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Browsing by Author SIU, TK
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Showing results 1 to 20 of 55
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Title
Author(s)
Issue Date
A Higher-order Interactive Hidden Markov Model And Its Applications
Journal:
OR Spectrum
ZHU, D
Ching, WK
Elliott, R
Siu, TK
Zhang, L
2017
A martingale approach for asset allocation with derivative security and hidden economic risk
Journal:
Journal of Applied Probability
Siu, TK
Zhu, J
Yang, H
2019
A note on optimal insurance risk control with multiple reinsurers
Journal:
Journal of Computational and Applied Mathematics
Meng, H
Siu, TK
Yang, H
2017
A PDE approach to risk measures of derivatives
Journal:
Applied Mathematical Finance
Siu, TK
Yang, H
2000
A Real Option Approach for Investment Opportunity Valuation in High-tech Industry
Journal:
Journal of Industrial and Management Optimization
SONG, N
XIE, Y
Ching, WK
Siu, TK
2017
Asset allocation under regime-switching models
Proceeding/Conference:
International Conference on Business Intelligence and Financial Engineering Proceedings
Song, N
Ching, WK
Zhu, D
Siu, TK
2012
Asset allocation under threshold autoregressive models
Journal:
Applied Stochastic Models in Business and Industry
Song, N
Siu, TK
Ching, WK
Tong, H
Yang, H
2012
Bayesian risk measures for derivatives via random Esscher transform
Journal:
North American Actuarial Journal
Siu, TK
Tong, H
Yang, H
2001
Coherent risk measures for derivatives under Black-Scholes Economy
Yang, H
Siu, TK
2002
Discrete-Time Optimal Asset Allocation under Higher-Order Hidden Markov Model
Journal:
Economic Modelling
Zhu, D
LU, J
Ching, WK
Siu, TK
2017
A distributed decision making model for risk management of virtual enterprise
Journal:
Expert Systems with Applications
Huang, M
Lu, FQ
Ching, WK
Siu, TK
2011
Extracting information from spot interest rates and credit ratings using double higher-order hidden Markov models
Journal:
Computational Economics
Siu, TK
Ching, WK
Fung, ES
Ng, MK
2005
Filtering a markov modulated random measure
Journal:
IEEE Transactions on Automatic Control
Elliott, RJ
Siu, TK
Yang, H
2010
A high-order Markov-switching model for risk measurement
Journal:
Computers and Mathematics with Applications
Siu, TK
Ching, WK
Fung, E
Ng, M
Li, X
2009
How correlation risk in basket credit derivatives might be priced and managed?
Journal:
IMA Journal of Management Mathematics
Zhu, DM
Gu, JW
YU, FH
Ching, WK
Siu, TK
2021
An improved multivariate Markov chain model for credit risk
Journal:
The Journal of Credit Risk
Ching, WK
Siu, TK
Li, LM
Jiang, H
Li, T
Li, WK
2009
An Incremental Learning Agent for Personalized WWW Searching
Proceeding/Conference:
Proceeding of the 3rd Pacific Asia Conference on Knowledge Discovery and Data Mining, PAKDD-99
Ng, V
Siu, TK
Cheung, DWL
1999
Insurance claims modulated by a hidden marked point process
Proceeding/Conference:
Proceedings of the American Control Conference
Elliott, RJ
Siu, TK
Yang, H
2007
Interacting Default Intensity with a Hidden Markov Process
Journal:
Quantitative Finance
YU, F
Ching, WK
GU, J
SIU, TK
2017
Interactive hidden Markov models and their applications
Journal:
IMA Journal Management Mathematics
Ching, WK
Fung, E
Ng, M
Siu, TK
Li, WK
2007