Tak Kuen Siu

Macquarie University

Australia

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Professors in Australia

Articles (22)

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Collaborators (2)

Ning Wang

Macquarie University

AUSTRALIA

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Zhuo Jin

Macquarie University

AUSTRALIA

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Tak Kuen Siu

Research Interests

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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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