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Tak Kuen Siu

Personal Details

First Name:Tak Kuen
Middle Name:
Last Name:Siu
Suffix:
RePEc Short-ID:psi241
[This author has chosen not to make the email address public]

Affiliation

Business School
Macquarie University

Sydney, Australia
https://www.mq.edu.au/macquarie-business-school
RePEc:edi:defmqau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. Anindya Goswami & Nimit Rana & Tak Kuen Siu, 2021. "Regime Switching Optimal Growth Model with Risk Sensitive Preferences," Papers 2110.15025, arXiv.org, revised Nov 2021.
  2. Wong, Shiu Fung & Tong, Howell & Siu, Tak Kuen & Lu, Zudi, 2017. "A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach," LSE Research Online Documents on Economics 78515, London School of Economics and Political Science, LSE Library.
  3. Feng-Hui Yu & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu, 2016. "Interacting Default Intensity with Hidden Markov Process," Papers 1603.02902, arXiv.org.
  4. Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu & Qing-Qing Yang, 2016. "Trading Strategy with Stochastic Volatility in a Limit Order Book Market," Papers 1602.00358, arXiv.org.
  5. Qing-Qing Yang & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu, 2016. "Generalized Optimal Liquidation Problems Across Multiple Trading Venues," Papers 1607.04553, arXiv.org, revised Aug 2017.
  6. Wai-Ki Ching & Jia-Wen Gu & Qing-Qing Yang & Tak-Kuen Siu, 2015. "On Optimal Pricing Model for Multiple Dealers in a Competitive Market," Papers 1512.08866, arXiv.org.
  7. Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2013. "On Reduced Form Intensity-based Model with Trigger Events," Papers 1301.0109, arXiv.org.
  8. Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2013. "On Infectious Model for Dependent Defaults," Papers 1301.0186, arXiv.org.
  9. Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2012. "On Pricing Basket Credit Default Swaps," Papers 1204.4025, arXiv.org.

