13
H index
20
i10 index
749
Citations
Tak Kuen Siu : Citation Profile
Macquarie University | RESEARCH PRODUCTION: 119 Articles 10 Papers 1 Books 11 Chapters RESEARCH ACTIVITY:
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26 years (1999 - 2025). 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:
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Main data
Where Tak Kuen Siu has published?
| Working Papers Series with more than one paper published | # docs |
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| Papers / arXiv.org | 8 |
Recent works citing Tak Kuen Siu (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | Mind 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. Full description at Econpapers || Download paper |
| 2025 | Arbitrage-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. Full description at Econpapers || Download paper |
| 2025 | Dual Formulation of the Optimal Consumption problem with Multiplicative Habit Formation. (2025). Pelsser, Antoon ; Kamma, Thijs. In: Papers. RePEc:arx:papers:2502.13678. Full description at Econpapers || Download paper |
| 2024 | Time 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. Full description at Econpapers || Download paper |
| 2024 | Reintegration 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. Full description at Econpapers || Download paper |
| 2024 | Reinforcement 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. Full description at Econpapers || Download paper |
| 2024 | Pricing 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. Full description at Econpapers || Download paper |
| 2024 | Analytically 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. Full description at Econpapers || Download paper |
| 2024 | Pricing 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. Full description at Econpapers || Download paper |
| 2024 | Stochastic 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. Full description at Econpapers || Download paper |
| 2024 | Supply 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. Full description at Econpapers || Download paper |
| 2024 | Optimal 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. Full description at Econpapers || Download paper |
| 2024 | Analyzing 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. Full description at Econpapers || Download paper |
| 2024 | Optimal 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. Full description at Econpapers || Download paper |
| 2024 | Unveiling 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. Full description at Econpapers || Download paper |
| 2024 | Valuation 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. Full description at Econpapers || Download paper |
| 2024 | Multi-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. Full description at Econpapers || Download paper |
| 2024 | Pricing 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. Full description at Econpapers || Download paper |
| 2024 | Forecasting 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. Full description at Econpapers || Download paper |
| 2024 | The 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. Full description at Econpapers || Download paper |
| 2024 | Valuations 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. Full description at Econpapers || Download paper |
| 2024 | A 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. Full description at Econpapers || Download paper |
| 2024 | Price 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. Full description at Econpapers || Download paper |
| 2024 | Supply chain coordination and decision-making under revenue sharing and cost-revenue sharing contracts with returns. (2024). Bieniek, Milena ; Szapiro, Tomasz. In: Operations Research and Decisions. RePEc:wut:journl:v:34:y:2024:i:3:p:15-39:id:2. 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 nother version. Agregated cites: 5 | article | |
| 2013 | On Reduced Form Intensity-based Model with Trigger Events In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 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 nother version. Agregated cites: 3 | 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 | 0 |
| 2019 | On Optimal Pricing Model for Multiple Dealers in a Competitive Market.(2019) In: Computational Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2016 | Trading Strategy with Stochastic Volatility in a Limit Order Book Market In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2020 | Trading 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 | |
| 2016 | Interacting Default Intensity with Hidden Markov Process In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2017 | Interacting default intensity with a hidden Markov process.(2017) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2017 | Generalized Optimal Liquidation Problems Across Multiple Trading Venues In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Regime Switching Optimal Growth Model with Risk Sensitive Preferences In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Regime switching optimal growth model with risk sensitive preferences.(2022) In: Journal of Mathematical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 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 | 2 |
| 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 nother version. Agregated cites: 2 | paper | |
| 2018 | A hidden Markov regime-switching smooth transition model In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2024 | Epidemic modelling and actuarial applications for pandemic insurance: a case study of Victoria, Australia In: Annals of Actuarial Science. [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 | 1 |
