Tak Kuen Siu

发表

A BSDE approach to a risk-based optimal investment of an insurer

Robert J. Elliott, Tak Kuen Siu, R. Elliott, 2011, Autom..

Markovian regime-switching market completion using additional Markov jump assets

Xin Zhang, Robert J. Elliott, Tak Kuen Siu, 2012 .

Optimal Mixed Impulse-Equity Insurance Control Problem With Reinsurance

Tak Kuen Siu, Hui Meng, 2011, SIAM J. Control. Optim..

Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows

Tak Kuen Siu, T. Siu, 2010, Appl. Math. Comput..

Filtering a nonlinear stochastic volatility model

Robert J. Elliott, Tak Kuen Siu, Eric S. Fung, 2012 .

Filtering a Double Threshold Model With Regime Switching

Robert J. Elliott, Tak Kuen Siu, J. W. Lau, 2013, IEEE Transactions on Automatic Control.

A decomposition method for optimal portfolios with regime-switching and risk constraint

Tak Kuen Siu, Ka Fai Cedric Yiu, Jingzhen Liu, 2012, Risk Decis. Anal..

A Markovian network model for default risk management

Tak Kuen Siu, Liang Sun, Wai-Ki Ching, 2010, Int. J. Intell. Eng. Informatics.

Risk and probability measures

Tak Kuen Siu, Hailiang Yang, Phelim Boyle, 2002 .

On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy

Robert J. Elliott, Tak Kuen Siu, R. Elliott, 2010, Ann. Oper. Res..

On pricing barrier options with regime switching

Robert J. Elliott, Tak Kuen Siu, Leunglung Chan, 2014, J. Comput. Appl. Math..

An M-ary detection approach for asset allocation

Robert J. Elliott, Tak Kuen Siu, R. Elliott, 2011, Comput. Math. Appl..

Minimising risk when hedging crude oil options: jumps count

Tak Kuen Siu, Christian-Oliver Ewald, Roy Nawar, 2013 .

On a Markov chain approximation method for option pricing with regime switching

Tak Kuen Siu, Yang Shen, Rongming Wang, 2015 .

Characteristic functions and option valuation in a Markov chain market

Robert J. Elliott, Tak Kuen Siu, C. C. Liew, 2011, Comput. Math. Appl..

Modelling long-term investment returns via Bayesian infinite mixture time series models

Tak Kuen Siu, John W. Lau, J. Lau, 2008 .

Multivariate Markov Chains

Tak Kuen Siu, Wai-Ki Ching, Michael K. Ng, 2013 .

Insurance Claims Modulated by a Hidden Marked Point Process

Tak Kuen Siu, Hailiang Yang, R.J. Elliott, 2007, 2007 American Control Conference.

Optimal investment-reinsurance with dynamic risk constraint and regime switching

Tak Kuen Siu, Wai-Ki Ching, Jingzhen Liu, 2013 .

A continuous-time hidden Markov model for mean-variance portfolio optimization

Robert J. Elliott, Tak Kuen Siu, R. Elliott, 2009, 2009 IEEE International Symposium on Circuits and Systems.

Markov Chains: Models, Algorithms and Applications

Tak Kuen Siu, Wai-Ki Ching, Michael K. Ng, 2006 .

Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching

Tak Kuen Siu, Yang Shen, 2013, Oper. Res. Lett..

Mean-variance portfolio selection under a constant elasticity of variance model

Tak Kuen Siu, Yang Shen, Xin Zhang, 2014, Oper. Res. Lett..

Backward stochastic difference equations for dynamic convex risk measures on a binomial tree

Robert J. Elliott, Tak Kuen Siu, Samuel N. Cohen, 2015, J. Appl. Probab..

Hidden Markov Chains

Tak Kuen Siu, Wai-Ki Ching, Michael K. Ng, 2013 .

A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance

Robert J. Elliott, Tak Kuen Siu, Xin Zhang, 2012, SIAM J. Control. Optim..

A Markovian infectious model for dependent default risk

Tak Kuen Siu, Wai-Ki Ching, Jia-Wen Gu, 2011, Int. J. Intell. Eng. Informatics.

Control of discrete-time HMM partially observed under fractional Gaussian noises

Robert J. Elliott, Tak Kuen Siu, R. Elliott, 2011, Syst. Control. Lett..

Asset Allocation under Regime-Switching Models

Tak Kuen Siu, Wai-Ki Ching, Na Song, 2012, 2012 Fifth International Conference on Business Intelligence and Financial Engineering.

A high-order Markov-switching model for risk measurement

Michael K. Ng, Tak Kuen Siu, Wai-Ki Ching, 2009, Comput. Math. Appl..