    repec:san:crieff:0713 is not listed on IDEAS

Articles

  1. Ning Wang & Tak Kuen Siu & Kun Fan, 2024. "Robust reinsurance and investment strategies under principal–agent framework," Annals of Operations Research, Springer, vol. 336(1), pages 981-1011, May.
  2. Wang, Hao & Siu, Tak Kuen & Hu, Shujie & Wang, Ning, 2024. "Life-cycle model with subsistence consumption constraint and state-dependent utilities," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
  3. Wang, Ning & Siu, Tak Kuen, 2024. "Investment–consumption optimization with transaction cost and learning about return predictability," European Journal of Operational Research, Elsevier, vol. 318(3), pages 877-891.
  4. Feng, Yang & Siu, Tak Kuen & Zhu, Jinxia, 2024. "Optimal payout strategies when Bruno de Finetti meets model uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 148-164.
  5. Yike Wang & Jingzhen Liu & Tak Kuen Siu, 2024. "Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting," Finance and Stochastics, Springer, vol. 28(1), pages 161-214, January.
  6. Tak Kuen Siu, 2024. "Bayesian Lower and Upper Estimates for Ether Option Prices with Conditional Heteroscedasticity and Model Uncertainty," JRFM, MDPI, vol. 17(10), pages 1-32, September.
  7. Tak Kuen Siu, 2023. "Bayesian nonlinear expectation for time series modelling and its application to Bitcoin," Empirical Economics, Springer, vol. 64(1), pages 505-537, January.
  8. Robert J. Elliott & Tak Kuen Siu, 2023. "Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 925-950, July.
  9. Siu, Tak Kuen, 2023. "European option pricing with market frictions, regime switches and model uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 233-250.
  10. Goswami, Anindya & Rana, Nimit & Siu, Tak Kuen, 2022. "Regime switching optimal growth model with risk sensitive preferences," Journal of Mathematical Economics, Elsevier, vol. 101(C).
  11. Tak Kuen Siu & Ha Nguyen & Ning Wang, 2022. "Dynamic Fund Protection for Property Markets," North American Actuarial Journal, Taylor & Francis Journals, vol. 26(3), pages 383-402, August.
  12. R. J. Elliott & T. K. Siu, 2022. "A generalized Esscher transform for option valuation with regime switching risk," Quantitative Finance, Taylor & Francis Journals, vol. 22(4), pages 691-705, April.
  13. Feng, Yang & Zhu, Jinxia & Siu, Tak Kuen, 2021. "Optimal risk exposure and dividend payout policies under model uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 1-29.
  14. Dong-Mei Zhu & Jia-Wen Gu & Feng-Hui Yu & Tak-Kuen Siu & Wai-Ki Ching, 2021. "Optimal pairs trading with dynamic mean-variance objective," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 94(1), pages 145-168, August.
  15. Ning Wang & Zhuo Jin & Tak Kuen Siu & Ming Qiu, 2021. "Household consumption-investment-insurance decisions with uncertain income and market ambiguity," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2021(10), pages 832-865, November.
  16. Tak Kuen Siu & Robert J. Elliott, 2021. "Bitcoin option pricing with a SETAR-GARCH model," The European Journal of Finance, Taylor & Francis Journals, vol. 27(6), pages 564-595, April.
  17. Tak Kuen Siu, 2021. "The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights," Applied Economics, Taylor & Francis Journals, vol. 53(17), pages 1991-2014, April.
  18. Robert J. Elliott & Dilip B. Madan & Tak Kuen Siu, 2021. "Two price economic equilibria and financial market bid/ask prices," Annals of Finance, Springer, vol. 17(1), pages 27-43, March.
  19. Qing-Qing Yang & Wai-Ki Ching & Jiawen Gu & Tak-Kuen Siu, 2020. "Trading strategy with stochastic volatility in a limit order book market," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 277-301, June.
  20. Zhu, Jinxia & Siu, Tak Kuen & Yang, Hailiang, 2020. "Singular dividend optimization for a linear diffusion model with time-inconsistent preferences," European Journal of Operational Research, Elsevier, vol. 285(1), pages 66-80.
  21. Qian Zhao & Tak Kuen Siu, 2020. "Consumption-leisure-investment strategies with time-inconsistent preference in a life-cycle model," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 49(24), pages 6057-6079, December.
  22. Tak Kuen Siu, 2020. "Stochastic Flows and Jump-Diffusions," Quantitative Finance, Taylor & Francis Journals, vol. 20(6), pages 895-897, June.
