Zobrazeno 1 - 10
of 308
pro vyhledávání: '"Tak Kuen Siu"'
Autor:
Yang Shen, Tak Kuen Siu
Publikováno v:
Risks, Vol 6, Iss 1, p 14 (2018)
This paper presents a novel risk-based approach for an optimal asset allocation problem with default risk, where a money market account, an ordinary share and a defaultable security are investment opportunities in a general non-Markovian economy inco
Externí odkaz:
https://doaj.org/article/20057237cfd941488d7250a4b2606c99
Autor:
Tak Kuen Siu
Publikováno v:
Abstract and Applied Analysis, Vol 2014 (2014)
Integration-by-parts formulas for functions of fundamental jump processes relating to a continuous-time, finite-state Markov chain are derived using Bismut's change of measures approach to Malliavin calculus. New expressions for the integrands in sto
Externí odkaz:
https://doaj.org/article/21412f6d1a454d129001581b11bb4d4f
This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collabor
Autor:
Tak Kuen Siu
Publikováno v:
Journal of Industrial and Management Optimization. 19:4726-4739
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::00e21dd757ee267fc340e7db95ebb276
https://doi.org/10.3934/jimo.2022147
https://doi.org/10.3934/jimo.2022147
Autor:
Robert J. Elliott, Tak Kuen Siu
Publikováno v:
Journal of Futures Markets.
Refereed/Peer-reviewed The hedging of European contingent claims in a continuous-time hidden Markov-regime-switching diffusion model is discussed using stochastic flows of diffeomorphisms and Monte-Carlo simulations. Specifically, the price dynamics
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::368a770d322c340fd08f5aaa4194e52e
https://doi.org/10.1002/fut.22422
https://doi.org/10.1002/fut.22422
Autor:
Tak Kuen Siu
Publikováno v:
Empirical Economics. 64:505-537
This paper proposes a two-stage approach to parametric nonlinear time series modelling in discrete time with the objective of incorporating uncertainty or misspecification in the conditional mean and volatility. At the first stage, a reference or app
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fe8af7f2e774cc4c4663be0f102b2438
https://doi.org/10.1007/s00181-022-02255-z
https://doi.org/10.1007/s00181-022-02255-z
Autor:
Tak Kuen Siu, Robert Elliott
Publikováno v:
The Journal of Derivatives. 29:106-123
Refereed/Peer-reviewed The valuation of an American-style contingent claim is discussed in a hidden Markov regime-switching jump-diffusion market, where the evolution of a hidden economic state process over time is described by a continuous-time, fin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::954e574e54f4b77db29231c439bdab88
https://doi.org/10.3905/jod.2022.1.147
https://doi.org/10.3905/jod.2022.1.147
Publikováno v:
Insurance: Mathematics and Economics. 100:1-29
This paper investigates a combined optimal risk exposure and dividend distribution decision making problem in presence of model uncertainty. In the context of model uncertainty, the decision maker regards the reference model (fitted by observed infor
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c63a70c951acde8191f24163973b3733
https://doi.org/10.1016/j.insmatheco.2021.03.029
https://doi.org/10.1016/j.insmatheco.2021.03.029
Publikováno v:
North American Actuarial Journal. 26:383-402
This article aims to investigate, from an academic perspective, a potential application of dynamic fund protection to protect a mortgagor of a property against the downside risk due to falling prop...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a0c55b41dd324e715c3e9fd09ca6c4c2
https://doi.org/10.1080/10920277.2021.1948430
https://doi.org/10.1080/10920277.2021.1948430
Publikováno v:
Scandinavian Actuarial Journal. 2021:832-865
In this paper, we aim to study optimal decisions on consumption, investment and purchasing life insurance of a household with two consecutive generations, say parents and children. A continuous-time model featuring the impacts of labor income uncerta
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c7c525f098af15ae950259caccfa6bc7
https://doi.org/10.1080/03461238.2021.1886981
https://doi.org/10.1080/03461238.2021.1886981