Tak Kuen Siu

Macquarie University

Australia

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Articles (22)

Utility maximization of household with information learning and health shocks

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Year:

2025

Market Consistent Valuation for Bitcoin Options With Long Memory in Conditional Volatility and Conditional Non‐Normality

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Year:

2025

An IID Test for Functional Time Series with Applications to High-Frequency VIX Index Data

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Year:

2025

How might model uncertainty and transaction costs impact retained earning & dividend strategies? An examination through a classical insurance risk model

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Year:

2025

Threshold Autoregressive Nearest-Neighbour Models for Claims Reserving

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Year:

2025

Investment–consumption optimization with transaction cost and learning about return predictability

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Year:

2024

Life-cycle model with subsistence consumption constraint and state-dependent utilities

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Year:

2024

Optimal payout strategies when Bruno de Finetti meets model uncertainty

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Year:

2024

Epidemic modelling and actuarial applications for pandemic insurance

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Year:

2024

Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting

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Year:

2024

Life-cycle planning with CEV model and time-inconsistent preferences

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Year:

2024

Bayesian Lower and Upper Estimates for Ether Option Prices with Conditional Heteroscedasticity and Model Uncertainty

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Year:

2024

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

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Year:

2023

Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method

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Year:

2023

Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method

Article Link

Year:

2023

Mean-variance portfolio selection with random investment horizon

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Year:

2023

Bayesian nonlinear expectation for time series modelling and its application to Bitcoin

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Year:

2023

Robust reinsurance and investment strategies under principal–agent framework

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Year:

2022

Generalized optimal liquidation problems across multiple trading venues

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Year:

2022

Regime switching optimal growth model with risk sensitive preferences

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Year:

2022

A generalized Esscher transform for option valuation with regime switching risk

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Year:

2022

American option pricing and filtering with a hidden regime-switching jump diffusion

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Year:

2022

Collaborators (2)

Ning Wang

Macquarie University

AUSTRALIA

Zhuo Jin

Macquarie University

AUSTRALIA

Tak Kuen Siu

Research Interests

Explore related searches

Contact this professor

Articles (22)

Utility maximization of household with information learning and health shocks

Market Consistent Valuation for Bitcoin Options With Long Memory in Conditional Volatility and Conditional Non‐Normality

An IID Test for Functional Time Series with Applications to High-Frequency VIX Index Data

How might model uncertainty and transaction costs impact retained earning & dividend strategies? An examination through a classical insurance risk model

Threshold Autoregressive Nearest-Neighbour Models for Claims Reserving

Investment–consumption optimization with transaction cost and learning about return predictability

Life-cycle model with subsistence consumption constraint and state-dependent utilities

Optimal payout strategies when Bruno de Finetti meets model uncertainty

Epidemic modelling and actuarial applications for pandemic insurance

Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting

Life-cycle planning with CEV model and time-inconsistent preferences

Bayesian Lower and Upper Estimates for Ether Option Prices with Conditional Heteroscedasticity and Model Uncertainty

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

Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method

Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method

Mean-variance portfolio selection with random investment horizon

Bayesian nonlinear expectation for time series modelling and its application to Bitcoin

Robust reinsurance and investment strategies under principal–agent framework

Generalized optimal liquidation problems across multiple trading venues

Regime switching optimal growth model with risk sensitive preferences

A generalized Esscher transform for option valuation with regime switching risk

American option pricing and filtering with a hidden regime-switching jump diffusion

Collaborators (2)

Ning Wang

Zhuo Jin

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