Browsing by Author Siu, T

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Showing results 1 to 20 of 20
TitleAuthor(s)Issue DateViews
 
A Markov-Driven Portfolio Execution Strategy with Market Impact
Journal:Numerical Mathematics: Theory, Methods and Applications
2018
133
 
2013
86
 
Generalized Optimal Liquidation Problems Across Multiple Trading Venues
Journal:Journal of Industrial and Management Optimization
2022
 
2017
83
 
Impact of Reorder Option in Supply Chain Coordination
Journal:Journal of Industrial and Management Optimization
2017
64
 
2014
68
 
Market-Making Strategy with Asymmetric Information and Regime-Switching
Journal:Journal of Economic Dynamics and Control
2018
145
 
On Infectious Model for Dependent Defaults
Journal:Risk and Decision Analysis
2017
62
 
2013
42
 
2019
144
 
On Optimal Strategy for Limit Order Book Submission Problems
Journal:East Asia Journal of Applied Mathematics
2016
63
 
On Pricing Basket Credit Default Swaps
Journal:Quantitative Finance
2013
49
 
On reduced-form intensity-based model with 'trigger' events
Journal:Journal of the Operational Research Society
2014
62
 
Optimal insurance in a changing economy
Journal:Mathematical Control and Related Fields
2014
68
 
2013
59
 
Optimal Pairs Trading with Dynamic Mean-variance
Journal:Mathematical Method of Operations Research
2021
15
 
2016
49
 
2019
17
 
2016
53
 
2019
172