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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.

  • 3 Similar Profiles
Regime Switching Mathematics
Pricing Mathematics
Markov processes Engineering & Materials Science
Esscher Transform Mathematics
Regime-switching Model Mathematics
Markovian Switching Mathematics
Insurance Mathematics
Option Valuation Mathematics

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Projects 2011 2021

ARC - DP: Two-Price Quantitative Finance

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

1/01/1931/12/21

Project: Research

Thomson Reuters Global Ownership Database

Trueck, S., Yu, F., Adrian, C., Carlton, A., Chand, P., Chen, X., Cummings, J., Evans, E., De Mello, L., He, L., 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, T. K. & Wright, S.

7/12/1531/12/15

Project: Research

G-Expectation and Its Applications to Nonlinear Risk Management

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

1/01/1331/12/18

Project: Research

Risk Management
Appointments and Schedules

Research Outputs 1999 2019

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 journalArticleResearchpeer-review

Asset Allocation
Martingale
Economics
Derivative
Logarithmic

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, 21 p., 124585.

Research output: Contribution to journalArticleResearchpeer-review

Reinsurance
Insurance
Continuous Time
Probability of Ruin
Optimal Value Function

Hedging options in a doubly markov-modulated financial market via stochastic flows

Siu, T. K. & Elliott, R. J., 20 Dec 2019, In : International Journal of Theoretical and Applied Finance. 22, 8, 41 p., 1950047.

Research output: Contribution to journalArticleResearchpeer-review

Financial markets
Option hedging
Continuous time
Markov chain
Partial differential equations

On optimal pricing model for multiple dealers in a competitive market

Yang, Q. Q., Gu, J-W., Ching, W-K. & Siu, T. K., 31 Jan 2019, In : Computational Economics. 53, 1, p. 397-431 35 p.

Research output: Contribution to journalArticleResearchpeer-review

Profitability
Finance
Costs
Competitive market
Optimal pricing

Option pricing under a stochastic interest rate and volatility model with hidden Markovian Regime-Switching

Zhu, D. M., Lu, J., Ching, W-K. & Siu, T. K., 15 Feb 2019, In : Computational Economics. 53, 2, p. 555-586 32 p.

Research output: Contribution to journalArticleResearchpeer-review

Costs
Markov processes
Switches
Economics
Volatility models