  23. Ning Wang & Tak Kuen Siu, 2020. "Robust reinsurance contracts with risk constraint," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2020(5), pages 419-453, May.
  24. Qing-Qing Yang & Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu, 2019. "On Optimal Pricing Model for Multiple Dealers in a Competitive Market," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 397-431, January.
  25. Dong-Mei Zhu & Jiejun Lu & Wai-Ki Ching & Tak-Kuen Siu, 2019. "Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 555-586, February.
  26. Tak Kuen Siu & Robert J. Elliott, 2019. "Hedging Options In A Doubly Markov-Modulated Financial Market Via Stochastic Flows," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-41, December.
  27. Meng, Hui & Liao, Pu & Siu, Tak Kuen, 2019. "Continuous-time optimal reinsurance strategy with nontrivial curved structures," Applied Mathematics and Computation, Elsevier, vol. 363(C), pages 1-1.
  28. Samuel N. Cohen & Robert J. Elliott & Tak Kuen Siu, 2018. "Malliavin calculus in a binomial framework," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 34(6), pages 774-781, November.
  29. Elliott Robert J. & Siu Tak Kuen & Lau John W., 2018. "A hidden Markov regime-switching smooth transition model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(4), pages 1-21, September.
  30. Yang, Qing-Qing & Ching, Wai-Ki & Gu, Jia-Wen & Siu, Tak-Kuen, 2018. "Market-making strategy with asymmetric information and regime-switching," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 408-433.
  31. Yang Shen & Tak Kuen Siu, 2018. "A Risk-Based Approach for Asset Allocation with A Defaultable Share," Risks, MDPI, vol. 6(1), pages 1-27, February.
  32. Christian-Oliver Ewald & Ruolan Ouyang & Tak Kuen Siu, 2017. "On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 99(1), pages 207-224.
  33. Tata Subba Rao & Granville Tunnicliffe Wilson & Shiu Fung Wong & Howell Tong & Tak Kuen Siu & Zudi Lu, 2017. "A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 243-265, March.
  34. Dong-Mei Zhu & Wai-Ki Ching & Robert J. Elliott & Tak-Kuen Siu & Lianmin Zhang, 2017. "A Higher-order interactive hidden Markov model and its applications," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 39(4), pages 1055-1069, October.
  35. Feng-Hui Yu & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu, 2017. "Interacting default intensity with a hidden Markov process," Quantitative Finance, Taylor & Francis Journals, vol. 17(5), pages 781-794, May.
  36. Zhu, Dong-Mei & Lu, Jiejun & Ching, Wai-Ki & Siu, Tak-Kuen, 2017. "Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model," Economic Modelling, Elsevier, vol. 66(C), pages 223-232.
  37. Kun Fan & Yang Shen & Tak Kuen Siu & Rongming Wang, 2017. "An FFT approach for option pricing under a regime-switching stochastic interest rate model," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 46(11), pages 5292-5310, June.
  38. Siu, Tak Kuen, 2016. "A self-exciting threshold jump–diffusion model for option valuation," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 168-193.
  39. Siu, Tak Kuen, 2016. "A functional Itô’s calculus approach to convex risk measures with jump diffusion," European Journal of Operational Research, Elsevier, vol. 250(3), pages 874-883.
  40. Xie, Yue & Tai, Allen H. & Ching, Wai-Ki & Siu, Tak-Kuen, 2016. "Pricing strategy for a two-echelon supply chain with optimized return effort level," International Journal of Production Economics, Elsevier, vol. 182(C), pages 185-195.
  41. Christian-Oliver Ewald & Roy Nawar & Ruolan Ouyang & Tak Kuen Siu, 2016. "The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1823-1842, December.
  42. Meng, Hui & Zhou, Ming & Siu, Tak Kuen, 2016. "Optimal reinsurance policies with two reinsurers in continuous time," Economic Modelling, Elsevier, vol. 59(C), pages 182-195.
  43. Robert J. Elliott & Tak Kuen Siu, 2016. "Pricing regime-switching risk in an HJM interest rate environment," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1791-1800, December.
  44. Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming, 2015. "Pricing annuity guarantees under a double regime-switching model," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 62-78.
  45. Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming, 2015. "Valuing commodity options and futures options with changing economic conditions," Economic Modelling, Elsevier, vol. 51(C), pages 524-533.
