Tak Kuen Siu

According to our database, Tak Kuen Siu authored at least 51 papers between 2007 and 2021.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2021

Optimal pairs trading with dynamic mean-variance objective.

Dong-Mei Zhu, Jia-Wen Gu, Feng-Hui Yu, Tak Kuen Siu, Wai-Ki Ching

Math. Methods Oper. Res., 2021

2020

Fuzzy hidden Markov-switching portfolio selection with capital gain tax.

Sini Guo, Wai-Ki Ching, Wai-Keung Li, Tak Kuen Siu, Zhiwen Zhang

Expert Syst. Appl., 2020

Singular dividend optimization for a linear diffusion model with time-inconsistent preferences.

Jinxia Zhu, Tak Kuen Siu, Hailiang Yang

Eur. J. Oper. Res., 2020

2019

A martingale approach for asset allocation with derivative security and hidden economic risk.

Tak Kuen Siu, Jinxia Zhu, Hailiang Yang

J. Appl. Probab., 2019

Continuous-time optimal reinsurance strategy with nontrivial curved structures.

Hui Meng, Pu Liao, Tak Kuen Siu

Appl. Math. Comput., 2019

2017

On infectious model for dependent defaults.

Wai-Ki Ching, Jia-Wen Gu, Xiaoyue Li, Tak Kuen Siu, Harry Zheng

Risk Decis. Anal., 2017

A Higher-order interactive hidden Markov model and its applications.

Dong-Mei Zhu, Wai-Ki Ching, Robert J. Elliott, Tak Kuen Siu, Lianmin Zhang

OR Spectr., 2017

A note on optimal insurance risk control with multiple reinsurers.

Hui Meng, Tak Kuen Siu, Hailiang Yang

J. Comput. Appl. Math., 2017

2016

Optimal insurance risk control with multiple reinsurers.

Hui Meng, Tak Kuen Siu, Hailiang Yang

J. Comput. Appl. Math., 2016

A functional Itô's calculus approach to convex risk measures with jump diffusion.

Tak Kuen Siu

Eur. J. Oper. Res., 2016

Optimal portfolios with maximum Value-at-Risk constraint under a hidden Markovian regime-switching model.

Dong-Mei Zhu, Yue Xie, Wai-Ki Ching, Tak Kuen Siu

Autom., 2016

2015

Backward stochastic difference equations for dynamic convex risk measures on a binomial tree.

Robert J. Elliott, Tak Kuen Siu, Samuel N. Cohen

J. Appl. Probab., 2015

2014

Mean-variance portfolio selection under a constant elasticity of variance model.

Yang Shen, Xin Zhang, Tak Kuen Siu

Oper. Res. Lett., 2014

On reduced-form intensity-based model with 'trigger' events.

Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu, Harry Zheng

J. Oper. Res. Soc., 2014

On pricing barrier options with regime switching.

Robert J. Elliott, Tak Kuen Siu, Leunglung Chan

J. Comput. Appl. Math., 2014

A Double HMM approach to Altman Z-scores and credit ratings.

Robert J. Elliott, Tak Kuen Siu, Eric S. Fung

Expert Syst. Appl., 2014

Filtering and change point estimation for hidden Markov-modulated Poisson processes.

Robert J. Elliott, Tak Kuen Siu

Appl. Math. Lett., 2014

2013

Filtering a Double Threshold Model With Regime Switching.

Robert J. Elliott, Tak Kuen Siu, John W. Lau

IEEE Trans. Autom. Control., 2013

On modeling credit defaults: A probabilistic Boolean network approach.

Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu, Harry Zheng

Risk Decis. Anal., 2013

Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching.

Yang Shen, Tak Kuen Siu

Oper. Res. Lett., 2013

Option valuation by a self-exciting threshold binomial model.

Fei Lung Yuen, Tak Kuen Siu, Hailiang Yang

Math. Comput. Model., 2013

Credit portfolio management using two-level particle swarm optimization.

Fuqiang Lu, Min Huang, Wai-Ki Ching, Tak Kuen Siu

Inf. Sci., 2013

A stochastic maximum principle for backward control systems with random default time.

Yang Shen, Tak Kuen Siu

Int. J. Control, 2013

Option valuation under a regime-switching constant elasticity of variance process.

Robert J. Elliott, Leunglung Chan, Tak Kuen Siu

Appl. Math. Comput., 2013

2012

A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance.

Xin Zhang, Robert J. Elliott, Tak Kuen Siu

SIAM J. Control. Optim., 2012

Markovian forward-backward stochastic differential equations and stochastic flows.

