Details about Tak Kuen Siu

Access statistics for papers by Tak Kuen Siu.

Last updated 2024-10-09. Update your information in the RePEc Author Service.

Short-id: psi241

Working Papers

2021

1. Regime Switching Optimal Growth Model with Risk Sensitive Preferences
   Papers, arXiv.org
   See also Journal Article Regime switching optimal growth model with risk sensitive preferences, Journal of Mathematical Economics, Elsevier (2022) (2022)

2017

2. A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (2)
   See also Journal Article A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach, Journal of Time Series Analysis, Wiley Blackwell (2017) View citations (2) (2017)
3. Generalized Optimal Liquidation Problems Across Multiple Trading Venues
   Papers, arXiv.org

2016

4. Interacting Default Intensity with Hidden Markov Process
   Papers, arXiv.org
   See also Journal Article Interacting default intensity with a hidden Markov process, Quantitative Finance, Taylor & Francis Journals (2017) View citations (2) (2017)
5. Trading Strategy with Stochastic Volatility in a Limit Order Book Market
   Papers, arXiv.org
   See also Journal Article Trading strategy with stochastic volatility in a limit order book market, Decisions in Economics and Finance, Springer (2020) View citations (1) (2020)

2015

6. On Optimal Pricing Model for Multiple Dealers in a Competitive Market
   Papers, arXiv.org
   See also Journal Article On Optimal Pricing Model for Multiple Dealers in a Competitive Market, Computational Economics, Springer (2019) View citations (1) (2019)

2013

7. On Infectious Model for Dependent Defaults
   Papers, arXiv.org
8. On Reduced Form Intensity-based Model with Trigger Events
   Papers, arXiv.org
   See also Journal Article On reduced-form intensity-based model with ‘trigger’ events, Journal of the Operational Research Society, Palgrave Macmillan (2014) View citations (3) (2014)

2012

9. On Pricing Basket Credit Default Swaps
   Papers, arXiv.org
   See also Journal Article On pricing basket credit default swaps, Quantitative Finance, Taylor & Francis Journals (2013) View citations (7) (2013)

Journal Articles

2025

1. An IID Test for Functional Time Series with Applications to High-Frequency VIX Index Data
   Risks, 2025, 13, (2), 1-25
2. How might model uncertainty and transaction costs impact retained earning & dividend strategies? An examination through a classical insurance risk model
   Insurance: Mathematics and Economics, 2025, 120, (C), 131-158
3. Threshold Autoregressive Nearest-Neighbour Models for Claims Reserving
   Econometrics and Statistics, 2025, 33, (C), 180-208

2024

4. Bayesian Lower and Upper Estimates for Ether Option Prices with Conditional Heteroscedasticity and Model Uncertainty
   JRFM, 2024, 17, (10), 1-32
5. Epidemic modelling and actuarial applications for pandemic insurance: a case study of Victoria, Australia
   Annals of Actuarial Science, 2024, 18, (2), 242-269
6. Investment–consumption optimization with transaction cost and learning about return predictability
   European Journal of Operational Research, 2024, 318, (3), 877-891
7. Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting
   Finance and Stochastics, 2024, 28, (1), 161-214
8. Life-cycle model with subsistence consumption constraint and state-dependent utilities
   The North American Journal of Economics and Finance, 2024, 73, (C)
9. Optimal payout strategies when Bruno de Finetti meets model uncertainty
   Insurance: Mathematics and Economics, 2024, 116, (C), 148-164
10. Robust reinsurance and investment strategies under principal–agent framework
    Annals of Operations Research, 2024, 336, (1), 981-1011

2023

11. Bayesian nonlinear expectation for time series modelling and its application to Bitcoin
    Empirical Economics, 2023, 64, (1), 505-537
12. European option pricing with market frictions, regime switches and model uncertainty
    Insurance: Mathematics and Economics, 2023, 113, (C), 233-250 View citations (1)
13. Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method
    Journal of Futures Markets, 2023, 43, (7), 925-950