| 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 | 8 |
| 2018 | Market-making strategy with asymmetric information and regime-switching In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 2 |
| 2010 | On mean-variance portfolio selection under a hidden Markovian regime-switching model In: Economic Modelling. [Full Text][Citation analysis] | article | 22 |
| 2011 | On optimal reinsurance, dividend and reinvestment strategies In: Economic Modelling. [Full Text][Citation analysis] | article | 8 |
| 2011 | On optimal reinsurance, dividend and reinvestment strategies.(2011) In: Economic Modelling. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2012 | Asset allocation under stochastic interest rate with regime switching In: Economic Modelling. [Full Text][Citation analysis] | article | 11 |
| 2013 | Pricing bond options under a Markovian regime-switching Hull–White model In: Economic Modelling. [Full Text][Citation analysis] | article | 4 |
| 2014 | Pricing foreign equity options with regime-switching In: Economic Modelling. [Full Text][Citation analysis] | article | 14 |
| 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 | 5 |
| 2017 | Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model In: Economic Modelling. [Full Text][Citation analysis] | article | 1 |
| 2024 | Life-cycle model with subsistence consumption constraint and state-dependent utilities In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2025 | Threshold Autoregressive Nearest-Neighbour Models for Claims Reserving In: Econometrics and Statistics. [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 | 7 |
| 2024 | Investment–consumption optimization with transaction cost and learning about return predictability 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 | 3 |
| 2021 | Optimal risk exposure and dividend payout policies under model uncertainty In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 1 |
| 2023 | European option pricing with market frictions, regime switches and model uncertainty In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 1 |
| 2024 | Optimal payout strategies when Bruno de Finetti meets model uncertainty In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 0 |
| 2025 | How might model uncertainty and transaction costs impact retained earning & dividend strategies? An examination through a classical insurance risk model In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 0 |
| 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 | 35 |
| 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 | 3 |
| 2008 | Pricing currency options under two-factor Markov-modulated stochastic volatility models In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 28 |
| 2009 | Optimal investment and reinsurance of an insurer with model uncertainty In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 22 |
| 2009 | Esscher transforms and consumption-based models In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 13 |
| 2010 | A hidden Markov regime-switching model for option valuation In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 7 |
| 2013 | Longevity bond pricing under stochastic interest rate and mortality with regime-switching In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 11 |
| 2013 | Optimal dividends with debts and nonlinear insurance risk processes In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 3 |
| 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 | 7 |
| 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 | 7 |
| 2015 | Pricing annuity guarantees under a double regime-switching model In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 16 |
| 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 | 28 |
| 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 | 30 |
| 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 | 2 |
| 2024 | Bayesian Lower and Upper Estimates for Ether Option Prices with Conditional Heteroscedasticity and Model Uncertainty In: JRFM. [Full Text][Citation analysis] | article | 0 |
| 2011 | A Pseudo-Bayesian Model for Stock Returns In Financial Crises In: JRFM. [Full Text][Citation analysis] | article | 7 |
| 2025 | An IID Test for Functional Time Series with Applications to High-Frequency VIX Index Data In: Risks. [Full Text][Citation analysis] | article | 0 |
| 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 | 1 |
| 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 | 1 |
| 2014 | Integration by Parts and Martingale Representation for a Markov Chain In: Abstract and Applied Analysis. [Full Text][Citation analysis] | article | 0 |
| 2021 | Two price economic equilibria and financial market bid/ask prices In: Annals of Finance. [Full Text][Citation analysis] | article | 0 |
| 2005 | Option pricing and Esscher transform under regime switching In: Annals of Finance. [Full Text][Citation analysis] | article | 134 |
| 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 | 6 |
| 2004 | On Bayesian Value at Risk: From Linear to Non-Linear Portfolios In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 4 |
| 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 | 1 |
| 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 nother 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 | 1 |
| 2012 | A Flexible Markov Chain Approach for Multivariate Credit Ratings In: Computational Economics. [Full Text][Citation analysis] | article | 3 |
| 2019 | Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching In: Computational Economics. [Full Text][Citation analysis] | article | 4 |
| 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 | 5 |
| 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 | 21 |
| 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 | 8 |