  46. Tak Kuen Siu, 2015. "A Stochastic Flows Approach for Asset Allocation with Hidden Economic Environment," International Journal of Stochastic Analysis, Hindawi, vol. 2015, pages 1-11, January.
  47. Robert J. Elliott & Leunglung Chan & Tak Kuen Siu, 2015. "A Dupire Equation For A Regime-Switching Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(04), pages 1-13.
  48. Robert Elliott & Tak Siu, 2015. "Asset Pricing Using Trading Volumes in a Hidden Regime-Switching Environment," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(2), pages 133-149, May.
  49. Robert J. Elliott & Tak Kuen Siu, 2014. "Strategic Asset Allocation Under a Fractional Hidden Markov Model," Methodology and Computing in Applied Probability, Springer, vol. 16(3), pages 609-626, September.
  50. Huang, Ximin & Gu, Jia-Wen & Ching, Wai-Ki & Siu, Tak-Kuen, 2014. "Impact of secondary market on consumer return policies and supply chain coordination," Omega, Elsevier, vol. 45(C), pages 57-70.
  51. Tak Kuen Siu, 2014. "Integration by Parts and Martingale Representation for a Markov Chain," Abstract and Applied Analysis, Hindawi, vol. 2014, pages 1-11, June.
  52. Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming, 2014. "Pricing foreign equity options with regime-switching," Economic Modelling, Elsevier, vol. 37(C), pages 296-305.
  53. Yang Shen & Kun Fan & Tak Kuen Siu, 2014. "Option Valuation Under a Double Regime‐Switching Model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(5), pages 451-478, May.
  54. Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2014. "On reduced-form intensity-based model with ‘trigger’ events," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 65(3), pages 331-339, March.
  55. Jingzhen Liu & Ka-Fai Cedric Yiu & Tak Kuen Siu, 2014. "Optimal investment of an insurer with regime-switching and risk constraint," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2014(7), pages 583-601.
  56. Meng, Hui & Siu, Tak Kuen & Yang, Hailiang, 2013. "Optimal dividends with debts and nonlinear insurance risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 110-121.
  57. Fard, Farzad Alavi & Siu, Tak Kuen, 2013. "Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 712-721.
  58. Ewald, Christian-Oliver & Nawar, Roy & Siu, Tak Kuen, 2013. "Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance," Energy Economics, Elsevier, vol. 36(C), pages 97-107.
  59. Farzad Fard & Tak Siu, 2013. "Pricing and managing risks of European-style options in a Markovian regime-switching binomial model," Annals of Finance, Springer, vol. 9(3), pages 421-438, August.
  60. Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2013. "On pricing basket credit default swaps," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1845-1854, December.
  61. Shen, Yang & Siu, Tak Kuen, 2013. "Longevity bond pricing under stochastic interest rate and mortality with regime-switching," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 114-123.
  62. Robert J. Elliott & Tak Kuen Siu, 2013. "Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes," Applied Mathematical Finance, Taylor & Francis Journals, vol. 20(1), pages 1-25, March.
  63. Shen, Yang & Siu, Tak Kuen, 2013. "Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 757-768.
  64. Shen, Yang & Siu, Tak Kuen, 2013. "Pricing bond options under a Markovian regime-switching Hull–White model," Economic Modelling, Elsevier, vol. 30(C), pages 933-940.
  65. Tak Siu, 2012. "A BSDE approach to risk-based asset allocation of pension funds with regime switching," Annals of Operations Research, Springer, vol. 201(1), pages 449-473, December.
  66. Shen, Yang & Siu, Tak Kuen, 2012. "Asset allocation under stochastic interest rate with regime switching," Economic Modelling, Elsevier, vol. 29(4), pages 1126-1136.
  67. Eric Fung & Tak Siu, 2012. "A Flexible Markov Chain Approach for Multivariate Credit Ratings," Computational Economics, Springer;Society for Computational Economics, vol. 39(2), pages 135-143, February.
  68. Robert J. Elliott & John W. Lau & Hong Miao & Tak Kuen Siu, 2012. "Viterbi-Based Estimation for Markov Switching GARCH Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(3), pages 219-231, August.
  69. Na Song & Tak Kuen Siu & Wa‐Ki Ching & Howell Tong & Hailiang Yang, 2012. "Asset allocation under threshold autoregressive models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 28(1), pages 60-72, January.