2022

14. A generalized Esscher transform for option valuation with regime switching risk
    Quantitative Finance, 2022, 22, (4), 691-705 View citations (3)
15. Dynamic Fund Protection for Property Markets
    North American Actuarial Journal, 2022, 26, (3), 383-402
16. Regime switching optimal growth model with risk sensitive preferences
    Journal of Mathematical Economics, 2022, 101, (C)
    See also Working Paper Regime Switching Optimal Growth Model with Risk Sensitive Preferences, Papers (2021) (2021)

2021

17. Bitcoin option pricing with a SETAR-GARCH model
    The European Journal of Finance, 2021, 27, (6), 564-595 View citations (14)
18. Household consumption-investment-insurance decisions with uncertain income and market ambiguity
    Scandinavian Actuarial Journal, 2021, 2021, (10), 832-865 View citations (7)
19. Optimal pairs trading with dynamic mean-variance objective
    Mathematical Methods of Operations Research, 2021, 94, (1), 145-168 View citations (3)
20. Optimal risk exposure and dividend payout policies under model uncertainty
    Insurance: Mathematics and Economics, 2021, 100, (C), 1-29 View citations (2)
21. The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights
    Applied Economics, 2021, 53, (17), 1991-2014 View citations (6)
22. Two price economic equilibria and financial market bid/ask prices
    Annals of Finance, 2021, 17, (1), 27-43

2020

23. Consumption-leisure-investment strategies with time-inconsistent preference in a life-cycle model
    Communications in Statistics - Theory and Methods, 2020, 49, (24), 6057-6079
24. Robust reinsurance contracts with risk constraint
    Scandinavian Actuarial Journal, 2020, 2020, (5), 419-453 View citations (2)
25. Singular dividend optimization for a linear diffusion model with time-inconsistent preferences
    European Journal of Operational Research, 2020, 285, (1), 66-80 View citations (7)
26. Stochastic Flows and Jump-Diffusions
    Quantitative Finance, 2020, 20, (6), 895-897
27. Trading strategy with stochastic volatility in a limit order book market
    Decisions in Economics and Finance, 2020, 43, (1), 277-301 View citations (1)
    See also Working Paper Trading Strategy with Stochastic Volatility in a Limit Order Book Market, Papers (2016) (2016)

2019

28. Continuous-time optimal reinsurance strategy with nontrivial curved structures
    Applied Mathematics and Computation, 2019, 363, (C), - View citations (1)
29. HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS
    International Journal of Theoretical and Applied Finance (IJTAF), 2019, 22, (08), 1-41 View citations (2)
30. On Optimal Pricing Model for Multiple Dealers in a Competitive Market
    Computational Economics, 2019, 53, (1), 397-431 View citations (1)
    See also Working Paper On Optimal Pricing Model for Multiple Dealers in a Competitive Market, Papers (2015) (2015)
31. Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching
    Computational Economics, 2019, 53, (2), 555-586 View citations (4)

2018

32. A Risk-Based Approach for Asset Allocation with A Defaultable Share
    Risks, 2018, 6, (1), 1-27
33. A hidden Markov regime-switching smooth transition model
    Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (4), 21 View citations (1)
34. Malliavin calculus in a binomial framework
    Applied Stochastic Models in Business and Industry, 2018, 34, (6), 774-781
35. Market-making strategy with asymmetric information and regime-switching
    Journal of Economic Dynamics and Control, 2018, 90, (C), 408-433 View citations (2)

2017

36. A Higher-order interactive hidden Markov model and its applications
    OR Spectrum: Quantitative Approaches in Management, 2017, 39, (4), 1055-1069
37. A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach
    Journal of Time Series Analysis, 2017, 38, (2), 243-265 View citations (2)
    See also Working Paper A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach, LSE Research Online Documents on Economics (2017) View citations (2) (2017)
38. An FFT approach for option pricing under a regime-switching stochastic interest rate model
    Communications in Statistics - Theory and Methods, 2017, 46, (11), 5292-5310 View citations (3)
39. Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model
    Economic Modelling, 2017, 66, (C), 223-232 View citations (1)
40. Interacting default intensity with a hidden Markov process
    Quantitative Finance, 2017, 17, (5), 781-794 View citations (2)
    See also Working Paper Interacting Default Intensity with Hidden Markov Process, Papers (2016) (2016)
41. On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures
    American Journal of Agricultural Economics, 2017, 99, (1), 207-224 View citations (4)

