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Details about Tak Kuen Siu

Workplace:Faculty of Business and Economics, Macquarie University, (more information at EDIRC)

Access statistics for papers by Tak Kuen Siu.

Last updated 2020-08-17. Update your information in the RePEc Author Service.

Short-id: psi241


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Working Papers

2017

  1. 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 Downloads
    See also Journal Article in Journal of Time Series Analysis (2017)
  2. Generalized Optimal Liquidation Problems Across Multiple Trading Venues
    Papers, arXiv.org Downloads

2016

  1. Interacting Default Intensity with Hidden Markov Process
    Papers, arXiv.org Downloads
    See also Journal Article in Quantitative Finance (2017)
  2. Trading Strategy with Stochastic Volatility in a Limit Order Book Market
    Papers, arXiv.org Downloads
    See also Journal Article in Decisions in Economics and Finance (2020)

2015

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

2013

  1. On Infectious Model for Dependent Defaults
    Papers, arXiv.org Downloads
  2. On Reduced Form Intensity-based Model with Trigger Events
    Papers, arXiv.org Downloads
    See also Journal Article in Journal of the Operational Research Society (2014)

2012

  1. On Pricing Basket Credit Default Swaps
    Papers, arXiv.org Downloads
    See also Journal Article in Quantitative Finance (2013)

Journal Articles

2020

  1. Singular dividend optimization for a linear diffusion model with time-inconsistent preferences
    European Journal of Operational Research, 2020, 285, (1), 66-80 Downloads
  2. Stochastic Flows and Jump-Diffusions
    Quantitative Finance, 2020, 20, (6), 895-897 Downloads
  3. Trading strategy with stochastic volatility in a limit order book market
    Decisions in Economics and Finance, 2020, 43, (1), 277-301 Downloads
    See also Working Paper (2016)

2019

  1. Continuous-time optimal reinsurance strategy with nontrivial curved structures
    Applied Mathematics and Computation, 2019, 363, (C), - Downloads
  2. 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 Downloads
  3. On Optimal Pricing Model for Multiple Dealers in a Competitive Market
    Computational Economics, 2019, 53, (1), 397-431 Downloads View citations (1)
    See also Working Paper (2015)
  4. Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching
    Computational Economics, 2019, 53, (2), 555-586 Downloads

2018

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

2017

  1. A Higher-order interactive hidden Markov model and its applications
    OR Spectrum: Quantitative Approaches in Management, 2017, 39, (4), 1055-1069 Downloads
  2. 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 Downloads
    See also Working Paper (2017)
  3. Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model
    Economic Modelling, 2017, 66, (C), 223-232 Downloads
  4. Interacting default intensity with a hidden Markov process
    Quantitative Finance, 2017, 17, (5), 781-794 Downloads View citations (2)
    See also Working Paper (2016)
  5. 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 Downloads View citations (2)

2016

  1. A functional Itô’s calculus approach to convex risk measures with jump diffusion
    European Journal of Operational Research, 2016, 250, (3), 874-883 Downloads View citations (1)
  2. A self-exciting threshold jump–diffusion model for option valuation
    Insurance: Mathematics and Economics, 2016, 69, (C), 168-193 Downloads View citations (6)
  3. Optimal reinsurance policies with two reinsurers in continuous time
    Economic Modelling, 2016, 59, (C), 182-195 Downloads View citations (1)
  4. Pricing regime-switching risk in an HJM interest rate environment
    Quantitative Finance, 2016, 16, (12), 1791-1800 Downloads
  5. Pricing strategy for a two-echelon supply chain with optimized return effort level
    International Journal of Production Economics, 2016, 182, (C), 185-195 Downloads View citations (1)
  6. 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 Downloads View citations (1)

2015

  1. A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL
    International Journal of Theoretical and Applied Finance (IJTAF), 2015, 18, (04), 1-13 Downloads View citations (3)
  2. A Stochastic Flows Approach for Asset Allocation with Hidden Economic Environment
    International Journal of Stochastic Analysis, 2015, 2015, 1-11 Downloads
  3. Asset Pricing Using Trading Volumes in a Hidden Regime-Switching Environment
    Asia-Pacific Financial Markets, 2015, 22, (2), 133-149 Downloads View citations (2)
  4. Pricing annuity guarantees under a double regime-switching model
    Insurance: Mathematics and Economics, 2015, 62, (C), 62-78 Downloads View citations (8)
  5. Valuing commodity options and futures options with changing economic conditions
    Economic Modelling, 2015, 51, (C), 524-533 Downloads

