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Tak Kuen Siu

Personal Details

First Name:Tak Kuen
Middle Name:
Last Name:Siu
Suffix:
RePEc Short-ID:psi241
[This author has chosen not to make the email address public]

Affiliation

Faculty of Business and Economics
Macquarie University

Sydney, Australia
http://www.businessandeconomics.mq.edu.au/

:

Sydney NSW 2109
RePEc:edi:defmqau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Books

Working papers

  1. Wong, Shiu Fung & Tong, Howell & Siu, Tak Kuen & Lu, Zudi, 2017. "A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach," LSE Research Online Documents on Economics 78515, London School of Economics and Political Science, LSE Library.
  2. Feng-Hui Yu & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu, 2016. "Interacting Default Intensity with Hidden Markov Process," Papers 1603.02902, arXiv.org.
  3. Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu & Qing-Qing Yang, 2016. "Trading Strategy with Stochastic Volatility in a Limit Order Book Market," Papers 1602.00358, arXiv.org.
  4. Qing-Qing Yang & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu, 2016. "Generalized Optimal Liquidation Problems Across Multiple Trading Venues," Papers 1607.04553, arXiv.org, revised Aug 2017.
  5. Wai-Ki Ching & Jia-Wen Gu & Qing-Qing Yang & Tak-Kuen Siu, 2015. "On Optimal Pricing Model for Multiple Dealers in a Competitive Market," Papers 1512.08866, arXiv.org.
  6. Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2013. "On Reduced Form Intensity-based Model with Trigger Events," Papers 1301.0109, arXiv.org.
  7. Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2013. "On Infectious Model for Dependent Defaults," Papers 1301.0186, arXiv.org.
  8. Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2012. "On Pricing Basket Credit Default Swaps," Papers 1204.4025, arXiv.org.

