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Title Author/Creator Date Full Text Reviewed
Add Option pricing and filtering with hidden Markov-modulated pure-jump processes Elliott, Robert J; Siu, Tak Kuen 2013 — Reviewed
Add Option valuation under a regime-switching constant elasticity of variance process Elliott, Robert J; Chan, Leunglung; Siu, Tak Kuen 2013 — Reviewed
Add Attainable contingent claims in a Markovian regime-switching market Elliott, Robert J; Siu, Tak Kuen 2012 — Reviewed
Add A Bayesian approach for optimal reinsurance and investment in a diffusion model Zhang, Xin; Elliott, Robert J; Siu, Tak Kuen 2012 — Reviewed
Add A BSDE approach to convex risk measures for derivative securities Elliott, Robert J; Siu, Tak Kuen 2012 — Reviewed
Add Filtering a nonlinear stochastic volatility model Elliott, Robert J; Siu, Tak Kuen; Fung, Eric S 2012 — Reviewed
Add An HMM approach for optimal investment of an insurer Elliott, Robert J; Siu, Tak Kuen 2012 — Reviewed
Add Markovian forward-backward stochastic differential equations and stochastic flows Elliott, Robert J; Siu, Tak Kuen 2012 — Reviewed
Add Markovian regime-switching market completion using additional Markov jump assets Zhang, Xin; Elliott, Robert J; Siu, Tak Kuen; Guo, Junyi 2012 — Reviewed
Add A Partial differential equation approach to multivariate risk theory Elliott, Robert J; Siu, Tak Kuen; Yang, Hailiang 2012 —
Add A Stochastic maximum principle for a markov regime-switching jump-diffusion model and its application to finance Zhang, Xin; Elliott, Robert J; Siu, Tak Kuen 2012 Full Text Reviewed
Add Viterbi-based estimation for Markov switching GARCH model Elliott, Robert J; Lau, John W; Miao, Hong; Siu, Tak Kuen 2012 — Reviewed
Add Bond valuation under a discrete-time regime-switching term-structure model and its continuous-time extension Elliott, Robert J; Siu, Tak Kuen; Badescu, Alex 2011 — Reviewed
Add A BSDE approach to a risk-based optimal investment of an insurer Elliott, Robert J; Siu, Tak Kuen 2011 — Reviewed
Add Characteristic functions and option valuation in a Markov chain market Elliott, Robert J; Liew, Chuin Ching; Siu, Tak Kuen 2011 — Reviewed
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Author/Creator
  • Siu, Tak Kuen (45)
  • Chan, Leunglung (7)
  • Yang, Hailiang (6)
  • Badescu, Alex (3)
  • Badescu, Alexandru (3)
  • Zhang, Xin (3)
  • Lau, John W (2)
  • Liew, Chuin Ching (2)
  • Fung, Eric S (1)
Subject Keyword
  • Esscher transform (9)
  • 150200 Banking, Finance and Investment (6)
  • 010200 Applied Mathematics (5)
  • 010400 Statistics (4)
  • American options (4)
  • Change of measures (4)
  • Dynamic programming (4)
  • Filtering (4)
  • option pricing (4)
  • Convex risk measures (3)
Resource Type
  • journal article (42)
  • conference paper (2)
  • book chapter (1)
  • reference entry (1)
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