Macquarie Home | Course Handbook | Library | Campus Map | Macquarie Contacts
Home page

Macquarie University ResearchOnline

Home -List Of Titles
List View List View   Icon View Icon View

Showing items 1 - 15 of 64.

Add to Quick Collection   All 64 Results

  • First
  • Previous
  • 1
  • 2
  • 3
  • 4
  • 5
  • Next
  • Last
Title Author/Creator Date Full Text Reviewed
Add Optimal portfolio in a continuous-time self-exciting threshold model Meng, Hui; Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang 2013 Full Text Reviewed
Add Malliavin differentiability of a class of Feller-diffusions with relevance in finance Ewald, Christian-Oliver; Xiao, Yajun; Zou, Yang; Siu, Tak Kuen 2012 — Reviewed
Add Functional ITÔ's calculus and dynamic convex risk measures for derivative securities Siu, Tak Kuen 2012 — Reviewed
Add Option valuation under a regime-switching constant elasticity of variance process Elliott, Robert J; Chan, Leunglung; Siu, Tak Kuen 2013 — Reviewed
Add Option pricing and filtering with hidden Markov-modulated pure-jump processes Elliott, Robert J; Siu, Tak Kuen 2013 — Reviewed
Add Minimal variance hedging of natural gas derivatives in exponential Lévy models : theory and empirical performance Ewald, Christian-Oliver; Nawar, Roy; Siu, Tak Kuen 2013 — Reviewed
Add Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching Shen, Yang; Siu, Tak Kuen 2013 — Reviewed
Add Pricing bond options under a Markovian regime-switching Hull-White model Shen, Yang; Siu, Tak Kuen 2013 — Reviewed
Add Longevity bond pricing under stochastic interest rate and mortality with regime-switching Shen, Yang; Siu, Tak Kuen 2013 — Reviewed
Add A BSDE approach to optimal investment of an insurer with hidden regime switching Siu, Tak Kuen 2013 — Reviewed
Add The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem Shen, Yang; Siu, Tak Kuen 2013 — Reviewed
Add A BSDE approach to risk-based asset allocation of pension funds with regime switching Siu, Tak Kuen 2012 — Reviewed
Add Attainable contingent claims in a Markovian regime-switching market 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 A BSDE approach to convex risk measures for derivative securities Elliott, Robert J; Siu, Tak Kuen 2012 — Reviewed
  • First
  • Previous
  • 1
  • 2
  • 3
  • 4
  • 5
  • Next
  • Last
Author/Creator
  • Elliott, Robert J (31)
  • Yang, Hailiang (8)
  • Chan, Leunglung (5)
  • Fung, Eric S (5)
  • Shen, Yang (5)
  • Lau, John W (4)
  • Meng, Hui (4)
  • Zhang, Xin (4)
  • Badescu, Alex (2)
Subject Keyword
  • Esscher transform (9)
  • Regime switching (7)
  • regime switching (6)
  • Filtering (5)
  • Dynamic programming (4)
  • Optimal investment (4)
  • option pricing (4)
  • 010200 Applied Mathematics (3)
  • 010400 Statistics (3)
  • 140200 Applied Economics (3)
Resource Type
  • journal article (61)
  • conference paper (2)
  • book chapter (1)
  • Show All  
  • Show My Selections 
Advanced Search

Search

Siu, Tak Kuen

Browse

  • By Title 
  • By Author/Creator 
  • By Department/Centre 
  • By Subject Keyword 
  • By Journal/Conference 
  • By FoR/RFCD codes 
  • By Resource Type 
  • By Date 

Highlights

  • Most Accessed Objects 
  • Recent Additions 
  • Pending Publications 
  • Author Profiles 

Resources

  • About ResearchOnline 
  • FAQ 
  • Open Access 
  • Open Access-FAQs 
  • Copyright 
  • Contribute 
  • Help 
  • Contact
  • Terms and Conditions 
Valid XHTML 1.0 Strict Powered by VITAL

Copyright Macquarie University | Privacy Statement | Accessibility Information

ABN 90 952 801 237 | CRICOS Provider No 00002J
Library Staff Sign In