  70. Robert J. Elliott & Tak Kuen Siu, 2012. "Attainable Contingent Claims In A Markovian Regime-Switching Market," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-19.
  71. Hui Meng & Tak Kuen Siu, 2011. "Impulse Control of Proportional Reinsurance with Constraints," International Journal of Stochastic Analysis, Hindawi, vol. 2011, pages 1-13, August.
  72. Huang, Ximin & Choi, Sin-Man & Ching, Wai-Ki & Siu, Tak-Kuen & Huang, Min, 2011. "On supply chain coordination for false failure returns: A quantity discount contract approach," International Journal of Production Economics, Elsevier, vol. 133(2), pages 634-644, October.
  73. Tak Kuen Siu, 2011. "Long-term strategic asset allocation with inflation risk and regime switching," Quantitative Finance, Taylor & Francis Journals, vol. 11(10), pages 1565-1580.
  74. Meng, Hui & Siu, Tak Kuen, 2011. "On optimal reinsurance, dividend and reinvestment strategies," Economic Modelling, Elsevier, vol. 28(1-2), pages 211-218, January.
  75. Alexandru Badescu & Robert J. Elliott & Reg Kulperger & Jarkko Miettinen & Tak Kuen Siu, 2011. "A Comparison Of Pricing Kernels For Garch Option Pricing With Generalized Hyperbolic Distributions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(05), pages 669-708.
  76. Tak Kuen Siu & Eric S. Fung & Michael K. Ng, 2011. "Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(6), pages 473-490, March.
  77. Eric S. Fung & Kin Lam & Tak-Kuen Siu & Wing-Keung Wong, 2011. "A Pseudo-Bayesian Model for Stock Returns In Financial Crises," JRFM, MDPI, vol. 4(1), pages 1-31, December.
  78. Tak Kuen Siu, 2011. "Regime-Switching Risk: To Price or Not to Price?," International Journal of Stochastic Analysis, Hindawi, vol. 2011, pages 1-14, December.
  79. Elliott, Robert J. & Siu, Tak Kuen & Badescu, Alexandru, 2011. "On pricing and hedging options in regime-switching models with feedback effect," Journal of Economic Dynamics and Control, Elsevier, vol. 35(5), pages 694-713, May.
  80. Robert Elliott & Tak Kuen Siu, 2010. "A stochastic differential game for optimal investment of an insurer with regime switching," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 365-380.
  81. Jonathan Wylie & Qiang Zhang & Tak Kuen Siu, 2010. "Can expected shortfall and Value-at-Risk be used to statically hedge options?," Quantitative Finance, Taylor & Francis Journals, vol. 10(6), pages 575-583.
  82. Tak Kuen Siu, 2010. "A Markov Regime-Switching Marked Point Process for Short-Rate Analysis with Credit Risk," International Journal of Stochastic Analysis, Hindawi, vol. 2010, pages 1-18, December.
  83. Elliott, Robert J. & Siu, Tak Kuen & Badescu, Alex, 2010. "On mean-variance portfolio selection under a hidden Markovian regime-switching model," Economic Modelling, Elsevier, vol. 27(3), pages 678-686, May.
  84. Liew, Chuin Ching & Siu, Tak Kuen, 2010. "A hidden Markov regime-switching model for option valuation," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 374-384, December.
  85. Robert Elliott & Tak Siu, 2010. "On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy," Annals of Operations Research, Springer, vol. 176(1), pages 271-291, April.
  86. Badescu, Alex & Elliott, Robert J. & Siu, Tak Kuen, 2009. "Esscher transforms and consumption-based models," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 337-347, December.
  87. Robert Elliott & Tak Kuen Siu, 2009. "On Markov-modulated Exponential-affine Bond Price Formulae," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(1), pages 1-15.
  88. Robert J. Elliott & Tak Kuen Siu, 2009. "Robust Optimal Portfolio Choice Under Markovian Regime-switching Model," Methodology and Computing in Applied Probability, Springer, vol. 11(2), pages 145-157, June.
  89. Zhang, Xin & Siu, Tak Kuen, 2009. "Optimal investment and reinsurance of an insurer with model uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 81-88, August.
  90. John Lau & Tak Siu, 2008. "Pricing Risky Debts Under a Markov-modudated Merton Model with Completely Random Measures," Computational Economics, Springer;Society for Computational Economics, vol. 31(3), pages 255-288, April.
  91. Lau, John W. & Siu, Tak Kuen, 2008. "On option pricing under a completely random measure via a generalized Esscher transform," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 99-107, August.
