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Malliavin calculus in a binomial frameworkCohen, Samuel N.; Elliott, Robert J.; Siu, Tak Kuen · Applied Stochastic Models in Business and Industry · 2018
On Markov‐modulated Exponential‐affine Bond Price FormulaeElliott, Robert J.; Siu, Tak Kuen · Applied Mathematical Finance · 2009
On pricing barrier options with regime switchingElliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung · Journal of Computational and Applied Mathematics · 2014
Filtering a Double Threshold Model With Regime SwitchingElliott, Robert J.; Tak Kuen Siu, ; Lau, John W. · IEEE Transactions on Automatic Control · 2013
OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHINGELLIOTT, ROBERT J.; SIU, TAK KUEN; CHAN, LEUNGLUNG · International Journal of Theoretical and Applied Finance · 2006
Markovian forward–backward stochastic differential equations and stochastic flowsElliott, Robert J.; Siu, Tak Kuen · Systems & Control Letters · 2012
A hidden Markov regime-switching smooth transition modelElliott, Robert J.; Siu, Tak Kuen; Lau, John W. · Studies in Nonlinear Dynamics & Econometrics · 2018
Ruin Theory in a Hidden Markov-Modulated Risk ModelElliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang · Stochastic Models · 2011
The illusions of dynamic replicationDerman *, Emanuel; Taleb, Nassim Nicholas · Quantitative Finance · 2005
The premium of dynamic tradingChiu, Chun Hung; Zhou, Xun Yu · Quantitative Finance · 2011
Optimal hedging in discrete timeRémillard, Bruno; Rubenthaler, Sylvain · Quantitative Finance · 2013
Hierarchies of Archimedean copulasSavu, Cornelia; Trede, Mark · Quantitative Finance · 2010
Leverage and acquisition performanceHarrison, Jeffrey S.; Hart, Matthew; Oler, Derek K. · Review of Quantitative Finance and Accounting · 2014
Option pricing under regime switchingDuan, Jin-Chuan; Popova, Ivilina; Ritchken, Peter · Quantitative Finance · 2002
Proprietary trading: truth and fictionMuller, P. · Quantitative Finance · 2001
Provably linkable tradingKenyon, Chris; Camenisch, Jan · Quantitative Finance · 2011