2014

  1. Impact of secondary market on consumer return policies and supply chain coordination
    Omega, 2014, 45, (C), 57-70 Downloads View citations (17)
  2. Integration by Parts and Martingale Representation for a Markov Chain
    Abstract and Applied Analysis, 2014, 2014, 1-11 Downloads
  3. On reduced-form intensity-based model with ‘trigger’ events
    Journal of the Operational Research Society, 2014, 65, (3), 331-339 Downloads View citations (2)
    See also Working Paper (2013)
  4. Option Valuation Under a Double Regime‐Switching Model
    Journal of Futures Markets, 2014, 34, (5), 451-478 Downloads View citations (8)
  5. Pricing foreign equity options with regime-switching
    Economic Modelling, 2014, 37, (C), 296-305 Downloads View citations (7)

2013

  1. Longevity bond pricing under stochastic interest rate and mortality with regime-switching
    Insurance: Mathematics and Economics, 2013, 52, (1), 114-123 Downloads View citations (2)
  2. Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance
    Energy Economics, 2013, 36, (C), 97-107 Downloads View citations (2)
  3. On pricing basket credit default swaps
    Quantitative Finance, 2013, 13, (12), 1845-1854 Downloads View citations (7)
    See also Working Paper (2012)
  4. Optimal dividends with debts and nonlinear insurance risk processes
    Insurance: Mathematics and Economics, 2013, 53, (1), 110-121 Downloads View citations (3)
  5. Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes
    Applied Mathematical Finance, 2013, 20, (1), 1-25 Downloads View citations (14)
  6. Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
    Annals of Finance, 2013, 9, (3), 421-438 Downloads View citations (6)
  7. Pricing bond options under a Markovian regime-switching Hull–White model
    Economic Modelling, 2013, 30, (C), 933-940 Downloads View citations (8)
  8. Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach
    Insurance: Mathematics and Economics, 2013, 53, (3), 712-721 Downloads View citations (5)
  9. Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
    Insurance: Mathematics and Economics, 2013, 53, (3), 757-768 Downloads View citations (3)

2012

  1. A BSDE approach to risk-based asset allocation of pension funds with regime switching
    Annals of Operations Research, 2012, 201, (1), 449-473 Downloads View citations (7)
  2. A Flexible Markov Chain Approach for Multivariate Credit Ratings
    Computational Economics, 2012, 39, (2), 135-143 Downloads View citations (2)
  3. ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET
    International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (08), 1-19 Downloads
  4. Asset allocation under stochastic interest rate with regime switching
    Economic Modelling, 2012, 29, (4), 1126-1136 Downloads View citations (10)
  5. Asset allocation under threshold autoregressive models
    Applied Stochastic Models in Business and Industry, 2012, 28, (1), 60-72 Downloads View citations (1)
  6. Viterbi-Based Estimation for Markov Switching GARCH Model
    Applied Mathematical Finance, 2012, 19, (3), 219-231 Downloads View citations (2)

