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  • 2020
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  • Ken Siu
2020

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

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 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, 21 p., 124585.

Research output: Contribution to journalArticle

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, p. 1-41 41 p., 1950047.

Research output: Contribution to journalArticle

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 journalArticle

1 Citation (Scopus)

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 journalArticle

1 Citation (Scopus)

Robust reinsurance contracts with risk constraint

Wang, N. & Siu, T. K., 30 Oct 2019, In : Scandinavian Actuarial Journal. 35 p.

Research output: Contribution to journalArticle

1 Citation (Scopus)
2018

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 journalArticle

A Markov-driven portfolio execution strategy with market impact

Yang, Q., Ching, W-K., Siu, T-K. & Zhang, Z., Nov 2018, In : Numerical Mathematics. 11, 4, p. 701-728 28 p.

Research output: Contribution to journalArticle

A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows

Elliott, R. J. & Siu, T. K., 15 Apr 2018, In : Journal of Mathematical Analysis and Applications. 460, 2, p. 891-899 9 p.

Research output: Contribution to journalArticle

1 Citation (Scopus)

A Risk-based approach for asset allocation with a defaultable share

Shen, Y. & Siu, T. K., 1 Mar 2018, In : Risks. 6, 1, p. 1-27 27 p., 14.

Research output: Contribution to journalArticle

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Malliavin calculus in a binomial framework

Cohen, S. N., Elliott, R. J. & Siu, T. K., 1 Nov 2018, In : Applied Stochastic Models in Business and Industry. 34, 6, p. 774-781 8 p.

Research output: Contribution to journalArticle

Market-making strategy with asymmetric information and regime-switching

Yang, Q. Q., Ching, W-K., Gu, J-W. & Siu, T. K., 1 May 2018, In : Journal of Economic Dynamics and Control. 90, p. 408-433 26 p.

Research output: Contribution to journalArticle

2 Citations (Scopus)

Pricing dynamic fund protection under hidden Markov models

Fan, K., Shen, Y., Siu, T. K. & Wang, R., 1 Jan 2018, In : IMA Journal of Management Mathematics. 29, 1, p. 99-117 19 p.

Research output: Contribution to journalArticle

3 Citations (Scopus)

The Heath-Jarrow-Morton model with regime shifts and jumps priced

Elliott, R. J. & Siu, T. K., 2018, New methods in fixed income modeling: fixed income modeling. Mili, M., Medina, R. S. & di Pietro, F. (eds.). Cham: Springer, Springer Nature, p. 45-59 15 p. (Contributions to Management Science).

Research output: Chapter in Book/Report/Conference proceedingChapter

2017

A Higher-order interactive hidden Markov model and its applications

Zhu, D. M., Ching, W. K., Elliott, R. J., Siu, T. K. & Zhang, L., 1 Oct 2017, In : OR Spectrum. 39, 4, p. 1055-1069 15 p.

Research output: Contribution to journalArticle

2 Citations (Scopus)

A New multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach

Wong, S. F., Tong, H., Siu, T. K. & Lu, Z., 1 Mar 2017, In : Journal of Time Series Analysis. 38, 2, p. 243-265 23 p.

Research output: Contribution to journalArticle

3 Citations (Scopus)

An FFT approach for option pricing under a regime-switching stochastic interest rate model

Fan, K., Shen, Y., Siu, T. K. & Wang, R., 3 Jun 2017, In : Communications in Statistics - Theory and Methods. 46, 11, p. 5292-5310 19 p.

Research output: Contribution to journalArticle

6 Citations (Scopus)

A note on optimal insurance risk control with multiple reinsurers

Meng, H., Siu, T. K. & Yang, H., 1 Aug 2017, In : Journal of Computational and Applied Mathematics. 319, p. 38-42 5 p.

Research output: Contribution to journalArticle

1 Citation (Scopus)

A real option approach for investment opportunity valuation

Song, N., Xie, Y., Ching, W. K. & Siu, T. K., 1 Jul 2017, In : Journal of Industrial and Management Optimization. 13, 3, p. 1213-1235 23 p.

Research output: Contribution to journalArticle

Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model

Zhu, D. M., Lu, J., Ching, W. K. & Siu, T. K., 1 Nov 2017, In : Economic Modelling. 66, p. 223-232 10 p.

Research output: Contribution to journalArticle

1 Citation (Scopus)

Hidden Markov models with threshold effects and their applications to oil price forecasting

Zhu, D-M., Ching, W-K., Elliott, R. J., Siu, T. K. & Zhang, L., 1 Apr 2017, In : Journal of Industrial and Management Optimization. 13, 2, p. 757-773 17 p.

