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Title Author/Creator Date Full Text Reviewed
Add A BSDE approach to risk-based asset allocation of pension funds with regime switching Siu, Tak Kuen 2012 — Reviewed
Add A Decomposition method for optimal portfolios with regime-switching and risk constraint Liu, Jingzhen; Yiu, Ka-Fai Cedric; Siu, Tak Kuen 2012 —
Add Filtering a nonlinear stochastic volatility model Elliott, Robert J; Siu, Tak Kuen; Fung, Eric S 2012 — Reviewed
Add A Flexible Markov chain approach for multivariate credit ratings Fung, Eric S; Siu, Tak Kuen 2012 — Reviewed
Add Functional ITÔ's calculus and dynamic convex risk measures for derivative securities Siu, Tak Kuen 2012 — Reviewed
Add An HMM approach for optimal investment of an insurer Elliott, Robert J; Siu, Tak Kuen 2012 — 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 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 On optimal proportional reinsurance and investment in a Markovian regime-switching economy Zhang, Xin; Siu, Tak Kuen 2012 — Reviewed
Add A Partial differential equation approach to multivariate risk theory Elliott, Robert J; Siu, Tak Kuen; Yang, Hailiang 2012 —
Add Risk measures and behaviors for bonds under stochastic interest rate models Song, Na; Siu, Tak Kuen; Alavi Fard, Farzad; Ching, Wai-Ki; Fung, Eric S 2012 — Reviewed
Add Stochastic differential portfolio games for an insurer in a jump-diffusion risk process Lin, Xiang; Zhang, Chunhong; Siu, Tak Kuen 2012 — Reviewed
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
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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)
  • Ching, Wai-Ki (3)
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 (62)
  • conference paper (2)
  • book chapter (1)
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Siu, Tak Kuen

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