Concepedia
Statistics
Publications
122
Citations
4.3K
H-Index
36
Active since
1999
Affiliations
Macquarie University(Current)
University of Hong Kong
University of Calgary
The University of Adelaide
City, University of London
Tak Kuen Siu is an author at Macquarie University specializing in business, finance, and financial economics.
Publications per year
1999–2022
Option pricing and Esscher transform under regime switching
Robert J. Elliott, Leunglung Chan, Tak Kuen Siu · Annals of Finance · 2005 · 428 citations
Business, Decision Sciences, Stochastic Processes +8
Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
Robert J. Elliott, Tak Kuen Siu, Leunglung Chan · Applied Mathematical Finance · 2007 · 134 citations
Business, Economics, Finance +17
Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
Robert J. Elliott, Tak Kuen Siu, Leunglung Chan et al. · Stochastic Analysis and Applications · 2007 · 110 citations
A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance
Xin Zhang, Robert J. Elliott, Tak Kuen Siu · SIAM Journal on Control and Optimization · 2012 · 102 citations
Optimal investment and reinsurance of an insurer with model uncertainty
Xin Zhang, Tak Kuen Siu · Insurance Mathematics and Economics · 2009 · 101 citations
Business, Insurance, Risk Management +14
1–5 of 122