2016

42. A functional Itô’s calculus approach to convex risk measures with jump diffusion
    European Journal of Operational Research, 2016, 250, (3), 874-883 View citations (1)
43. A self-exciting threshold jump–diffusion model for option valuation
    Insurance: Mathematics and Economics, 2016, 69, (C), 168-193 View citations (7)
44. Optimal reinsurance policies with two reinsurers in continuous time
    Economic Modelling, 2016, 59, (C), 182-195 View citations (7)
45. Pricing regime-switching risk in an HJM interest rate environment
    Quantitative Finance, 2016, 16, (12), 1791-1800 View citations (3)
46. Pricing strategy for a two-echelon supply chain with optimized return effort level
    International Journal of Production Economics, 2016, 182, (C), 185-195 View citations (2)
47. The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model
    Quantitative Finance, 2016, 16, (12), 1823-1842 View citations (1)

2015

48. A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL
    International Journal of Theoretical and Applied Finance (IJTAF), 2015, 18, (04), 1-13 View citations (7)
49. A Stochastic Flows Approach for Asset Allocation with Hidden Economic Environment
    International Journal of Stochastic Analysis, 2015, 2015, 1-11 View citations (2)
50. Asset Pricing Using Trading Volumes in a Hidden Regime-Switching Environment
    Asia-Pacific Financial Markets, 2015, 22, (2), 133-149 View citations (3)
51. Pricing annuity guarantees under a double regime-switching model
    Insurance: Mathematics and Economics, 2015, 62, (C), 62-78 View citations (17)
52. Valuing commodity options and futures options with changing economic conditions
    Economic Modelling, 2015, 51, (C), 524-533

2014

53. Impact of secondary market on consumer return policies and supply chain coordination
    Omega, 2014, 45, (C), 57-70 View citations (29)
54. Integration by Parts and Martingale Representation for a Markov Chain
    Abstract and Applied Analysis, 2014, 2014, 1-11
55. On reduced-form intensity-based model with ‘trigger’ events
    Journal of the Operational Research Society, 2014, 65, (3), 331-339 View citations (3)
    See also Working Paper On Reduced Form Intensity-based Model with Trigger Events, Papers (2013) (2013)
56. Optimal investment of an insurer with regime-switching and risk constraint
    Scandinavian Actuarial Journal, 2014, 2014, (7), 583-601 View citations (1)
57. Option Valuation Under a Double Regime‐Switching Model
    Journal of Futures Markets, 2014, 34, (5), 451-478 View citations (14)
58. Pricing foreign equity options with regime-switching
    Economic Modelling, 2014, 37, (C), 296-305 View citations (16)
59. Strategic Asset Allocation Under a Fractional Hidden Markov Model
    Methodology and Computing in Applied Probability, 2014, 16, (3), 609-626 View citations (3)

2013

60. Longevity bond pricing under stochastic interest rate and mortality with regime-switching
    Insurance: Mathematics and Economics, 2013, 52, (1), 114-123 View citations (11)
61. Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance
    Energy Economics, 2013, 36, (C), 97-107 View citations (3)
62. On pricing basket credit default swaps
    Quantitative Finance, 2013, 13, (12), 1845-1854 View citations (7)
    See also Working Paper On Pricing Basket Credit Default Swaps, Papers (2012) (2012)
63. Optimal dividends with debts and nonlinear insurance risk processes
    Insurance: Mathematics and Economics, 2013, 53, (1), 110-121 View citations (4)
64. Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes
    Applied Mathematical Finance, 2013, 20, (1), 1-25 View citations (20)
65. Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
    Annals of Finance, 2013, 9, (3), 421-438 View citations (7)
66. Pricing bond options under a Markovian regime-switching Hull–White model
    Economic Modelling, 2013, 30, (C), 933-940 View citations (9)
67. Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach
    Insurance: Mathematics and Economics, 2013, 53, (3), 712-721 View citations (7)
68. Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
    Insurance: Mathematics and Economics, 2013, 53, (3), 757-768 View citations (8)