Singular dividend optimization for a linear diffusion model with time-inconsistent preferences

Tak Kuen Siu, Hailiang Yang, Jinxia Zhu, 2020, Eur. J. Oper. Res..

On infectious model for dependent defaults

Tak Kuen Siu, Wai-Ki Ching, Xiaoyue Li, 2017, Risk and Decision Analysis.

Markov Decision Processes for Customer Lifetime Value

Tak Kuen Siu, Wai-Ki Ching, Michael K. Ng, 2013 .

A Double HMM approach to Altman Z-scores and credit ratings

Robert J. Elliott, Tak Kuen Siu, Eric S. Fung, 2014, Expert Syst. Appl..

Higher-Order Markov Chains

Tak Kuen Siu, Wai-Ki Ching, Michael K. Ng, 2013 .

On modeling credit defaults: A probabilistic Boolean network approach

Tak Kuen Siu, Wai-Ki Ching, Harry Zheng, 2013, Risk Decis. Anal..

A Markovian regime-switching stochastic differential game for portfolio risk minimization

Tak Kuen Siu, R.J. Elliott, R. Elliott, 2008, 2008 American Control Conference.

Asset allocation under threshold autoregressive models

Tak Kuen Siu, Hailiang Yang, Howell Tong, 2012 .

Special issue on risk management

Tak Kuen Siu, Marc S. Paolella, John M. Maheu, 2018 .

Manufacturing and Re-manufacturing Systems

Tak Kuen Siu, Michael K. Ng, Wai-Ki Ching, 2013 .

On filtering and estimation of a threshold stochastic volatility model

Robert J. Elliott, Tak Kuen Siu, C. C. Liew, 2011, Appl. Math. Comput..

Interactive hidden Markov models and their applications

Michael K. Ng, Tak Kuen Siu, Wai-Ki Ching, 2007 .

A BSDE approach to risk-based asset allocation of pension funds with regime switching

Tak Kuen Siu, 2012, Ann. Oper. Res..

A distributed decision making model for risk management of virtual enterprise

Tak Kuen Siu, Min Huang, Wai-Ki Ching, 2011, Expert Syst. Appl..

Optimal portfolios with maximum Value-at-Risk constraint under a hidden Markovian regime-switching model

Tak Kuen Siu, Yue Xie, Wai-Ki Ching, 2016, Autom..

On reduced-form intensity-based model with ‘trigger’ events

Tak Kuen Siu, Wai-Ki Ching, Harry Zheng, 2014, J. Oper. Res. Soc..

A functional Itô's calculus approach to convex risk measures with jump diffusion

Tak Kuen Siu, 2016, Eur. J. Oper. Res..

Pricing Exotic Options under a High-Order Markovian Regime Switching Model

Tak Kuen Siu, Wai-Ki Ching, Limin Li, 2007, Adv. Decis. Sci..

Markovian forward-backward stochastic differential equations and stochastic flows

Robert J. Elliott, Tak Kuen Siu, R. Elliott, 2012, Syst. Control. Lett..

Optimal Submission Problem in a Limit Order Book with VaR Constraints

Tak Kuen Siu, Wai-Ki Ching, Ka Fai Cedric Yiu, 2012, 2012 Fifth International Joint Conference on Computational Sciences and Optimization.

Filtering and change point estimation for hidden Markov-modulated Poisson processes

Robert J. Elliott, Tak Kuen Siu, R. Elliott, 2014, Appl. Math. Lett..

Portfolio Selection in the Enlarged Markovian Regime-Switching Market

Tak Kuen Siu, Qingbin Meng, Xin Zhang, 2009, SIAM J. Control. Optim..

Credit portfolio management using two-level particle swarm optimization

Tak Kuen Siu, Min Huang, Wai-Ki Ching, 2013, Inf. Sci..

On pricing derivatives under nonlinear time series models

Tak Kuen Siu, Hailiang Yang, 2007 .

Robust reinsurance contracts with risk constraint

Tak Kuen Siu, Ning Wang, 2020 .

Option valuation by a self-exciting threshold binomial model

Tak Kuen Siu, Hailiang Yang, Fei Lung Yuen, 2013, Math. Comput. Model..

Optimal insurance risk control with multiple reinsurers

Tak Kuen Siu, Hailiang Yang, Hui Meng, 2016, J. Comput. Appl. Math..

Fuzzy hidden Markov-switching portfolio selection with capital gain tax

Tak Kuen Siu, Sini Guo, Wai-Ki Ching, 2020, Expert Syst. Appl..

A Bayesian approach for optimal reinsurance and investment in a diffusion model

Robert J. Elliott, Tak Kuen Siu, Xin Zhang, 2012 .

Queueing Systems and the Web

Tak Kuen Siu, Wai-Ki Ching, Michael K. Ng, 2013 .