Research output: Contribution to journalArticle

4 Citations (Scopus)

Impact of reorder option in supply chain coordination

Song, N., Huang, X., Xie, Y., Ching, W-K. & Siu, T-K., Jan 2017, In : Journal of Industrial and Management Optimization. 13, 1, p. 449-475 27 p.

Research output: Contribution to journalArticle

Interacting default intensity with a hidden Markov process

Yu, F. H., Ching, W. K., Gu, J. W. & Siu, T. K., 4 May 2017, In : Quantitative Finance. 17, 5, p. 781-794 14 p.

Research output: Contribution to journalArticle

1 Citation (Scopus)

On infectious model for dependent defaults

Ching, W-K., Gu, J-W., Li, X., Siu, T-K. & Zheng, H., 2017, In : Risk and Decision Analysis. 6, 4, p. 249-261 13 p.

Research output: Contribution to journalArticle

On the market-consistent valuation of fish farms: using the real option approach and salmon futures

Ewald, C-O., Ouyang, R. & Siu, T. K., 2017, In : American Journal of Agricultural Economics. 99, 1, p. 207-224 18 p.

Research output: Contribution to journalArticle

4 Citations (Scopus)

Optimal investment and consumption in a continuous-time co-integration model

Shen, Y. & Siu, T. K., Oct 2017, In : IMA Journal of Management Mathematics. 28, 4, p. 501-530 30 p.

Research output: Contribution to journalArticle

4 Citations (Scopus)
2016

A functional Ito's calculus approach to convex risk measures with jump diffusion

Siu, T. K., 1 May 2016, In : European Journal of Operational Research. 250, 3, p. 874-883 10 p.

Research output: Contribution to journalArticle

2 Citations (Scopus)

A self-exciting threshold jump-diffusion model for option valuation

Siu, T. K., 1 Jul 2016, In : Insurance: Mathematics and Economics. 69, p. 168-193 26 p.

Research output: Contribution to journalArticle

6 Citations (Scopus)

On a Markov Chain approximation method for option pricing with regime-switching

Fan, K., Shen, Y., Siu, T. K. & Wang, R., Apr 2016, In : Journal of Industrial and Management Optimization. 12, 2, p. 529-541 13 p.

Research output: Contribution to journalArticle

Optimal dividend-reinsurance with two types of premium principles

Meng, H., Zhou, M. & Siu, T. K., 1 Apr 2016, In : Probability in the Engineering and Informational Sciences. 30, 2, p. 224-243 20 p.

Research output: Contribution to journalArticle

7 Citations (Scopus)

Optimal insurance risk control with multiple reinsurers

Meng, H., Siu, T. K. & Yang, H., Nov 2016, In : Journal of Computational and Applied Mathematics. 306, p. 40-52 13 p.

Research output: Contribution to journalArticle

5 Citations (Scopus)

Optimal portfolios with maximum Value-at-Risk constraint under a hidden Markovian regime-switching model

Zhu, D. M., Xie, Y., Ching, W. K. & Siu, T. K., Dec 2016, In : Automatica. 74, p. 194-205 12 p.

Research output: Contribution to journalArticle

7 Citations (Scopus)

Optimal reinsurance policies with two reinsurers in continuous time

Meng, H., Zhou, M. & Siu, T. K., 1 Dec 2016, In : Economic Modelling. 59, p. 182-195 14 p.

Research output: Contribution to journalArticle

4 Citations (Scopus)

Optimal strategy for limit order book submissions in high frequency trading

Song, N., Xie, Y., Ching, W. K., Siu, T. K. & Yiu, C. K. F., 1 May 2016, In : East Asian Journal on Applied Mathematics. 6, 2, p. 222-234 13 p.

Research output: Contribution to journalArticle

Pricing regime-switching risk in an HJM interest rate environment

Elliott, R. J. & Siu, T. K., 1 Dec 2016, In : Quantitative Finance. 16, 12, p. 1791-1800 10 p.

Research output: Contribution to journalArticle

6 Citations (Scopus)

Pricing strategy for a two-Echelon supply chain with optimized return effort level

Xie, Y., Tai, A. H., Ching, W. K. & Siu, T. K., 1 Dec 2016, In : International Journal of Production Economics. 182, p. 185-195 11 p.

Research output: Contribution to journalArticle

7 Citations (Scopus)

The market for salmon futures: an empirical analysis of the fish pool using the Schwartz multi-factor model

Ewald, C. O., Nawar, R., Ouyang, R. & Siu, T. K., 1 Dec 2016, In : Quantitative Finance. 16, 12, p. 1823-1842 20 p.

Research output: Contribution to journalArticle

1 Citation (Scopus)