Projects per year
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- 1 Similar Profiles
Collaborations and top research areas from the last five years
Projects
- 6 Finished
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ARC - DP: Two-Price Quantitative Finance
Siu, K., Elliott, R. J. & Madan, D.
7/02/19 → 31/12/22
Project: Research
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Thomson Reuters Global Ownership Database
Trueck, S., Yu, F., Adrian, C., Carlton, T., 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.
7/12/15 → 31/12/15
Project: Research
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G-Expectation and Its Applications to Nonlinear Risk Management
Siu, K., Elliott, R. & Peng, S.
1/01/13 → 31/12/18
Project: Research
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A Bayesian Nonparametric Approach for Corporate Default Risk Analysis
Siu, K., Lau, J., Pitt, D., Tickle, L., Trueck, S. & Zhou, X.
1/01/12 → 31/12/12
Project: Research
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Fair Valuation of Modern Insurance Products Under GARCH -type Models: From Market Risk to Mortality Risk
Siu, K., Zhou, X., Tickle, L. & Levick, A.
8/04/11 → 31/12/13
Project: Research
Research Outputs
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Bayesian nonlinear expectation for time series modelling and its application to Bitcoin
Siu, T. K., Jan 2023, In: Empirical Economics. 64, 1, p. 505–537 33 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile1 Citation (Scopus)5 Downloads (Pure) -
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, R. J. & Siu, T. K., Jul 2023, In: The Journal of Futures Markets. 43, 7, p. 925-950 26 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile6 Downloads (Pure) -
Mean-variance portfolio selection with random investment horizon
Liu, J., Yiu, K-F. C., Li, X., Siu, T. K. & Teo, K. L., Jul 2023, In: Journal of Industrial and Management Optimization. 19, 7, p. 4726-4739 14 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile19 Downloads (Pure) -
A generalized Esscher transform for option valuation with regime switching risk
Elliott, R. J. & Siu, T. K., 3 Apr 2022, In: Quantitative Finance. 22, 4, p. 691-705 15 p.Research output: Contribution to journal › Article › peer-review
1 Citation (Scopus) -
American option pricing and filtering with a hidden regime-switching jump diffusion
Siu, T. K. & Elliott, R. J., Mar 2022, In: Journal of Derivatives. 29, 3, p. 106-123 18 p.Research output: Contribution to journal › Article › peer-review
3 Citations (Scopus)