Articles

  1. Yang, Qing-Qing & Ching, Wai-Ki & Gu, Jia-Wen & Siu, Tak-Kuen, 2018. "Market-making strategy with asymmetric information and regime-switching," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 408-433.
  2. Yang Shen & Tak Kuen Siu, 2018. "A Risk-Based Approach for Asset Allocation with A Defaultable Share," Risks, MDPI, Open Access Journal, vol. 6(1), pages 1-27, February.
  3. Christian-Oliver Ewald & Ruolan Ouyang & Tak Kuen Siu, 2017. "On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 99(1), pages 207-224.
  4. Tata Subba Rao & Granville Tunnicliffe Wilson & Shiu Fung Wong & Howell Tong & Tak Kuen Siu & Zudi Lu, 2017. "A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 243-265, March.
  5. Dong-Mei Zhu & Wai-Ki Ching & Robert J. Elliott & Tak-Kuen Siu & Lianmin Zhang, 2017. "A Higher-order interactive hidden Markov model and its applications," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 39(4), pages 1055-1069, October.
  6. Feng-Hui Yu & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu, 2017. "Interacting default intensity with a hidden Markov process," Quantitative Finance, Taylor & Francis Journals, vol. 17(5), pages 781-794, May.
  7. Zhu, Dong-Mei & Lu, Jiejun & Ching, Wai-Ki & Siu, Tak-Kuen, 2017. "Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model," Economic Modelling, Elsevier, vol. 66(C), pages 223-232.
  8. Siu, Tak Kuen, 2016. "A self-exciting threshold jump–diffusion model for option valuation," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 168-193.
  9. Siu, Tak Kuen, 2016. "A functional Itô’s calculus approach to convex risk measures with jump diffusion," European Journal of Operational Research, Elsevier, vol. 250(3), pages 874-883.
  10. Xie, Yue & Tai, Allen H. & Ching, Wai-Ki & Siu, Tak-Kuen, 2016. "Pricing strategy for a two-echelon supply chain with optimized return effort level," International Journal of Production Economics, Elsevier, vol. 182(C), pages 185-195.
  11. Christian-Oliver Ewald & Roy Nawar & Ruolan Ouyang & Tak Kuen Siu, 2016. "The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1823-1842, December.
  12. Meng, Hui & Zhou, Ming & Siu, Tak Kuen, 2016. "Optimal reinsurance policies with two reinsurers in continuous time," Economic Modelling, Elsevier, vol. 59(C), pages 182-195.
  13. Robert J. Elliott & Tak Kuen Siu, 2016. "Pricing regime-switching risk in an HJM interest rate environment," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1791-1800, December.
  14. Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming, 2015. "Pricing annuity guarantees under a double regime-switching model," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 62-78.
  15. Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming, 2015. "Valuing commodity options and futures options with changing economic conditions," Economic Modelling, Elsevier, vol. 51(C), pages 524-533.
  16. Tak Kuen Siu, 2015. "A Stochastic Flows Approach for Asset Allocation with Hidden Economic Environment," International Journal of Stochastic Analysis, Hindawi, vol. 2015, pages 1-11, January.
  17. Robert J. Elliott & Leunglung Chan & Tak Kuen Siu, 2015. "A Dupire Equation For A Regime-Switching Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(04), pages 1-13.
  18. Robert Elliott & Tak Siu, 2015. "Asset Pricing Using Trading Volumes in a Hidden Regime-Switching Environment," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(2), pages 133-149, May.
  19. Huang, Ximin & Gu, Jia-Wen & Ching, Wai-Ki & Siu, Tak-Kuen, 2014. "Impact of secondary market on consumer return policies and supply chain coordination," Omega, Elsevier, vol. 45(C), pages 57-70.
  20. Tak Kuen Siu, 2014. "Integration by Parts and Martingale Representation for a Markov Chain," Abstract and Applied Analysis, Hindawi, vol. 2014, pages 1-11, June.
  21. Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming, 2014. "Pricing foreign equity options with regime-switching," Economic Modelling, Elsevier, vol. 37(C), pages 296-305.
  22. Yang Shen & Kun Fan & Tak Kuen Siu, 2014. "Option Valuation Under a Double Regime‐Switching Model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(5), pages 451-478, May.
  23. Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2014. "On reduced-form intensity-based model with ‘trigger’ events," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 65(3), pages 331-339, March.
  24. Meng, Hui & Siu, Tak Kuen & Yang, Hailiang, 2013. "Optimal dividends with debts and nonlinear insurance risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 110-121.
  25. Fard, Farzad Alavi & Siu, Tak Kuen, 2013. "Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 712-721.
  26. Ewald, Christian-Oliver & Nawar, Roy & Siu, Tak Kuen, 2013. "Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance," Energy Economics, Elsevier, vol. 36(C), pages 97-107.
  27. Farzad Fard & Tak Siu, 2013. "Pricing and managing risks of European-style options in a Markovian regime-switching binomial model," Annals of Finance, Springer, vol. 9(3), pages 421-438, August.
