19992022

Research output per year

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Fingerprint Dive into the research topics where Ken Siu is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

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Projects

ARC - DP: Two-Price Quantitative Finance

Siu, K., Elliott, R. J. & Madan, D.

7/02/1931/12/22

Project: Research

Thomson Reuters Global Ownership Database

Trueck, S., Yu, F., Adrian, C., Carlton, A., Chand, P., Chen, C., Cummings, J., Evans, E., De Mello, L., He, C., Hellmann, A., Jameson, K., Kalotay, E., Loudon, G., Lu, M., Mala, R., Magee, S., Milunovich, G., Pan, P., Patel, C., Sheedy, E., Shi, S., Siu, K. & Wright, S.

7/12/1531/12/15

Project: Research

G-Expectation and Its Applications to Nonlinear Risk Management

Siu, K., Elliott, R. & Peng, S.

1/01/1331/12/18

Project: Research

  • Research Outputs

    Fuzzy hidden Markov-switching portfolio selection with capital gain tax

    Guo, S., Ching, W-K., Li, W-K., Siu, T-K. & Zhang, Z., 1 Jul 2020, In : Expert Systems With Applications. 149, 15 p., 113304.

    Research output: Contribution to journalArticle

  • Robust reinsurance contracts with risk constraint

    Wang, N. & Siu, T. K., 27 May 2020, In : Scandinavian Actuarial Journal. 2020, 5, p. 419-453 35 p.

    Research output: Contribution to journalArticle

  • Trading strategy with stochastic volatility in a limit order book market

    Yang, Q. Q., Ching, W. K., Gu, J. & Siu, T. K., 10 Mar 2020, In : Decisions in Economics and Finance.

    Research output: Contribution to journalArticle

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

    Siu, T. K., Zhu, J. & Yang, H., 1 Sep 2019, In : Journal of Applied Probability. 56, 3, p. 723-749 27 p.

    Research output: Contribution to journalArticle

  • 1 Citation (Scopus)

    Continuous-time optimal reinsurance strategy with nontrivial curved structures

    Meng, H., Liao, P. & Siu, T. K., 15 Dec 2019, In : Applied Mathematics and Computation. 363, p. 1-21 21 p., 124585.

    Research output: Contribution to journalArticle