Tak-Kuen Siu

Macquarie University, Macquarie Business School

New South Wales 2109

Australia

SCHOLARLY PAPERS

9

DOWNLOADS
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SSRN RANKINGS

Top 26,472

in Total Papers Downloads

1,957

SSRN CITATIONS
Rank 14,430

SSRN RANKINGS

Top 14,430

in Total Papers Citations

15

CROSSREF CITATIONS

56

Scholarly Papers (9)

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
University of Glasgow, University of Sydney, University of Glasgow - Adam Smith Business School and Macquarie University, Macquarie Business School
Downloads 410 (77,936)
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 391 (82,309)

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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
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 361 (90,281)
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

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
University of Glasgow, University of Glasgow - Adam Smith Business School and Macquarie University, Macquarie Business School
Downloads 207 (160,732)
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
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 203 (163,958)

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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
University of Glasgow, University of Freiburg - Department of Economics, University of Kaiserslautern - Department of Mathematics and Macquarie University, Macquarie Business School
Downloads 138 (228,493)
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 135 (232,569)
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 112 (267,345)
Citation 2

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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
Macquarie University, London School of Economics & Political Science (LSE), Macquarie University, Macquarie Business School and University of Southampton
Downloads 0 (726,980)
Citation 4
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Quantitative risk measures, copulas, multivariate nonlinear time series, threshold principle