The following pages link to Tak Kuen Siu (Q274850):
Displaying 50 items.
- A stochastic flows approach for asset allocation with hidden economic environment (Q274851) (← links)
- Optimal insurance risk control with multiple reinsurers (Q289286) (← links)
- A functional Itô's calculus approach to convex risk measures with jump diffusion (Q322579) (← links)
- Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model (Q340669) (← links)
- A self-exciting threshold jump-diffusion model for option valuation (Q343990) (← links)
- Markov chains. Models, algorithms and applications (Q358995) (← links)
- Markovian forward-backward stochastic differential equations and stochastic flows (Q360694) (← links)
- Optimal portfolio in a continuous-time self-exciting threshold model (Q380475) (← links)
- A Bayesian approach for optimal reinsurance and investment in a diffusion model (Q383414) (← links)
- The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem (Q392462) (← links)
- Portfolio risk minimization and differential games (Q425781) (← links)
- A flexible Markov chain approach for multivariate credit ratings (Q431910) (← links)
- Explicit formulas for pricing of callable mortgage-backed securities in a case of prepayment rate negatively correlated with interest rates (Q432394) (← links)
- Filtering a nonlinear stochastic volatility model (Q437251) (← links)
- Option valuation by a self-exciting threshold binomial model (Q462735) (← links)
- Pricing and managing risks of European-style options in a Markovian regime-switching binomial model (Q470671) (← links)
- Strategic asset allocation under a fractional hidden Markov model (Q479173) (← links)
- Will banning naked CDS impact bond prices? (Q481373) (← links)
- Stability of marketable payoffs with long-term assets (Q481378) (← links)
- Trade-off between robust risk measurement and market principles (Q493244) (← links)
- Credit portfolio management using two-level particle swarm optimization (Q497183) (← links)
- Continuous-time perpetuities and time reversal of diffusions (Q503390) (← links)
- A note on optimal insurance risk control with multiple reinsurers (Q515748) (← links)
- Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations (Q523969) (← links)
- Control of discrete-time HMM partially observed under fractional Gaussian noises (Q539919) (← links)
- Pricing and hedging contingent claims with regime switching risk (Q548447) (← links)
- A Markov regime-switching marked point process for short-rate analysis with credit risk (Q611051) (← links)
- A BSDE approach to a risk-based optimal investment of an insurer (Q627068) (← links)
- On pricing and hedging options in regime-switching models with feedback effect (Q633323) (← links)
- Impulse control of proportional reinsurance with constraints (Q638026) (← links)
- Utility-based indifference pricing in regime-switching models (Q640157) (← links)
- Characteristic functions and option valuation in a Markov chain market (Q651452) (← links)
- Regime-switching risk: to price or not to price? (Q655231) (← links)
- A BSDE approach to Nash equilibrium payoffs for stochastic differential games with nonlinear cost functionals (Q655329) (← links)
- On filtering and estimation of a threshold stochastic volatility model (Q658656) (← links)
- Optimal investment and reinsurance of an insurer with model uncertainty (Q659098) (← links)
- Esscher transforms and consumption-based models (Q659151) (← links)
- American options and callable bonds under stochastic interest rates and endogenous bankruptcy (Q660162) (← links)
- An M-ary detection approach for asset allocation (Q660845) (← links)
- A hidden Markov regime-switching model for option valuation (Q661263) (← links)
- Stochastic models in life insurance. Translation from the 2nd German edition. (Q665529) (← links)
- Option pricing and Esscher transform under regime switching (Q665552) (← links)
- A PDE approach for risk measures for derivatives with regime switching (Q665800) (← links)
- A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows (Q681793) (← links)
- On a Markov chain approximation method for option pricing with regime switching (Q747024) (← links)
- Trading strategy with stochastic volatility in a limit order book market (Q777935) (← links)
- Fair valuation of participating policies with surrender options and regime switching (Q817287) (← links)
- Modeling default data via an interactive hidden Markov model (Q846148) (← links)
- Pricing risky debts under a Markov-modulated Merton model with completely random measures (Q928153) (← links)
- On valuing participating life insurance contracts with conditional heteroscedasticity (Q928174) (← links)
