Tak-Kuen Siu

Macquarie University, Macquarie Business School

New South Wales 2109

Australia

SCHOLARLY PAPERS

9

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SSRN CITATIONS
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Top 15,647

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14

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56

Scholarly Papers (9)

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1.

An Analysis of the Fish Pool Market in the Context of Schwartz' (1997) Multifactor Model with Stochastic Convenience Yield

Number of pages: 37 Posted: 28 Aug 2012 Last Revised: 13 Mar 2015
Christian-Oliver Ewald, Roy Nawar, Ruolan Ouyang and Tak-Kuen Siu
University of Glasgow, University of Sydney, University of Glasgow - Adam Smith Business School and Macquarie University, Macquarie Business School
Downloads 411 (84,913)
Citation 2

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Futures, Commodities, Aquaculture, Fisheries Economics, Renewable Resources, Risk Management

2.

Risk Minimizing Hedging of Crude-Oil Options: Theory and Empirical Performance

Number of pages: 35 Posted: 25 May 2011 Last Revised: 27 Jul 2011
Christian-Oliver Ewald, Roy Nawar and Tak-Kuen Siu
University of Glasgow, University of Sydney and Macquarie University, Macquarie Business School
Downloads 395 (88,927)

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Risk-minimizing hedging, crude-oil options, futures, energy derivatives, resource economics

3.

Capital Requirements and Optimal Investment with Solvency Probability Constraints

IMA Journal of Management Mathematics (2015), 26 (4), 345-375.
Number of pages: 34 Posted: 09 Apr 2012 Last Revised: 03 Sep 2015
Alexandru Vali Asimit, Alex Badescu, Tak-Kuen Siu and Yuriy Zinchenko
Cass Business School, City, University of London, University of Calgary, Macquarie University, Macquarie Business School and University of Calgary - Department of Mathematics and Statistics
Downloads 364 (97,694)
Citation 1

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Optimal investment, Portfolio efficient frontier, Risk Capital, Ruin probability constraint, Second order cone programming, Solvency II, Value at Risk

4.

On the Market Consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures

Downloads 207 (174,066)
Citation 5

On the Market Consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures

Number of pages: 27 Posted: 10 Mar 2015 Last Revised: 17 Apr 2015
Christian-Oliver Ewald, Ruolan Ouyang and Tak-Kuen Siu
University of Glasgow, University of Glasgow - Adam Smith Business School and Macquarie University, Macquarie Business School
Downloads 207 (174,555)
Citation 4

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Futures, Commodities, Aquaculture, Fisheries Economics, Renewable Resources, Risk Management

5.

A Markov Chain Quasi-Monte Carlo Method for Bayesian Estimation of Stochastic Volatility Model

Number of pages: 28 Posted: 02 Feb 2010 Last Revised: 03 Sep 2012
Eric Fung, Ching-Wah Ho, Tak-Kuen Siu and Wing-Keung Wong
Hong Kong Baptist University (HKBU) - Department of Mathematics, affiliation not provided to SSRN, Macquarie University, Macquarie Business School and Asia University, Department of Finance
Downloads 206 (175,633)

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Stochastic Volatility, Bayesian Method, Markov Chain Quasi-Monte Carlo Method, Low Discrepancy Sequences, High-Dimensional Integrals, Deterministic Error Bound

6.

Malliavin Differentiability of a Class of Feller-Diffusions with Relevance in Finance

Number of pages: 13 Posted: 26 Jun 2009 Last Revised: 12 Jan 2011
Christian-Oliver Ewald, Yajun Xiao, Yang Zou and Tak-Kuen Siu
University of Glasgow, University of Freiburg - Department of Economics, University of Kaiserslautern - Department of Mathematics and Macquarie University, Macquarie Business School
Downloads 141 (243,342)
Citation 1

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Malliavin calculus, Feller diffusions, Greeks, Option pricing

7.

Minimal Variance Hedging of Natural Gas Derivatives in Exponential Levy Models: Theory and Empirical Performance

Number of pages: 33 Posted: 13 Sep 2012
Christian-Oliver Ewald, Roy Nawar and Tak-Kuen Siu
University of Glasgow, University of Sydney and Macquarie University, Macquarie Business School
Downloads 138 (247,653)
Citation 1

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Quadratic hedging, jump-diffusions models, natural gas options, energy derivatives, resource economics

8.

A New Pseudo Bayesian Model for Stock Returns In Financial Crisis

Number of pages: 27 Posted: 12 May 2011 Last Revised: 25 May 2011
Wing-Keung Wong, Eric Fung, Kin Lam and Tak-Kuen Siu
Asia University, Department of Finance, Hong Kong Baptist University (HKBU) - Department of Mathematics, Hong Kong Baptist University (HKBU) and Macquarie University, Macquarie Business School
Downloads 115 (283,848)

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Bayesian Model, Representative and Conservative Heuristics, Underreaction, Overreaction, Stock Price, Stock Return, Financial Crisis

9.

A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula‐Based Tar Approach

Journal of Time Series Analysis, Vol. 38, Issue 2, pp. 243-265, 2017
Number of pages: 23 Posted: 08 Feb 2017
Shiu Fung Wong, Howell A. M. Tong, Tak-Kuen Siu and Zudi Lu
Macquarie University, London School of Economics & Political Science (LSE), Macquarie University, Macquarie Business School and University of Southampton
Downloads 0 (774,616)
Citation 6
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Quantitative risk measures, copulas, multivariate nonlinear time series, threshold principle