| 2024 | Robust reinsurance and investment strategies under principal–agent framework In: Annals of Operations Research. [Full Text][Citation analysis] | article | 0 |
| 2023 | Bayesian nonlinear expectation for time series modelling and its application to Bitcoin In: Empirical Economics. [Full Text][Citation analysis] | article | 0 |
| 2024 | Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting In: Finance and Stochastics. [Full Text][Citation analysis] | article | 1 |
| 2010 | Improving Revenue Management: A Real Option Approach In: International Handbooks on Information Systems. [Citation analysis] | chapter | 1 |
| 2007 | On Fair Valuation of Participating Life Insurance Policies With Regime Switching In: International Series in Operations Research & Management Science. [Citation analysis] | chapter | 1 |
| 2013 | Introduction In: International Series in Operations Research & Management Science. [Citation analysis] | chapter | 0 |
| 2013 | Queueing Systems and the Web In: International Series in Operations Research & Management Science. [Citation analysis] | chapter | 0 |
| 2013 | Manufacturing and Re-manufacturing Systems In: International Series in Operations Research & Management Science. [Citation analysis] | chapter | 0 |
| 2013 | A Hidden Markov Model for Customer Classification In: International Series in Operations Research & Management Science. [Citation analysis] | chapter | 2 |
| 2013 | Markov Decision Processes for Customer Lifetime Value In: International Series in Operations Research & Management Science. [Citation analysis] | chapter | 0 |
| 2013 | Higher-Order Markov Chains In: International Series in Operations Research & Management Science. [Citation analysis] | chapter | 2 |
| 2013 | Multivariate Markov Chains In: International Series in Operations Research & Management Science. [Citation analysis] | chapter | 0 |
| 2013 | Hidden Markov Chains In: International Series in Operations Research & Management Science. [Citation analysis] | chapter | 0 |
| 2014 | A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing In: International Series in Operations Research & Management Science. [Citation analysis] | chapter | 4 |
| 2013 | Markov Chains In: International Series in Operations Research and Management Science. [Citation analysis] | book | 0 |
| 2021 | Optimal pairs trading with dynamic mean-variance objective In: Mathematical Methods of Operations Research. [Full Text][Citation analysis] | article | 3 |
| 2009 | Robust Optimal Portfolio Choice Under Markovian Regime-switching Model In: Methodology and Computing in Applied Probability. [Full Text][Citation analysis] | article | 11 |
| 2014 | Strategic Asset Allocation Under a Fractional Hidden Markov Model In: Methodology and Computing in Applied Probability. [Full Text][Citation analysis] | article | 2 |
| 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 | 53 |
| 2009 | On Markov-modulated Exponential-affine Bond Price Formulae In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 23 |
| 2011 | Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 3 |
| 2012 | Viterbi-Based Estimation for Markov Switching GARCH Model In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 4 |
| 2013 | Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 12 |
| 2000 | A PDE approach to risk measures of derivatives In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 1 |
| 2021 | The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights In: Applied Economics. [Full Text][Citation analysis] | article | 5 |
| 2021 | Bitcoin option pricing with a SETAR-GARCH model In: The European Journal of Finance. [Full Text][Citation analysis] | article | 13 |
| 2017 | An FFT approach for option pricing under a regime-switching stochastic interest rate model In: Communications in Statistics - Theory and Methods. [Full Text][Citation analysis] | article | 2 |
| 2020 | Consumption-leisure-investment strategies with time-inconsistent preference in a life-cycle model In: Communications in Statistics - Theory and Methods. [Full Text][Citation analysis] | article | 0 |
| 2010 | Can expected shortfall and Value-at-Risk be used to statically hedge options? In: Quantitative Finance. [Full Text][Citation analysis] | article | 5 |
| 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 | 10 |
| 2016 | Pricing regime-switching risk in an HJM interest rate environment In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
| 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 |
| 2022 | A generalized Esscher transform for option valuation with regime switching risk In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
| 2005 | On a multivariate Markov chain model for credit risk measurement In: Quantitative Finance. [Full Text][Citation analysis] | article | 3 |
| In: . [Full Text][Citation analysis] | article | 1 | |
| In: . [Full Text][Citation analysis] | article | 1 | |
| In: . [Full Text][Citation analysis] | article | 6 | |
| 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 | 7 |
| 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 |
| 2022 | Dynamic Fund Protection for Property Markets 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 | 3 |
| 2004 | On Pricing Derivatives Under GARCH Models: A Dynamic Gerber-Shiu Approach In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 2 |
| 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 | 10 |
| 2023 | Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 0 |
| 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 | 7 |
| 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 | 6 |
| 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 | 6 |
| 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 | 1 |
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