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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

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

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

Singular dividend optimization for a linear diffusion model with time-inconsistent preferences

Zhu, J., Siu, T. K. & Yang, H., 23 Apr 2019, In : European Journal of Operational Research.

Research output: Contribution to journalArticleResearchpeer-review

Linear Diffusion
Dividend
Diffusion Model
Discounting
Inconsistent

A hidden Markov regime-switching smooth transition model

Elliott, R. J., Siu, T. K. & Lau, J. W., Sep 2018, In : Studies in Nonlinear Dynamics and Econometrics. 22, 4, p. 1-21 21 p., 20160061.

Research output: Contribution to journalArticleResearchpeer-review

Markov Switching
Regime Switching
Transition Model
regime
Nonlinear Time Series Model