  28. Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2013. "On pricing basket credit default swaps," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1845-1854, December.
  29. Shen, Yang & Siu, Tak Kuen, 2013. "Longevity bond pricing under stochastic interest rate and mortality with regime-switching," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 114-123.
  30. Robert J. Elliott & Tak Kuen Siu, 2013. "Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes," Applied Mathematical Finance, Taylor & Francis Journals, vol. 20(1), pages 1-25, March.
  31. Shen, Yang & Siu, Tak Kuen, 2013. "Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 757-768.
  32. Shen, Yang & Siu, Tak Kuen, 2013. "Pricing bond options under a Markovian regime-switching Hull–White model," Economic Modelling, Elsevier, vol. 30(C), pages 933-940.
  33. Tak Siu, 2012. "A BSDE approach to risk-based asset allocation of pension funds with regime switching," Annals of Operations Research, Springer, vol. 201(1), pages 449-473, December.
  34. Shen, Yang & Siu, Tak Kuen, 2012. "Asset allocation under stochastic interest rate with regime switching," Economic Modelling, Elsevier, vol. 29(4), pages 1126-1136.
  35. Eric Fung & Tak Siu, 2012. "A Flexible Markov Chain Approach for Multivariate Credit Ratings," Computational Economics, Springer;Society for Computational Economics, vol. 39(2), pages 135-143, February.
  36. Robert J. Elliott & John W. Lau & Hong Miao & Tak Kuen Siu, 2012. "Viterbi-Based Estimation for Markov Switching GARCH Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(3), pages 219-231, August.
  37. Robert J. Elliott & Tak Kuen Siu, 2012. "Attainable Contingent Claims In A Markovian Regime-Switching Market," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-19.
  38. Hui Meng & Tak Kuen Siu, 2011. "Impulse Control of Proportional Reinsurance with Constraints," International Journal of Stochastic Analysis, Hindawi, vol. 2011, pages 1-13, August.
  39. Huang, Ximin & Choi, Sin-Man & Ching, Wai-Ki & Siu, Tak-Kuen & Huang, Min, 2011. "On supply chain coordination for false failure returns: A quantity discount contract approach," International Journal of Production Economics, Elsevier, vol. 133(2), pages 634-644, October.
  40. Tak Kuen Siu, 2011. "Long-term strategic asset allocation with inflation risk and regime switching," Quantitative Finance, Taylor & Francis Journals, vol. 11(10), pages 1565-1580.
  41. Meng, Hui & Siu, Tak Kuen, 2011. "On optimal reinsurance, dividend and reinvestment strategies," Economic Modelling, Elsevier, vol. 28(1-2), pages 211-218, January.
  42. Alexandru Badescu & Robert J. Elliott & Reg Kulperger & Jarkko Miettinen & Tak Kuen Siu, 2011. "A Comparison Of Pricing Kernels For Garch Option Pricing With Generalized Hyperbolic Distributions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(05), pages 669-708.
  43. Tak Kuen Siu & Eric S. Fung & Michael K. Ng, 2011. "Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(6), pages 473-490, March.
  44. Eric S. Fung & Kin Lam & Tak-Kuen Siu & Wing-Keung Wong, 2011. "A Pseudo-Bayesian Model for Stock Returns In Financial Crises," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 4(1), pages 1-31, December.
  45. Robert J. Elliott & Tak Kuen Siu & Alex Badescu, 2011. "Bond valuation under a discrete-time regime-switching term-structure model and its continuous-time extension," Managerial Finance, Emerald Group Publishing, vol. 37(11), pages 1025-1047, September.
  46. Tak Kuen Siu, 2011. "Regime-Switching Risk: To Price or Not to Price?," International Journal of Stochastic Analysis, Hindawi, vol. 2011, pages 1-14, December.
  47. Elliott, Robert J. & Siu, Tak Kuen & Badescu, Alexandru, 2011. "On pricing and hedging options in regime-switching models with feedback effect," Journal of Economic Dynamics and Control, Elsevier, vol. 35(5), pages 694-713, May.
  48. Robert Elliott & Tak Kuen Siu, 2010. "A stochastic differential game for optimal investment of an insurer with regime switching," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 365-380.
  49. Jonathan Wylie & Qiang Zhang & Tak Kuen Siu, 2010. "Can expected shortfall and Value-at-Risk be used to statically hedge options?," Quantitative Finance, Taylor & Francis Journals, vol. 10(6), pages 575-583.
  50. Tak Kuen Siu, 2010. "A Markov Regime-Switching Marked Point Process for Short-Rate Analysis with Credit Risk," International Journal of Stochastic Analysis, Hindawi, vol. 2010, pages 1-18, December.
  51. Elliott, Robert J. & Siu, Tak Kuen & Badescu, Alex, 2010. "On mean-variance portfolio selection under a hidden Markovian regime-switching model," Economic Modelling, Elsevier, vol. 27(3), pages 678-686, May.
  52. Liew, Chuin Ching & Siu, Tak Kuen, 2010. "A hidden Markov regime-switching model for option valuation," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 374-384, December.
  53. Badescu, Alex & Elliott, Robert J. & Siu, Tak Kuen, 2009. "Esscher transforms and consumption-based models," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 337-347, December.