Filtering a Markov Modulated Random Measure

Robert J. Elliott, Tak Kuen Siu, Hailiang Yang, 2010, IEEE Transactions on Automatic Control.

A Risk-Based Approach for Asset Allocation with A Defaultable Share

Tak Kuen Siu, Yang Shen, T. Siu, 2018 .

A stochastic maximum principle for backward control systems with random default time

Tak Kuen Siu, Yang Shen, T. Siu, 2013, Int. J. Control.

Risk measures and behaviors for bonds under stochastic interest rate models

Tak Kuen Siu, Wai-Ki Ching, Na Song, 2012, Math. Comput. Model..

Stochastic differential portfolio games for an insurer in a jump-diffusion risk process

Xiang Lin, Tak Kuen Siu, Chunhong Zhang, 2012, Math. Methods Oper. Res..

Optimal portfolios with regime switching and value-at-risk constraint

Tak Kuen Siu, Wai-Ki Ching, Ka Fai Cedric Yiu, 2010, Autom..

A Partial differential equation approach to multivariate risk theory

Robert J. Elliott, Tak Kuen Siu, Hailiang Yang, 2012 .

On a generalized form of risk measure

Robert J. Elliott, Tak Kuen Siu, Hailiang Yang, 2003 .

Continuous-time optimal reinsurance strategy with nontrivial curved structures

Tak Kuen Siu, Pu Liao, Hui Meng, 2019, Appl. Math. Comput..

A Higher-order interactive hidden Markov model and its applications

Robert J. Elliott, Tak Kuen Siu, Lianmin Zhang, 2017, OR Spectr..

Stochastic volatility with regime switching and uncertain noise: Filtering with sub-linear expectations

Tak Kuen Siu, Robert J. Elliott, 2016 .

Principal-Agent Theory Based Risk Allocation Model for Virtual Enterprise

Tak Kuen Siu, Min Huang, Wai-Ki Ching, 2010 .

Esscher transform [encyclopaedia entry]

Tak Kuen Siu, 2010 .

A martingale approach for asset allocation with derivative security and hidden economic risk

Tak Kuen Siu, Hailiang Yang, Jinxia Zhu, 2019, J. Appl. Probab..

A Hidden Markov Model for Customer Classification

Tak Kuen Siu, Wai-Ki Ching, Michael K. Ng, 2013 .

Option valuation under a regime-switching constant elasticity of variance process

Robert J. Elliott, Tak Kuen Siu, Leunglung Chan, 2013, Appl. Math. Comput..

A hidden Markov regime-switching smooth transition model

Robert J. Elliott, Tak Kuen Siu, John W. Lau, 2018 .

Optimal pairs trading with dynamic mean-variance objective

Tak Kuen Siu, Wai-Ki Ching, Dong-Mei Zhu, 2021, Mathematical Methods of Operations Research.

Option pricing and Esscher transform under regime switching

Robert J. Elliott, Tak Kuen Siu, Leunglung Chan, 2005 .

Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models

Michael K. Ng, Tak Kuen Siu, Wai-Ki Ching, 2005 .

Asset allocation for a DC pension fund under regime switching environment

Tak Kuen Siu, Aihua Zhang, Ralf Korn, 2011 .

A Flexible Markov Chain Approach for Multivariate Credit Ratings

Tak Kuen Siu, Eric S. Fung, 2012 .

Backward stochastic difference equations for dynamic convex risk measures on a binomial tree

Robert J. Elliott, Tak Kuen Siu, Samuel N. Cohen, 2015, Journal of Applied Probability.

A PDE approach for risk measures for derivatives with regime switching

Robert J. Elliott, Tak Kuen Siu, Leunglung Chan, 2007 .

Robust Optimal Portfolio Choice Under Markovian Regime-switching Model

Robert J. Elliott, Tak Kuen Siu, R. Elliott, 2009 .

Improving Revenue Management: A Real Option Approach

Tak Kuen Siu, Wai-Ki Ching, Xun Li, 2010 .

A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach

Tak Kuen Siu, T. Siu, Wing Hoe Woo, 2004 .

On Pricing Derivatives Under GARCH Models: A Dynamic Gerber-Shiu Approach

Tak Kuen Siu, Hailiang Yang, Howell Tong, 2004, North American Actuarial Journal.

Option Valuation Under a Double Regime‐Switching Model

Tak Kuen Siu, Yang Shen, Kun Fan, 2014 .

Risk measures for derivatives with Markov-modulated pure jump processes

Robert J. Elliott, Tak Kuen Siu, Leunglung Chan, 2007 .

On Bayesian Value at Risk: From Linear to Non-Linear Portfolios

Tak Kuen Siu, Hailiang Yang, Howell Tong, 2004 .

Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model

Tak Kuen Siu, Yang Shen, T. Siu, 2016 .

