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Browsing by Author Siu, TK
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Showing results 34 to 53 of 55
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Title
Author(s)
Issue Date
Views
On Pricing Derivatives under Nonlinear Time Series Models
Proceeding/Conference:
PAMM
Siu, TK
Yang, H
2008
108
On supply chain coordination for false failure returns: A quantity discount contract approach
Journal:
International Journal of Production Economics
Huang, X
Choi, SM
Ching, WK
Siu, TK
Huang, M
2011
199
On valuing participating life insurance contracts with conditional heteroscedasticity
Journal:
Asia-Pacific Financial Markets
Siu, TK
Lau, JW
Yang, H
2007
168
Optimal dividends with debts and nonlinear insurance risk processes
Journal:
Insurance: Mathematics and Economics
Meng, H
Siu, TK
Yang, H
2013
58
Optimal insurance risk control with multiple reinsurers
Journal:
Journal of Computational and Applied Mathematics
Meng, H
Siu, TK
Yang, H
2016
75
Optimal portfolios with regime switching and value-at-risk constraint
Journal:
Automatica
Yiu, KFC
Liu, J
Siu, TK
Ching, WK
2010
163
Optimal submission problem in a limit order book with VaR constraints
Proceeding/Conference:
International Joint Conference on Computational Sciences and Optimization Proceedings
Song, N
Ching, WK
Siu, TK
Yiu, C
2012
146
Option pricing when the regime-switching risk is priced
Journal:
Acta Mathematicae Applicatae Sinica
Siu, TK
Yang, H
2009
39
Option valuation by a self-exciting threshold binomial model
Journal:
Mathematical and Computer Modelling
Yuen, FL
Siu, TK
Yang, H
2013
56
Option valuation under a multivariate Markov chain model
Proceeding/Conference:
3rd International Joint Conference on Computational Sciences and Optimization, CSO 2010: Theoretical Development and Engineering Practice
Song, N
Ching, WK
Siu, TK
Fung, ES
Ng, MK
2010
107
A PDE Approach To Multivariate Risk Theory
Book:
Stochastic Analysis and Applications to Finance: Essays in Honour of Jia-An Yan
Elliott, RJ
Siu, TK
Yang, H
2012
78
Pricing currency options under two-factor Markov-modulated stochastic volatility models
Journal:
Insurance: Mathematics and Economics
Siu, TK
Yang, H
Lau, JW
2008
203
Pricing exotic options under a high-order markovian regime switching model
Journal:
Journal of Applied Mathematics and Decision Sciences
Ching, WK
Siu, TK
Li, LM
2007
117
Pricing participating products under a generalized jump-diffusion model
Journal:
Journal of Applied Mathematics and Stochastic Analysis
Siu, TK
Lau, JW
Yang, H
2008
183
A real option approach to optimal inventory management of retail products
Journal:
Journal of Industrial and Management Optimization
Huang, X
Song, N
Ching, WK
Siu, TK
Yiu, KFC
2012
191
Risk and probability measures
Journal:
Risk
Boyle, PP
Siu, TK
Yang, H
2002
84
Risk measures and behaviors for bonds under stochastic interest rate models
Journal:
Mathematical and Computer Modelling
Song, N
Siu, TK
Alavi Fard, F
Ching, WK
Fung, ES
2012
173
Ruin theory in a hidden markov-modulated risk model
Journal:
Stochastic Models
Elliott, RJ
Siu, TK
Yang, H
2011
159
Singular dividend optimization for a linear diffusion model with time-inconsistent preferences
Journal:
European Journal of Operational Research
Zhu, J
Siu, TK
Yang, H
2020
38
Subjective risk measures: Bayesian predictive scenarios analysis
Journal:
Insurance: Mathematics and Economics
Siu, TK
Yang, H
1999
139
