Insurance Claims Modulated by a Hidden Marked Point Process. - Robert J. Elliott; Tak Kuen Siu; Hailiang Yang (ACC, 2007)

Pricing Exotic Options under a High-Order Markovian Regime Switching Model. - Wai-Ki Ching; Tak Kuen Siu; Limin Li (Adv. Decis. Sci., 2007)

A Markovian regime-switching stochastic differential game for portfolio risk minimization. - Robert J. Elliott; Tak Kuen Siu (ACC, 2008)

A Continuous-time Hidden Markov Model for Mean-variance Portfolio Optimization. - Robert J. Elliott; Tak Kuen Siu (ISCAS, 2009)

A high-order Markov-switching model for risk measurement. - Tak Kuen Siu; Wai-Ki Ching; Eric S. Fung; Michael K. Ng 001; Xun Li 002 (Comput. Math. Appl., 2009)

Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows. - Tak Kuen Siu (Appl. Math. Comput., 2010)

On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy. - Robert J. Elliott; Tak Kuen Siu (Ann. Oper. Res., 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)

A Markovian network model for default risk management. - Wai-Ki Ching; Ho-Yin Leung; Hao Jiang 009; Liang Sun; Tak Kuen Siu (Int. J. Intell. Eng. Informatics, 2010)

Portfolio Selection in the Enlarged Markovian Regime-Switching Market. - Xin Zhang 012; Tak Kuen Siu; Qingbin Meng (SIAM J. Control. Optim., 2010)

Filtering a Markov Modulated Random Measure. - Robert J. Elliott; Tak Kuen Siu; Hailiang Yang (IEEE Trans. Autom. Control., 2010)

On filtering and estimation of a threshold stochastic volatility model. - Robert J. Elliott; Chuin Ching Liew; Tak Kuen Siu (Appl. Math. Comput., 2011)

A BSDE approach to a risk-based optimal investment of an insurer. - Robert J. Elliott; Tak Kuen Siu (Autom., 2011)

Characteristic functions and option valuation in a Markov chain market. - Robert J. Elliott; Chuin Ching Liew; Tak Kuen Siu (Comput. Math. Appl., 2011)

An M-ary detection approach for asset allocation. - Robert J. Elliott; Tak Kuen Siu (Comput. Math. Appl., 2011)

A distributed decision making model for risk management of virtual enterprise. - Min Huang 001; Fuqiang Lu; Wai-Ki Ching; Tak Kuen Siu (Expert Syst. Appl., 2011)

A Markovian infectious model for dependent default risk. - Jia-Wen Gu; Wai-Ki Ching; Tak Kuen Siu (Int. J. Intell. Eng. Informatics, 2011)

Control of discrete-time HMM partially observed under fractional Gaussian noises. - Robert J. Elliott; Tak Kuen Siu (Syst. Control. Lett., 2011)

Optimal Mixed Impulse-Equity Insurance Control Problem With Reinsurance. - Hui Meng; Tak Kuen Siu (SIAM J. Control. Optim., 2011)

Asset Allocation under Regime-Switching Models. - Na Song; Wai-Ki Ching; Dong-Mei Zhu; Tak Kuen Siu (BIFE, 2012)

Optimal Submission Problem in a Limit Order Book with VaR Constraints. - Na Song; Wai-Ki Ching; Tak Kuen Siu; Ka Fai Cedric Yiu (CSO, 2012)

A BSDE approach to risk-based asset allocation of pension funds with regime switching. - Tak Kuen Siu (Ann. 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)

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)

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)

Markovian forward-backward stochastic differential equations and stochastic flows. - Robert J. Elliott; Tak Kuen Siu (Syst. Control. Lett., 2012)

A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance. - Xin Zhang 012; Robert J. Elliott; Tak Kuen Siu (SIAM J. Control. Optim., 2012)

Option valuation under a regime-switching constant elasticity of variance process. - Robert J. Elliott; Leunglung Chan; Tak Kuen Siu (Appl. Math. Comput., 2013)

A stochastic maximum principle for backward control systems with random default time. - Yang Shen; Tak Kuen Siu (Int. J. Control, 2013)

Credit portfolio management using two-level particle swarm optimization. - Fuqiang Lu; Min Huang 001; Wai-Ki Ching; Tak Kuen Siu (Inf. Sci., 2013)

Option valuation by a self-exciting threshold binomial model. - Fei Lung Yuen; Tak Kuen Siu; Hailiang Yang (Math. Comput. Model., 2013)

Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching. - Yang Shen; Tak Kuen Siu (Oper. Res. Lett., 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)

Filtering a Double Threshold Model With Regime Switching. - Robert J. Elliott; Tak Kuen Siu; John W. Lau (IEEE Trans. Autom. Control., 2013)

Filtering and change point estimation for hidden Markov-modulated Poisson processes. - Robert J. Elliott; Tak Kuen Siu (Appl. Math. Lett., 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)

On pricing barrier options with regime switching. - Robert J. Elliott; Tak Kuen Siu; Leunglung Chan (J. Comput. Appl. Math., 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)

Mean-variance portfolio selection under a constant elasticity of variance model. - Yang Shen; Xin Zhang 012; Tak Kuen Siu (Oper. Res. Lett., 2014)

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)

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)

A functional Itô's calculus approach to convex risk measures with jump diffusion. - Tak Kuen Siu (Eur. J. Oper. Res., 2016)

Optimal insurance risk control with multiple reinsurers. - Hui Meng; Tak Kuen Siu; Hailiang Yang (J. Comput. Appl. Math., 2016)

A note on optimal insurance risk control with multiple reinsurers. - Hui Meng; Tak Kuen Siu; Hailiang Yang (J. Comput. Appl. Math., 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)

On infectious model for dependent defaults. - Wai-Ki Ching; Jia-Wen Gu; Xiaoyue Li; Tak Kuen Siu; Harry Zheng (Risk Decis. Anal., 2017)

Continuous-time optimal reinsurance strategy with nontrivial curved structures. - Hui Meng; Pu Liao; Tak Kuen Siu (Appl. Math. Comput., 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)

Singular dividend optimization for a linear diffusion model with time-inconsistent preferences. - Jinxia Zhu; Tak Kuen Siu; Hailiang Yang (Eur. J. Oper. Res., 2020)

Fuzzy hidden Markov-switching portfolio selection with capital gain tax. - Sini Guo; Wai-Ki Ching; Wai-Keung Li; Tak Kuen Siu; Zhiwen Zhang 001 (Expert Syst. Appl., 2020)

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)

Investment-consumption optimization with transaction cost and learning about return predictability. - Ning Wang 030; Tak Kuen Siu (Eur. J. Oper. Res., 2024)

Robust reinsurance and investment strategies under principal-agent framework. - Ning Wang 030; Tak Kuen Siu; Kun Fan (Ann. Oper. Res., 2024)