European option pricing with market frictions, regime switches and model uncertainty

von Siu, Tak Kuen
Veröffentlicht in Insurance / Mathematics & economics (2023)

A self-exciting threshold jump-diffusion model for option valuation

von Siu, Tak Kuen
Veröffentlicht in Insurance / Mathematics & economics (2016)

A BSDE approach to risk-based asset allocation of pension funds with regime switching

von Siu, Tak Kuen
Veröffentlicht in Annals of operations research (2012)

A functional Itô's calculus approach to convex risk measures with jump diffusion

von Siu, Tak Kuen
Veröffentlicht in European journal of operational research (2016)

Longevity bond pricing under stochastic interest rate and mortality with regime-switching

von Shen, Yang
Veröffentlicht in Insurance / Mathematics & economics (2013)

A PDE approach to risk measures of derivatives

von Siu, Tak-kuen
Veröffentlicht in Applied mathematical finance (2000)

Optimal investment and consumption in a continuous-time co-integration model

von Shen, Yang
Veröffentlicht in Institute of Mathematics and Its Applications IMA journal of management mathematics (2017)

Asset allocation under stochastic interest rate with regime switching

von Shen, Yang
Veröffentlicht in Economic modelling (2012)

Pricing bond options under a Markovian regime-switching Hull-White model

von Shen, Yang
Veröffentlicht in Economic modelling (2013)

Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching

von Shen, Yang
Veröffentlicht in Operations research letters (2013)

On optimal reinsurance, dividend and reinvestment strategies

von Meng, Hui
Veröffentlicht in Economic modelling (2011)

Optimal investment and reinsurance of an insurer with model uncertainty

von Zhang, Xin
Veröffentlicht in Insurance / Mathematics & economics (2009)

Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model

von Shen, Yang
Veröffentlicht in Insurance / Mathematics & economics (2013)

Option pricing and filtering with hidden Markov-modulated pure-jump processes

von Elliott, Robert J.
Veröffentlicht in Applied mathematical finance (2013)

Attainable contingent claims in a Markovian regime-switching market

von Elliott, Robert J.
Veröffentlicht in International journal of theoretical and applied finance (2012)

Pricing risky debts under a Markov-modudated Merton model with completely random measures

von Lau, John W.
Veröffentlicht in Computational economics (2008)

Pricing and managing risks of European-style options in a Markovian regime-switching binomial model

von Fard, Farzad Alavi
Veröffentlicht in Annals of finance (2013)

Pricing participating products with Markov-modulated jump-diffusion process : an efficient numerical PIDE approach

von Fard, Farzad Alavi
Veröffentlicht in Insurance / Mathematics & economics (2013)

Hedging options in a doubly Markov-modulated financial market via stochastic flows

von Siu, Tak Kuen
Veröffentlicht in International journal of theoretical and applied finance (2019)

On Markov-modulated exponential-affine bond price formulae

von Elliott, Robert J.
Veröffentlicht in Applied mathematical finance (2009)