  54. Robert Elliott & Tak Kuen Siu, 2009. "On Markov-modulated Exponential-affine Bond Price Formulae," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(1), pages 1-15.
  55. Zhang, Xin & Siu, Tak Kuen, 2009. "Optimal investment and reinsurance of an insurer with model uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 81-88, August.
  56. John Lau & Tak Siu, 2008. "Pricing Risky Debts Under a Markov-modudated Merton Model with Completely Random Measures," Computational Economics, Springer;Society for Computational Economics, vol. 31(3), pages 255-288, April.
  57. Lau, John W. & Siu, Tak Kuen, 2008. "On option pricing under a completely random measure via a generalized Esscher transform," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 99-107, August.
  58. Siu, Tak Kuen, 2008. "A game theoretic approach to option valuation under Markovian regime-switching models," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1146-1158, June.
  59. Robert Elliott & Tak Siu & Leunglung Chan, 2008. "A PDE approach for risk measures for derivatives with regime switching," Annals of Finance, Springer, vol. 4(1), pages 55-74, January.
  60. Tak Kuen Siu & John W. Lau & Hailiang Yang, 2008. "Pricing Participating Products under a Generalized Jump-Diffusion Model," International Journal of Stochastic Analysis, Hindawi, vol. 2008, pages 1-30, July.
  61. Siu, Tak Kuen & Yang, Hailiang & Lau, John W., 2008. "Pricing currency options under two-factor Markov-modulated stochastic volatility models," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 295-302, December.
  62. Tak-Kuen Siu & Wai-Ki Ching & Eric Fung & Michael Ng, 2007. "Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 425-425, May.
  63. Robert Elliott & Tak Kuen Siu & Leunglung Chan, 2007. "Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(1), pages 41-62.
  64. Tak Siu & John Lau & Hailiang Yang, 2007. "On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(3), pages 255-275, September.
  65. Lau, John W. & Siu, Tak Kuen & Yang, Hailiang, 2006. "On Bayesian Mixture Credibility," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 36(02), pages 573-588, November.
  66. Robert J. Elliott & Tak Kuen Siu & Leunglung Chan, 2006. "Option Pricing For Garch Models With Markov Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(06), pages 825-841.
  67. Robert Elliott & Leunglung Chan & Tak Siu, 2006. "Risk measures for derivatives with Markov-modulated pure jump processes," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(2), pages 129-149, June.
  68. Tak-Kuen Siu & Wai-Ki Ching & S. Eric Fung & Michael Ng, 2005. "On a multivariate Markov chain model for credit risk measurement," Quantitative Finance, Taylor & Francis Journals, vol. 5(6), pages 543-556.
  69. Tak-Kuen Siu & Wai-Ki Ching & Eric Fung & Michael Ng, 2005. "Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models," Computational Economics, Springer;Society for Computational Economics, vol. 26(3), pages 69-102, November.
  70. Siu, Tak Kuen, 2005. "Fair valuation of participating policies with surrender options and regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 533-552, December.
  71. Robert J. Elliott & Leunglung Chan & Tak Kuen Siu, 2005. "Option pricing and Esscher transform under regime switching," Annals of Finance, Springer, vol. 1(4), pages 423-432, October.
  72. Tak Siu & Howell Tong & Hailiang Yang, 2004. "On Bayesian Value at Risk: From Linear to Non-Linear Portfolios," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(2), pages 161-184, June.
  73. Wing Hoe Woo & Tak Kuen Siu, 2004. "A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach," Applied Mathematical Finance, Taylor & Francis Journals, vol. 11(2), pages 165-186.
  74. H. Yang & T. K. Siu, 2001. "Coherent Risk Measures For Derivatives Under Black–Scholes Economy," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(05), pages 819-835.
  75. Tak Kuen Siu & Hailiang Yang, 2000. "A PDE approach to risk measures of derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(3), pages 211-228.
  76. Siu, Tak Kuen & Yang, Hailiang, 1999. "Subjective risk measures: Bayesian predictive scenarios analysis," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 157-169, November.

Books

  1. Wai-Ki Ching & Ximin Huang & Michael K. Ng & Tak-Kuen Siu, 2013. "Markov Chains," International Series in Operations Research and Management Science, Springer, edition 2, number 978-1-4614-6312-2, December.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (4) 2013-01-12 2013-01-12 2016-03-29 2017-11-26
  2. NEP-MST: Market Microstructure (3) 2016-01-03 2016-02-04 2016-07-23
  3. NEP-BAN: Banking (2) 2013-01-12 2016-03-29
  4. NEP-CBA: Central Banking (1) 2012-04-23
  5. NEP-COM: Industrial Competition (1) 2016-01-03
  6. NEP-ECM: Econometrics (1) 2017-11-26
  7. NEP-FMK: Financial Markets (1) 2012-04-23
  8. NEP-ORE: Operations Research (1) 2017-11-26

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