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Authors: Siu, Tak Kuen
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/157179
Description: Should the regime-switching risk be priced? This is perhaps one of the important normative issues to be addressed in pricing contingent claims under a Markovian, regime-switching, Black-Scholes-Merton ... More
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Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/143429
Description: We consider an insurance company whose surplus follows a diffusion process with proportional reinsurance and impulse dividend control. Our objective is to maximize expected discounted dividend payouts ... More
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Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/215040
Description: This paper discusses an optimal portfolio selection problem in a continuous-time economy, where the price dynamics of a risky asset are governed by a continuous-time self-exciting threshold model. Thi ... More
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Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/101495
Description: We develop a new exact filter when a hidden Markov chain influences both the sizes and times of a marked point process. An example would be an insurance claims process, where we assume that both the s ... More
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Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/174857
Description: This paper develops a sufficient stochastic maximum principle for a stochastic optimal control problem, where the state process is governed by a continuous-time Markov regime-switching jump-diffusion ... More
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Reviewed: Reviewed
Authors: Siu, Tak Kuen
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/358963
Description: An optimal asset allocation problem for a quite general class of utility functions is discussed in a simple two-state Markovian regime-switching model, where the appreciation rate of a risky share cha ... More
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Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/135733
Description: We investigate an optimal financing and dividend control problem of an insurance company facing fixed and proportional transaction costs. The goal of the company is to maximize the expected present va ... More
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Reviewed: Reviewed
Authors: Siu, Tak Kuen
Date: 2010
Language: eng
Resource Type: reference entry
Identifier: http://hdl.handle.net/1959.14/156670
Description: 4 page(s)
Date: 2006
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/136741
Description: This paper develops a valuation model for options under the class of self-exciting threshold autoregressive (SETAR) models and their variants for the price dynamics of the underlying asset using the s ... More
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Reviewed: Reviewed
Authors: Siu, Tak Kuen
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/303557
Description: Integration-by-parts formulas for functions of fundamental jump processes relating to a continuous-time, finite-state Markov chain are derived using Bismut's change of measures approach to Malliavin c ... More
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Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/102447
Description: We study a portfolio selection problem in a continuous-time Markovian regimeswitching model. The market in this model is, in general, incomplete. We adopt a method to complete the market based on an e ... More
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Reviewed: Reviewed
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1190425
Description: 10 page(s)
Reviewed: Reviewed
Date: 2010
Subject Keyword: 140200 Applied Economics
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/102455
Description: 9 page(s)
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: reference entry
Identifier: http://hdl.handle.net/1959.14/156673
Description: 8 page(s)
Date: 2009
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/1165092
Description: 11 page(s)
Reviewed: Reviewed