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Portfolio selection in the enlarged Markovian regime-switching market |
Zhang, Xin; Siu, Tak Kuen; Meng, Qingbin |
2010 |
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Filtering a Markov modulated random measure |
Elliott, Robert J; Siu, Tak Kuen; Yang, Hailiang |
2010 |
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A Markovian regime-switching stochastic differential game for portfolio risk minimization |
Elliott, Robert J; Siu, Tak Kuen |
2008 |
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Insurance claims modulated by a hidden marked point process |
Elliott, Robert J; Siu, Tak Kuen; Yang, Hailiang |
2007 |
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Pricing participating products under a generalized jump-diffusion model |
Siu, Tak Kuen; Lau, John W; Yang, Hailiang |
2008 |
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Optimal portfolios with regime switching and value-at-risk constraint |
Yiu, Ka-Fai Cedric; Liu, Jingzhen; Siu, Tak Kuen; Ching, Wai-Ki |
2010 |
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Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows |
Siu, Tak Kuen |
2010 |
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Can expected shortfall and value-at-risk be used to statically hedge options? |
Wylie, Jonathan J; Zhang, Qiang; Siu, Tak Kuen |
2010 |
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On mean-variance porfolio selection under a hidden Markovian regime-switching model |
Elliott, Robert J; Siu, Tak Kuen; Badescu, Alexandru |
2010 |
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On risk minimizing portfolios under Markovian regime-switching Black-Scholes economy |
Elliott, Robert J; Siu, Tak Kuen |
2010 |
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"Asset Allocation with Hedge Funds on the Menu" Phelim Boyle and Sun Siang Liew's October 2007 |
Siu, Tak Kuen |
2008 |
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Esscher transforms and consumption-based models |
Badescu, Alex; Elliott, Robert J; Siu, Tak Kuen |
2009 |
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An Improved multivariate Markov chain model for credit risk |
Ching, Wai-Ki; Siu, Tak Kuen; Li, Li-min; Jiang, Hao; Li, Tang... More
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2009 |
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Pricing risky debts under a Markov-modulated Merton model with completely random measures |
Lau, John W; Siu, Tak Kuen |
2008 |
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On a generalized form of risk measure |
Elliott, Robert J; Siu, Tak Kuen; Yang, Hailiang |
2003 |
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List View
