 |
Optimal portfolio in a continuous-time self-exciting threshold model |
Meng, Hui; Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang |
2013 |
|
|
 |
Asset allocation under threshold autoregressive models |
Song, Na; Siu, Tak Kuen; Ching, Wa-Ki; Tong, Howell; Yang, Hailiang |
2012 |
—
|
|
 |
A Partial differential equation approach to multivariate risk theory |
Elliott, Robert J; Siu, Tak Kuen; Yang, Hailiang |
2012 |
—
|
|
 |
Ruin theory in a hidden Markov-modulated risk model |
Elliott, Robert J; Siu, Tak Kuen; Yang, Hailiang |
2011 |
—
|
|
 |
Pricing currency options under two-factor Markov-modulated stochastic volatility models |
Siu, Tak Kuen; Yang, Hailiang; Lau, John W |
2008 |
—
|
|
 |
On pricing derivatives under nonlinear time series models |
Siu, Tak Kuen; Yang, Hailiang |
2007 |
—
|
|
 |
On valuing participating life insurance contracts with conditional heteroscedasticity |
Siu, Tak Kuen; Lau, John W; Yang, Hailiang |
2007 |
—
|
|
 |
Option pricing under threshold autoregressive models by threshold Esscher transform |
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang |
2006 |
|
|
List View
