Mei Choi Chiu

Available identifiers

zbMath Open chiu.mei-choiWikidataQ83422023 ScholiaQ83422023MaRDI QIDQ319795

List of research outcomes

Publication	Date of Publication	Type
Optimal expansion of business opportunity	2023-07-10	Paper
Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate	2023-03-13	Paper
Pairs trading under delayed cointegration	2022-09-30	Paper
Pairs trading with illiquidity and position limits	2021-11-12	Paper
FFT-network for bivariate Lévy option pricing	2021-05-04	Paper
Volterra mortality model: actuarial valuation and risk management with long-range dependence	2021-03-17	Paper
MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS	2021-02-10	Paper
Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy	2020-02-14	Paper
Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration	2019-11-22	Paper
Optimal investment for insurers with correlation risk: risk aversion and investment horizon	2019-09-25	Paper
Robust dynamic pairs trading with cointegration	2019-06-11	Paper
Optimal investment for insurers with the extended CIR interest rate model	2019-02-14	Paper
Dynamic safety first expected utility model	2018-07-25	Paper
FFT network for interest rate derivatives with Lévy processes	2017-12-12	Paper
Dual-curve Hull-White interest rate model with stochastic volatility	2017-12-12	Paper
Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration	2016-12-14	Paper
Commodity derivatives pricing with cointegration and stochastic covariances	2016-10-06	Paper
Dynamic cointegrated pairs trading: mean-variance time-consistent strategies	2015-08-19	Paper
Mean-variance asset-liability management with asset correlation risk and insurance liabilities	2015-02-03	Paper
Time-consistent mean-variance hedging of longevity risk: effect of cointegration	2015-01-28	Paper
Mean-variance asset-liability management: cointegrated assets and insurance liability	2014-07-27	Paper
Mean-variance portfolio selection with correlation risk	2014-07-17	Paper
Optimal investment for an insurer with cointegrated assets: CRRA utility	2014-07-16	Paper
Homotopy analysis method for boundary-value problem of turbo warrant pricing under stochastic volatility	2013-09-19	Paper
Mean-variance principle of managing cointegrated risky assets and random liabilities	2013-06-24	Paper
Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility	2012-07-13	Paper
Mean-variance portfolio selection of cointegrated assets	2011-07-13	Paper
Asset-liability management under the safety-first principle	2010-02-15	Paper
Asset and liability management under a continuous-time mean-variance optimization framework	2007-01-09	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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