Robert J. Elliott, Tak Kuen Siu

Syst. Control. Lett., 2012

A decomposition method for optimal portfolios with regime-switching and risk constraint.

Jingzhen Liu, Ka Fai Cedric Yiu, Tak Kuen Siu

Risk Decis. Anal., 2012

Stochastic differential portfolio games for an insurer in a jump-diffusion risk process.

Xiang Lin, Chunhong Zhang, Tak Kuen Siu

Math. Methods Oper. Res., 2012

Risk measures and behaviors for bonds under stochastic interest rate models.

Na Song, Tak Kuen Siu, Farzad Alavi Fard, Wai-Ki Ching, Eric S. Fung

Math. Comput. Model., 2012

A BSDE approach to risk-based asset allocation of pension funds with regime switching.

Tak Kuen Siu

Ann. Oper. Res., 2012

Optimal Submission Problem in a Limit Order Book with VaR Constraints.

Na Song, Wai-Ki Ching, Tak Kuen Siu, Ka Fai Cedric Yiu

Proceedings of the Fifth International Joint Conference on Computational Sciences and Optimization, 2012

Asset Allocation under Regime-Switching Models.

Na Song, Wai-Ki Ching, Dong-Mei Zhu, Tak Kuen Siu

Proceedings of the Fifth International Conference on Business Intelligence and Financial Engineering, 2012

2011

Optimal Mixed Impulse-Equity Insurance Control Problem With Reinsurance.

Hui Meng, Tak Kuen Siu

SIAM J. Control. Optim., 2011

Control of discrete-time HMM partially observed under fractional Gaussian noises.

Robert J. Elliott, Tak Kuen Siu

Syst. Control. Lett., 2011

A Markovian infectious model for dependent default risk.

Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu

Int. J. Intell. Eng. Informatics, 2011

A distributed decision making model for risk management of virtual enterprise.

Min Huang, Fuqiang Lu, Wai-Ki Ching, Tak Kuen Siu

Expert Syst. Appl., 2011

An M-ary detection approach for asset allocation.

Robert J. Elliott, Tak Kuen Siu

Comput. Math. Appl., 2011

Characteristic functions and option valuation in a Markov chain market.

Robert J. Elliott, Chuin Ching Liew, Tak Kuen Siu

Comput. Math. Appl., 2011

A BSDE approach to a risk-based optimal investment of an insurer.

Robert J. Elliott, Tak Kuen Siu

Autom., 2011

On filtering and estimation of a threshold stochastic volatility model.

Robert J. Elliott, Chuin Ching Liew, Tak Kuen Siu

Appl. Math. Comput., 2011

2010

Filtering a Markov Modulated Random Measure.

Robert J. Elliott, Tak Kuen Siu, Hailiang Yang

IEEE Trans. Autom. Control., 2010

Portfolio Selection in the Enlarged Markovian Regime-Switching Market.

Xin Zhang, Tak Kuen Siu, Qingbin Meng

SIAM J. Control. Optim., 2010

A Markovian network model for default risk management.

Wai-Ki Ching, Ho-Yin Leung, Hao Jiang, Liang Sun, Tak Kuen Siu

Int. J. Intell. Eng. Informatics, 2010

Optimal portfolios with regime switching and value-at-risk constraint.

Ka Fai Cedric Yiu, Jingzhen Liu, Tak Kuen Siu, Wai-Ki Ching

Autom., 2010

On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy.

Robert J. Elliott, Tak Kuen Siu

Ann. Oper. Res., 2010

Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows.

Tak Kuen Siu

Appl. Math. Comput., 2010

2009

A high-order Markov-switching model for risk measurement.

Tak Kuen Siu, Wai-Ki Ching, Eric S. Fung, Michael K. Ng, Xun Li

Comput. Math. Appl., 2009

A Continuous-time Hidden Markov Model for Mean-variance Portfolio Optimization.

Robert J. Elliott, Tak Kuen Siu

Proceedings of the International Symposium on Circuits and Systems (ISCAS 2009), 2009

2008

A Markovian regime-switching stochastic differential game for portfolio risk minimization.

Robert J. Elliott, Tak Kuen Siu

Proceedings of the American Control Conference, 2008

2007

Pricing Exotic Options under a High-Order Markovian Regime Switching Model.

Wai-Ki Ching, Tak Kuen Siu, Limin Li

Adv. Decis. Sci., 2007

Insurance Claims Modulated by a Hidden Marked Point Process.

Robert J. Elliott, Tak Kuen Siu, Hailiang Yang

Proceedings of the American Control Conference, 2007