2012

69. A BSDE approach to risk-based asset allocation of pension funds with regime switching
    Annals of Operations Research, 2012, 201, (1), 449-473 View citations (12)
70. A Flexible Markov Chain Approach for Multivariate Credit Ratings
    Computational Economics, 2012, 39, (2), 135-143 View citations (3)
71. ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET
    International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (08), 1-19 View citations (2)
72. Asset allocation under stochastic interest rate with regime switching
    Economic Modelling, 2012, 29, (4), 1126-1136 View citations (13)
73. Asset allocation under threshold autoregressive models
    Applied Stochastic Models in Business and Industry, 2012, 28, (1), 60-72 View citations (1)
74. Viterbi-Based Estimation for Markov Switching GARCH Model
    Applied Mathematical Finance, 2012, 19, (3), 219-231 View citations (4)

2011

75. A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS
    International Journal of Theoretical and Applied Finance (IJTAF), 2011, 14, (05), 669-708 View citations (6)
76. A Pseudo-Bayesian Model for Stock Returns In Financial Crises
    JRFM, 2011, 4, (1), 1-31 View citations (7)
77. Impulse Control of Proportional Reinsurance with Constraints
    International Journal of Stochastic Analysis, 2011, 2011, 1-13 View citations (1)
78. Long-term strategic asset allocation with inflation risk and regime switching
    Quantitative Finance, 2011, 11, (10), 1565-1580 View citations (12)
79. On optimal reinsurance, dividend and reinvestment strategies
    Economic Modelling, 2011, 28, (1), 211-218 View citations (10)
    Also in Economic Modelling, 2011, 28, (1-2), 211-218 (2011) View citations (10)
80. On pricing and hedging options in regime-switching models with feedback effect
    Journal of Economic Dynamics and Control, 2011, 35, (5), 694-713 View citations (13)
81. On supply chain coordination for false failure returns: A quantity discount contract approach
    International Journal of Production Economics, 2011, 133, (2), 634-644 View citations (31)
82. Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model
    Applied Mathematical Finance, 2011, 18, (6), 473-490 View citations (4)
83. Regime-Switching Risk: To Price or Not to Price?
    International Journal of Stochastic Analysis, 2011, 2011, 1-14 View citations (1)

2010

84. A Markov Regime-Switching Marked Point Process for Short-Rate Analysis with Credit Risk
    International Journal of Stochastic Analysis, 2010, 2010, 1-18 View citations (2)
85. A hidden Markov regime-switching model for option valuation
    Insurance: Mathematics and Economics, 2010, 47, (3), 374-384 View citations (13)
86. A stochastic differential game for optimal investment of an insurer with regime switching
    Quantitative Finance, 2010, 11, (3), 365-380
87. Can expected shortfall and Value-at-Risk be used to statically hedge options?
    Quantitative Finance, 2010, 10, (6), 575-583 View citations (5)
88. On mean-variance portfolio selection under a hidden Markovian regime-switching model
    Economic Modelling, 2010, 27, (3), 678-686 View citations (25)
89. On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
    Annals of Operations Research, 2010, 176, (1), 271-291 View citations (22)

2009

90. Esscher transforms and consumption-based models
    Insurance: Mathematics and Economics, 2009, 45, (3), 337-347 View citations (14)
91. On Markov-modulated Exponential-affine Bond Price Formulae
    Applied Mathematical Finance, 2009, 16, (1), 1-15 View citations (27)
92. Optimal investment and reinsurance of an insurer with model uncertainty
    Insurance: Mathematics and Economics, 2009, 45, (1), 81-88 View citations (24)
93. Robust Optimal Portfolio Choice Under Markovian Regime-switching Model
    Methodology and Computing in Applied Probability, 2009, 11, (2), 145-157 View citations (11)

