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Tak Kuen Siu

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Personal Details

First Name:Tak Kuen
Middle Name:
Last Name:Siu
Suffix:
RePEc Short-ID:psi241
http://www.ma.hw.ac.uk/~kensiu/
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  1. 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.
  2. 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.
  3. 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.
  4. Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2013. "On Infectious Model for Dependent Defaults," Papers 1301.0186, arXiv.org.
  5. Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2012. "On Pricing Basket Credit Default Swaps," Papers 1204.4025, arXiv.org.
  6. Tak Kuen Siu & Hailiang Yang Unim & John W Lau, 2007. "Option Pricing When the Regime-Switching Risk is Priced," CRIEFF Discussion Papers 0713, Centre for Research into Industry, Enterprise, Finance and the Firm.
  1. 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.
  2. 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.
  3. 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 1550023-1-1.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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, 05.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. Shen, Yang & Siu, Tak Kuen, 2012. "Asset allocation under stochastic interest rate with regime switching," Economic Modelling, Elsevier, vol. 29(4), pages 1126-1136.
  22. 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 1250055-1-1.
  23. 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.
  24. 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 43, December.
  25. 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.
  26. 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, October.
  27. 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.
  28. Meng, Hui & Siu, Tak Kuen, 2011. "On optimal reinsurance, dividend and reinvestment strategies," Economic Modelling, Elsevier, vol. 28(1-2), pages 211-218, January.
  29. 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.
  30. 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.
  31. 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.
  32. 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.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. 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.
  40. 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.
  41. 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.
  42. 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.
  43. 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.
  44. 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.
  45. 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.
  46. 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.
  47. 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.
  48. 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.
  49. 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.
  50. 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.
  51. 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.
  52. 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.
  53. 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.
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 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 (3) 2007-11-24 2013-01-12 2013-01-12. Author is listed
  2. NEP-FMK: Financial Markets (2) 2007-11-24 2012-04-23. Author is listed
  3. NEP-MST: Market Microstructure (2) 2016-01-03 2016-02-04. Author is listed
  4. NEP-BAN: Banking (1) 2013-01-12
  5. NEP-CBA: Central Banking (1) 2012-04-23
  6. NEP-COM: Industrial Competition (1) 2016-01-03
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