  92. Siu, Tak Kuen, 2008. "A game theoretic approach to option valuation under Markovian regime-switching models," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1146-1158, June.
  93. Robert Elliott & Tak Siu & Leunglung Chan, 2008. "A PDE approach for risk measures for derivatives with regime switching," Annals of Finance, Springer, vol. 4(1), pages 55-74, January.
  94. Tak Kuen Siu & John W. Lau & Hailiang Yang, 2008. "Pricing Participating Products under a Generalized Jump-Diffusion Model," International Journal of Stochastic Analysis, Hindawi, vol. 2008, pages 1-30, July.
  95. Siu, Tak Kuen & Yang, Hailiang & Lau, John W., 2008. "Pricing currency options under two-factor Markov-modulated stochastic volatility models," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 295-302, December.
  96. Tak Kuen Siu & Christina Erlwein & Rogemar Mamon, 2008. "The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model," North American Actuarial Journal, Taylor & Francis Journals, vol. 12(1), pages 18-46.
  97. Tak Kuen Siu, 2008. "“Asset Allocation with Hedge Funds on the Menu,” Phelim Boyle and Sun Siang Liew, October 2007," North American Actuarial Journal, Taylor & Francis Journals, vol. 12(2), pages 213-215.
  98. Robert Elliott & Tak Kuen Siu & Leunglung Chan, 2007. "Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(1), pages 41-62.
  99. Tak Siu & John Lau & Hailiang Yang, 2007. "On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(3), pages 255-275, September.
  100. Lau, John W. & Siu, Tak Kuen & Yang, Hailiang, 2006. "On Bayesian Mixture Credibility," ASTIN Bulletin, Cambridge University Press, vol. 36(2), pages 573-588, November.
  101. Robert J. Elliott & Tak Kuen Siu & Leunglung Chan, 2006. "Option Pricing For Garch Models With Markov Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(06), pages 825-841.
  102. Robert Elliott & Leunglung Chan & Tak Siu, 2006. "Risk measures for derivatives with Markov-modulated pure jump processes," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(2), pages 129-149, June.
  103. Tak-Kuen Siu & Wai-Ki Ching & S. Eric Fung & Michael Ng, 2005. "On a multivariate Markov chain model for credit risk measurement," Quantitative Finance, Taylor & Francis Journals, vol. 5(6), pages 543-556.
  104. Tak-Kuen Siu & Wai-Ki Ching & Eric Fung & Michael Ng, 2005. "Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models," Computational Economics, Springer;Society for Computational Economics, vol. 26(3), pages 69-102, November.
  105. Siu, Tak Kuen, 2005. "Fair valuation of participating policies with surrender options and regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 533-552, December.
  106. Robert J. Elliott & Leunglung Chan & Tak Kuen Siu, 2005. "Option pricing and Esscher transform under regime switching," Annals of Finance, Springer, vol. 1(4), pages 423-432, October.
  107. Tak Kuen Siu & Howell Tong & Hailiang Yang, 2004. "On Pricing Derivatives Under GARCH Models: A Dynamic Gerber-Shiu Approach," North American Actuarial Journal, Taylor & Francis Journals, vol. 8(3), pages 17-31, July.
  108. Tak Siu & Howell Tong & Hailiang Yang, 2004. "On Bayesian Value at Risk: From Linear to Non-Linear Portfolios," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(2), pages 161-184, June.
  109. Wing Hoe Woo & Tak Kuen Siu, 2004. "A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach," Applied Mathematical Finance, Taylor & Francis Journals, vol. 11(2), pages 165-186.
  110. H. Yang & T. K. Siu, 2001. "Coherent Risk Measures For Derivatives Under Black–Scholes Economy," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(05), pages 819-835.
  111. Tak Kuen Siu & Howell Tong & Hailiang Yang, 2001. "Bayesian Risk Measures for Derivatives via Random Esscher Transform," North American Actuarial Journal, Taylor & Francis Journals, vol. 5(3), pages 78-91.
  112. Tak Kuen Siu & Hailiang Yang, 2000. "A PDE approach to risk measures of derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(3), pages 211-228.
  113. Siu, Tak Kuen & Yang, Hailiang, 1999. "Subjective risk measures: Bayesian predictive scenarios analysis," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 157-169, November.
    RePEc:eme:mfipps:v:37:y:2011:i:11:p:1025-1047 is not listed on IDEAS