2008

94. A PDE approach for risk measures for derivatives with regime switching
    Annals of Finance, 2008, 4, (1), 55-74 View citations (8)
95. A game theoretic approach to option valuation under Markovian regime-switching models
    Insurance: Mathematics and Economics, 2008, 42, (3), 1146-1158 View citations (8)
96. On option pricing under a completely random measure via a generalized Esscher transform
    Insurance: Mathematics and Economics, 2008, 43, (1), 99-107 View citations (3)
97. Pricing Participating Products under a Generalized Jump-Diffusion Model
    International Journal of Stochastic Analysis, 2008, 2008, 1-30 View citations (1)
98. Pricing Risky Debts Under a Markov-modudated Merton Model with Completely Random Measures
    Computational Economics, 2008, 31, (3), 255-288 View citations (1)
99. Pricing currency options under two-factor Markov-modulated stochastic volatility models
    Insurance: Mathematics and Economics, 2008, 43, (3), 295-302 View citations (31)
100. The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model
     North American Actuarial Journal, 2008, 12, (1), 18-46 View citations (9)
101. “Asset Allocation with Hedge Funds on the Menu,” Phelim Boyle and Sun Siang Liew, October 2007
     North American Actuarial Journal, 2008, 12, (2), 213-215

2007

102. Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models
     Computational Economics, 2007, 29, (3), 425-425
     Also in Computational Economics, 2005, 26, (3), 69-102 (2005) View citations (4)
103. On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity
     Asia-Pacific Financial Markets, 2007, 14, (3), 255-275 View citations (2)
104. Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
     Applied Mathematical Finance, 2007, 14, (1), 41-62 View citations (54)

2006

105. OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING
     International Journal of Theoretical and Applied Finance (IJTAF), 2006, 09, (06), 825-841 View citations (9)
106. On Bayesian Mixture Credibility
     ASTIN Bulletin, 2006, 36, (2), 573-588 View citations (2)
107. Risk measures for derivatives with Markov-modulated pure jump processes
     Asia-Pacific Financial Markets, 2006, 13, (2), 129-149 View citations (3)

2005

108. Fair valuation of participating policies with surrender options and regime switching
     Insurance: Mathematics and Economics, 2005, 37, (3), 533-552 View citations (44)
109. On a multivariate Markov chain model for credit risk measurement
     Quantitative Finance, 2005, 5, (6), 543-556 View citations (3)
110. Option pricing and Esscher transform under regime switching
     Annals of Finance, 2005, 1, (4), 423-432 View citations (155)

2004

111. A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach
     Applied Mathematical Finance, 2004, 11, (2), 165-186
112. On Bayesian Value at Risk: From Linear to Non-Linear Portfolios
     Asia-Pacific Financial Markets, 2004, 11, (2), 161-184 View citations (4)
113. On Pricing Derivatives Under GARCH Models: A Dynamic Gerber-Shiu Approach
     North American Actuarial Journal, 2004, 8, (3), 17-31 View citations (1)

2001

114. Bayesian Risk Measures for Derivatives via Random Esscher Transform
     North American Actuarial Journal, 2001, 5, (3), 78-91 View citations (10)
115. COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY
     International Journal of Theoretical and Applied Finance (IJTAF), 2001, 04, (05), 819-835

2000

116. A PDE approach to risk measures of derivatives
     Applied Mathematical Finance, 2000, 7, (3), 211-228 View citations (1)

1999

117. Subjective risk measures: Bayesian predictive scenarios analysis
     Insurance: Mathematics and Economics, 1999, 25, (2), 157-169 View citations (3)

Books

2013

1. Markov Chains
   International Series in Operations Research and Management Science, Springer

Chapters

2014

1. A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing
   Springer View citations (9)

2013

2. A Hidden Markov Model for Customer Classification
   Springer View citations (2)
3. Hidden Markov Chains
   Springer
4. Higher-Order Markov Chains
   Springer View citations (2)
5. Introduction
   Springer
6. Manufacturing and Re-manufacturing Systems
   Springer
7. Markov Decision Processes for Customer Lifetime Value
   Springer
8. Multivariate Markov Chains
   Springer
9. Queueing Systems and the Web
   Springer

2010

10. Improving Revenue Management: A Real Option Approach
    Springer View citations (1)

2007

11. On Fair Valuation of Participating Life Insurance Policies With Regime Switching
    Springer View citations (1)