2011

  1. 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 Downloads View citations (5)
  2. A Pseudo-Bayesian Model for Stock Returns In Financial Crises
    Journal of Risk and Financial Management, 2011, 4, (1), 1-31 Downloads View citations (4)
  3. Bond valuation under a discrete-time regime-switching term-structure model and its continuous-time extension
    Managerial Finance, 2011, 37, (11), 1025-1047 Downloads View citations (5)
  4. Impulse Control of Proportional Reinsurance with Constraints
    International Journal of Stochastic Analysis, 2011, 2011, 1-13 Downloads View citations (1)
  5. Long-term strategic asset allocation with inflation risk and regime switching
    Quantitative Finance, 2011, 11, (10), 1565-1580 Downloads View citations (1)
  6. On optimal reinsurance, dividend and reinvestment strategies
    Economic Modelling, 2011, 28, (1-2), 211-218 Downloads View citations (9)
    Also in Economic Modelling, 2011, 28, (1), 211-218 (2011) Downloads View citations (7)
  7. On pricing and hedging options in regime-switching models with feedback effect
    Journal of Economic Dynamics and Control, 2011, 35, (5), 694-713 Downloads View citations (8)
  8. On supply chain coordination for false failure returns: A quantity discount contract approach
    International Journal of Production Economics, 2011, 133, (2), 634-644 Downloads View citations (19)
  9. Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model
    Applied Mathematical Finance, 2011, 18, (6), 473-490 Downloads View citations (2)
  10. Regime-Switching Risk: To Price or Not to Price?
    International Journal of Stochastic Analysis, 2011, 2011, 1-14 Downloads View citations (1)

2010

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

2009

  1. Esscher transforms and consumption-based models
    Insurance: Mathematics and Economics, 2009, 45, (3), 337-347 Downloads View citations (10)
  2. On Markov-modulated Exponential-affine Bond Price Formulae
    Applied Mathematical Finance, 2009, 16, (1), 1-15 Downloads View citations (21)
  3. Optimal investment and reinsurance of an insurer with model uncertainty
    Insurance: Mathematics and Economics, 2009, 45, (1), 81-88 Downloads View citations (22)

2008

  1. A PDE approach for risk measures for derivatives with regime switching
    Annals of Finance, 2008, 4, (1), 55-74 Downloads View citations (8)
  2. A game theoretic approach to option valuation under Markovian regime-switching models
    Insurance: Mathematics and Economics, 2008, 42, (3), 1146-1158 Downloads View citations (8)
  3. On option pricing under a completely random measure via a generalized Esscher transform
    Insurance: Mathematics and Economics, 2008, 43, (1), 99-107 Downloads View citations (1)
  4. Pricing Participating Products under a Generalized Jump-Diffusion Model
    International Journal of Stochastic Analysis, 2008, 2008, 1-30 Downloads View citations (1)
  5. Pricing Risky Debts Under a Markov-modudated Merton Model with Completely Random Measures
    Computational Economics, 2008, 31, (3), 255-288 Downloads
  6. Pricing currency options under two-factor Markov-modulated stochastic volatility models
    Insurance: Mathematics and Economics, 2008, 43, (3), 295-302 Downloads View citations (23)
  7. The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model
    North American Actuarial Journal, 2008, 12, (1), 18-46 Downloads View citations (1)
  8. “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 Downloads

2007

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

2006

  1. OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING
    International Journal of Theoretical and Applied Finance (IJTAF), 2006, 09, (06), 825-841 Downloads View citations (1)
  2. On Bayesian Mixture Credibility
    ASTIN Bulletin, 2006, 36, (2), 573-588 Downloads View citations (2)
  3. Risk measures for derivatives with Markov-modulated pure jump processes
    Asia-Pacific Financial Markets, 2006, 13, (2), 129-149 Downloads View citations (3)

2005

  1. Fair valuation of participating policies with surrender options and regime switching
    Insurance: Mathematics and Economics, 2005, 37, (3), 533-552 Downloads View citations (37)
  2. On a multivariate Markov chain model for credit risk measurement
    Quantitative Finance, 2005, 5, (6), 543-556 Downloads
  3. Option pricing and Esscher transform under regime switching
    Annals of Finance, 2005, 1, (4), 423-432 Downloads View citations (101)

2004

  1. A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach
    Applied Mathematical Finance, 2004, 11, (2), 165-186 Downloads
  2. On Bayesian Value at Risk: From Linear to Non-Linear Portfolios
    Asia-Pacific Financial Markets, 2004, 11, (2), 161-184 Downloads View citations (3)

2001

  1. Bayesian Risk Measures for Derivatives via Random Esscher Transform
    North American Actuarial Journal, 2001, 5, (3), 78-91 Downloads View citations (1)
  2. COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY
    International Journal of Theoretical and Applied Finance (IJTAF), 2001, 04, (05), 819-835 Downloads

2000

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

1999

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

Books

2013

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