhu, Huainian ; Bin, Ning. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:2:d:10.1007_s11009-023-10009-2.

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2023Optimal Investment-Consumption and Life Insurance Strategy with Mispricing and Model Ambiguity. (2023). Yao, Haixiang ; Chen, Shumin ; Gu, Ailing. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:3:d:10.1007_s11009-023-10051-0.

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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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2024Bayesian 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.

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2024Option pricing with state?dependent pricing kernel. (2022). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:8:p:1409-1433.

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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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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.
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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.
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2021Regime Switching Optimal Growth Model with Risk Sensitive Preferences In: Papers.
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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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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]		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]		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.
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2013Pricing bond options under a Markovian regime-switching Hull–White model In: Economic Modelling.
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2014Pricing foreign equity options with regime-switching In: Economic Modelling.
[Full Text][Citation analysis]		article13
2015Valuing commodity options and futures options with changing economic conditions In: Economic Modelling.
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2016Optimal reinsurance policies with two reinsurers in continuous time In: Economic Modelling.
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2017Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model In: Economic Modelling.
[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.
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2016A functional Itô’s calculus approach to convex risk measures with jump diffusion In: European Journal of Operational Research.
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2020Singular dividend optimization for a linear diffusion model with time-inconsistent preferences In: European Journal of Operational Research.
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2024Investment–consumption optimization with transaction cost and learning about return predictability In: European Journal of Operational Research.
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2013Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance In: Energy Economics.
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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.
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2024Optimal payout strategies when Bruno de Finetti meets model uncertainty In: Insurance: Mathematics and Economics.
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1999Subjective risk measures: Bayesian predictive scenarios analysis In: Insurance: Mathematics and Economics.
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2005Fair valuation of participating policies with surrender options and regime switching In: Insurance: Mathematics and Economics.
[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]		article3
2008Pricing currency options under two-factor Markov-modulated stochastic volatility models In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article27
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]		article12
2010A hidden Markov regime-switching model for option valuation In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article7
2013Longevity bond pricing under stochastic interest rate and mortality with regime-switching In: Insurance: Mathematics and Economics.
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2013Optimal dividends with debts and nonlinear insurance risk processes In: Insurance: Mathematics and Economics.
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2013Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach In: Insurance: Mathematics and Economics.
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2013Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model In: Insurance: Mathematics and Economics.
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2015Pricing annuity guarantees under a double regime-switching model In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article16
2016A self-exciting threshold jump–diffusion model for option valuation In: Insurance: Mathematics and Economics.
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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]		article29
2016Pricing strategy for a two-echelon supply chain with optimized return effort level In: International Journal of Production Economics.
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2024Bayesian Lower and Upper Estimates for Ether Option Prices with Conditional Heteroscedasticity and Model Uncertainty In: JRFM.
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