Browsing by Author Siu, TK

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TitleAuthor(s)Issue DateViews
 
2004
105
On infectious models for dependent default risk
Proceeding/Conference:Proceedings of the International Joint Conference on Computational Sciences and Optimization, CSO 2011
2011
44
 
On Optimal Cash Management under a Stochastic Volatility Model
Journal:East Asian Journal on Applied Mathematics
2013
63
 
2004
53
 
2008
52
 
2011
113
 
2007
78
 
2013
34
 
Optimal insurance risk control with multiple reinsurers
Journal:Journal of Computational and Applied Mathematics
2016
42
 
2010
Optimal submission problem in a limit order book with VaR constraints
Proceeding/Conference:International Joint Conference on Computational Sciences and Optimization Proceedings
2012
69
 
Option pricing when the regime-switching risk is priced
Journal:Acta Mathematicae Applicatae Sinica
2009
71
 
Option valuation by a self-exciting threshold binomial model
Journal:Mathematical and Computer Modelling
2013
83
Option valuation under a multivariate Markov chain model
Proceeding/Conference:3rd International Joint Conference on Computational Sciences and Optimization, CSO 2010: Theoretical Development and Engineering Practice
2010
56
 
A PDE Approach To Multivariate Risk Theory
Book:Stochastic Analysis and Applications to Finance: Essays in Honour of Jia-An Yan
2012
67
 
2008
 
Pricing exotic options under a high-order markovian regime switching model
Journal:Journal of Applied Mathematics and Decision Sciences
2007
57
 
Pricing participating products under a generalized jump-diffusion model
Journal:Journal of Applied Mathematics and Stochastic Analysis
2008
 
A real option approach to optimal inventory management of retail products
Journal:Journal of Industrial and Management Optimization
2012
209
 
2002
72