Tak Kuen Siu - Citegraph

Author Info

Name	Affiliation	Papers
TAK KUEN SIU	Department of Applied Finance and Actuarial Studies, Faculty of Business and Economics, Macquarie University, Sydney, Australia	40
Collaborators	Citations	PageRank
33	114	20.25
Referers	Referees	References
270	215	130

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100270

Publications (40 rows)

Collaborators (33 rows)

Referers (100 rows)

Referees (100 rows)

Title	Citations	PageRank	Year
Optimal Pairs Trading With Dynamic Mean-Variance Objective	0	0.34	2021
Fuzzy hidden Markov-switching portfolio selection with capital gain tax	1	0.35	2020
Singular dividend optimization for a linear diffusion model with time-inconsistent preferences	0	0.34	2020
Continuous-time optimal reinsurance strategy with nontrivial curved structures.	0	0.34	2019
A martingale approach for asset allocation with derivative security and hidden economic risk.	0	0.34	2019
On infectious model for dependent defaults.	0	0.34	2017
A functional Itô's calculus approach to convex risk measures with jump diffusion.	1	0.37	2016
Optimal insurance risk control with multiple reinsurers.	2	0.47	2016
Backward stochastic difference equations for dynamic convex risk measures on a binomial tree	2	0.46	2015
On pricing barrier options with regime switching	0	0.34	2014
Filtering and change point estimation for hidden Markov-modulated Poisson processes.	3	0.45	2014
On reduced-form intensity-based model with 'trigger' events.	1	0.36	2014
A Double HMM approach to Altman Z-scores and credit ratings	9	0.57	2014
Filtering a Double Threshold Model With Regime Switching	0	0.34	2013
A Stochastic Maximum Principle For Backward Control Systems With Random Default Time	0	0.34	2013
On modeling credit defaults: A probabilistic Boolean network approach.	8	0.52	2013
Option valuation under a regime-switching constant elasticity of variance process	1	0.40	2013
Option valuation by a self-exciting threshold binomial model.	1	0.39	2013
Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching.	2	0.47	2013
Credit portfolio management using two-level particle swarm optimization	7	0.58	2013
A BSDE approach to risk-based asset allocation of pension funds with regime switching.	2	0.40	2012
Markovian forward-backward stochastic differential equations and stochastic flows.	1	0.39	2012
Stochastic differential portfolio games for an insurer in a jump-diffusion risk process.	4	0.77	2012
A decomposition method for optimal portfolios with regime-switching and risk constraint.	0	0.34	2012
Risk measures and behaviors for bonds under stochastic interest rate models.	0	0.34	2012
A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance	16	1.58	2012
Optimal Mixed Impulse-Equity Insurance Control Problem With Reinsurance	4	1.00	2011
On filtering and estimation of a threshold stochastic volatility model	0	0.34	2011
Control of discrete-time HMM partially observed under fractional Gaussian noises	1	0.41	2011
An M-ary detection approach for asset allocation.	0	0.34	2011
A distributed decision making model for risk management of virtual enterprise	8	0.57	2011
Characteristic functions and option valuation in a Markov chain market	0	0.34	2011
A BSDE approach to a risk-based optimal investment of an insurer	6	0.56	2011
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy	12	1.36	2010
Filtering a Markov Modulated Random Measure	1	0.40	2010
Optimal portfolios with regime switching and value-at-risk constraint	12	1.14	2010
Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows	4	0.67	2010
Portfolio Selection in the Enlarged Markovian Regime-Switching Market	4	0.51	2010
A Continuous-Time Hidden Markov Model For Mean-Variance Portfolio Optimization	0	0.34	2009
Insurance Claims Modulated By A Hidden Marked Point Process	1	0.38	2007