Chapters

  1. Tak Kuen Siu, 2014. "A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing," International Series in Operations Research & Management Science, in: Rogemar S. Mamon & Robert J. Elliott (ed.), Hidden Markov Models in Finance, edition 127, chapter 0, pages 185-209, Springer.
  2. Wai-Ki Ching & Ximin Huang & Michael K. Ng & Tak-Kuen Siu, 2013. "Queueing Systems and the Web," International Series in Operations Research & Management Science, in: Markov Chains, edition 2, chapter 0, pages 47-76, Springer.
  3. Wai-Ki Ching & Ximin Huang & Michael K. Ng & Tak-Kuen Siu, 2013. "Higher-Order Markov Chains," International Series in Operations Research & Management Science, in: Markov Chains, edition 2, chapter 0, pages 141-176, Springer.
  4. Wai-Ki Ching & Ximin Huang & Michael K. Ng & Tak-Kuen Siu, 2013. "Markov Decision Processes for Customer Lifetime Value," International Series in Operations Research & Management Science, in: Markov Chains, edition 2, chapter 0, pages 107-139, Springer.
  5. Wai-Ki Ching & Ximin Huang & Michael K. Ng & Tak-Kuen Siu, 2013. "Introduction," International Series in Operations Research & Management Science, in: Markov Chains, edition 2, chapter 0, pages 1-46, Springer.
  6. Wai-Ki Ching & Ximin Huang & Michael K. Ng & Tak-Kuen Siu, 2013. "A Hidden Markov Model for Customer Classification," International Series in Operations Research & Management Science, in: Markov Chains, edition 2, chapter 0, pages 97-106, Springer.
  7. Wai-Ki Ching & Ximin Huang & Michael K. Ng & Tak-Kuen Siu, 2013. "Manufacturing and Re-manufacturing Systems," International Series in Operations Research & Management Science, in: Markov Chains, edition 2, chapter 0, pages 77-96, Springer.
  8. Wai-Ki Ching & Ximin Huang & Michael K. Ng & Tak-Kuen Siu, 2013. "Multivariate Markov Chains," International Series in Operations Research & Management Science, in: Markov Chains, edition 2, chapter 0, pages 177-200, Springer.
  9. Wai-Ki Ching & Ximin Huang & Michael K. Ng & Tak-Kuen Siu, 2013. "Hidden Markov Chains," International Series in Operations Research & Management Science, in: Markov Chains, edition 2, chapter 0, pages 201-230, Springer.
  10. Wai-Ki Ching & Xun Li & Tak Kuen Siu & Zhenyu Wu, 2010. "Improving Revenue Management: A Real Option Approach," International Handbooks on Information Systems, in: T. C. Edwin Cheng & Tsan-Ming Choi (ed.), Innovative Quick Response Programs in Logistics and Supply Chain Management, pages 123-139, Springer.
  11. Tak Kuen Siu, 2007. "On Fair Valuation of Participating Life Insurance Policies With Regime Switching," International Series in Operations Research & Management Science, in: Rogemar S. Mamon & Robert J. Elliott (ed.), Hidden Markov Models in Finance, chapter 3, pages 31-43, Springer.

Books

  1. Wai-Ki Ching & Ximin Huang & Michael K. Ng & Tak-Kuen Siu, 2013. "Markov Chains," International Series in Operations Research and Management Science, Springer, edition 2, number 978-1-4614-6312-2, December.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Works
  2. Number of Distinct Works
  3. Number of Distinct Works, Weighted by Number of Authors
  4. Number of Journal Pages
  5. Number of Journal Pages, Weighted by Number of Authors

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (5) 2007-11-24 2013-01-12 2013-01-12 2016-03-29 2017-11-26. Author is listed
  2. NEP-MST: Market Microstructure (3) 2016-01-03 2016-02-04 2016-07-23
  3. NEP-BAN: Banking (2) 2013-01-12 2016-03-29
  4. NEP-FMK: Financial Markets (2) 2007-11-24 2012-04-23
  5. NEP-CBA: Central Banking (1) 2012-04-23
  6. NEP-COM: Industrial Competition (1) 2016-01-03
  7. NEP-ECM: Econometrics (1) 2017-11-26
  8. NEP-GRO: Economic Growth (1) 2021-11-22
  9. NEP-ORE: Operations Research (1) 2017-11-26
  10. NEP-UPT: Utility Models and Prospect Theory (1) 2021-11-22

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