A Stochastic Flows Approach for Asset Allocation with Hidden Economic Environment

Tak Kuen Siu, T. Siu, 2015 .

Optimal reinsurance policies with two reinsurers in continuous time

Tak Kuen Siu, Ming Zhou, Hui Meng, 2016 .

Hidden Markov models with threshold effects and their applications to oil price forecasting

Robert J. Elliott, Tak Kuen Siu, Wai-Ki Ching, 2016 .

On Optimal Cash Management under a Stochastic Volatility Model

Tak Kuen Siu, Cedric Ka-Fai Yiu, Wai-Ki Ching, 2013 .

Long-term strategic asset allocation with inflation risk and regime switching

Tak Kuen Siu, T. Siu, 2011 .

Bayesian Risk Measures for Derivatives via Random Esscher Transform

Tak Kuen Siu, Hailiang Yang, Howell Tong, 2001 .

Impact of secondary market on consumer return policies and supply chain coordination

Tak Kuen Siu, Wai-Ki Ching, Ximin Huang, 2014 .

Pricing and hedging contingent claims with regime switching risk

Robert J. Elliott, Tak Kuen Siu, 2011 .

Optimal dividends with debts and nonlinear insurance risk processes

Tak Kuen Siu, Hailiang Yang, Hui Meng, 2013 .

Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model

Robert J. Elliott, Tak Kuen Siu, John W. Lau, 2007 .

A BSDE Approach to Optimal Investment of an Insurer with Hidden Regime Switching

Tak Kuen Siu, T. Siu, 2013 .

A Hidden Markov regime-switching model for option valuation

Tak Kuen Siu, C. C. Liew, Chuin Ching Liew, 2010 .

OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES

Tak Kuen Siu, Ming Zhou, Hui Meng, 2015, Probability in the Engineering and Informational Sciences.

Option Pricing For Garch Models With Markov Switching

Robert J. Elliott, Tak Kuen Siu, Leunglung Chan, 2006 .

On supply chain coordination for false failure returns: A quantity discount contract approach

Tak Kuen Siu, Min Huang, Wai-Ki Ching, 2011 .

Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model

Tak Kuen Siu, Wai-Ki Ching, Jiejun Lu, 2017 .

MARTINGALE REPRESENTATION FOR CONTINGENT CLAIMS WITH REGIME SWITCHING

Robert J. Elliott, Tak Kuen Siu, Hailiang Yang, 2007 .

Option pricing under threshold autoregressive models by threshold Esscher transform

Tak Kuen Siu, Hailiang Yang, Howell Tong, 2006 .

Capital Requirements and Optimal Investment with Solvency Probability Constraints

Tak Kuen Siu, Alexandru Badescu, Alexandru V. Asimit, 2014 .

A game theoretic approach to option valuation under Markovian regime-switching models

Tak Kuen Siu, T. Siu, 2008 .

Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching lévy model

Tak Kuen Siu, Yang Shen, T. Siu, 2013 .

An FFT approach for option pricing under a regime-switching stochastic interest rate model

Tak Kuen Siu, Yang Shen, Rongming Wang, 2017 .

Optimal investment and reinsurance of an insurer with model uncertainty

Tak Kuen Siu, Xin Zhang, T. Siu, 2009 .

Asset allocation under stochastic interest rate with regime switching

Tak Kuen Siu, Yang Shen, T. Siu, 2012 .

On Markov‐modulated Exponential‐affine Bond Price Formulae

Robert J. Elliott, Tak Kuen Siu, R. Elliott, 2009 .

Pricing foreign equity options with regime-switching

Tak Kuen Siu, Yang Shen, Kun Fan, 2014 .

The maximum principle for a jump-diffusion mean-field model and its application to the mean–variance problem

Tak Kuen Siu, Yang Shen, T. Siu, 2013 .

A real option approach to optimal inventory management of retail products

Tak Kuen Siu, Wai-Ki Ching, Ximin Huang, 2012 .

A self-exciting threshold jump–diffusion model for option valuation

Tak Kuen Siu, T. Siu, 2016 .

On optimal reinsurance, dividend and reinvestment strategies

Tak Kuen Siu, Hui Meng, T. Siu, 2011 .

An Improved multivariate Markov chain model for credit risk

Hao Jiang, Tak Kuen Siu, Wai-Ki Ching, 2009 .

A comparison of pricing kernels for garch option pricing with generalized hyperbolic distributions

Robert J. Elliott, Tak Kuen Siu, Alexandru Badescu, 2011 .

The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model

Tak Kuen Siu, Rogemar Mamon, Christina Erlwein, 2008 .

Impulse Control of Proportional Reinsurance with Constraints

Tak Kuen Siu, Hui Meng, 2011 .