..........Journal Articles..........
- Ma, G., Siu, C. C., Yam, S. C. P., and Zhou, Z. (2023) “Dynamic trading with Markov liquidity switching” Automatica, 155, 111156.
- Yan, T., Han, J., Ma, G., and Siu, C. C. (2023) “Dynamic asset-liability management with frictions” Insurance: Mathematics and Economics, 111, 57-83.
- Han, J., Sethi, S. P., Siu, C. C., and Yam, S. C. P. (2023) “Co-op advertising in randomly fluctuating markets” Production and Operations Management, 32(6), 1617-1635.
- Bensoussan, A., Ma, G., Siu, C. C., and Yam, S. C. P. (2022) “Dynamic Mean–variance Problem with Frictions” Finance and Stochastics, 26, 267-300.
- Ma, G., Siu, C. C., and Zhu, S. -P. (2022) “Portfolio Choice with Return Predictability and Small Trading Frictions” Economic Modelling, 111, 105823
- Kennedy, A. P., Sethi, S. P, Siu, C. C., and Yam, S. C. P. (2021) “Cooperative Advertising in a Dynamic Three-echelon Supply Chain” Production and Operations Management, 30(11), 3881-3905.
- Ma, G., Siu, C. C., Zhu, S. -P., and Elliott, R. J. (2020) “Optimal Portfolio Execution Problem with Stochastic Price Impact” Automatica, 112, 108739
- Ma., G., Siu, C. C., and Zhu, S. -P. (2020) “Optimal Investment and Consumption with Return Predictability and Execution Costs” Economic Modelling, 88, 408-419.
- Bensoussan, A., Chen, S., Chutani, A., Sethi, S. P., Siu, C. C., and Yam, S. C. P. (2019) “Feedback Stackelberg-Nash Equilibria in Mixed Leadership Games with an Application to Cooperative Advertising” SIAM Journal on Control and Optimization, 57(5), 3413-3444.
- Ma, G., Siu, C. C., and Zhu, S. P. (2019) “Dynamic Portfolio Choice with Return Predictability and Transaction Costs” European Journal of Operational Research, 278(3), 976-988.
- Siu, C. C., Guo, I., Zhu, S. -P., and Elliott, R. J. (2019) “Optimal Execution with Regime-switching Market Resilience” Journal of Economic Dynamics and Control, 101, 17-40.
- Siu, C. C., Yam, S. C. P., Yang, H., and Zhao, H. (2017) “A Class of Nonzero-sum Reinsurance and Investment Games subject to Systematic Risks” Scandinavian Actuarial Journal, 8, 670-707.
- Pun, P., Siu, C. C., and Wong, H. Y. (2016) “Nonzero-sum Reinsurance Games subject to Ambiguous Correlations” Operations Research Letters, 44(5), 578-586.
- Siu, C. C., Yam, S. C. P., and Yang, H. (2015) “Valuing Equity-linked Death Benefits in a Regime-Switching Framework” ASTIN Bulletin, 45(2), 355-395.
- Bensoussan, A., Siu, C. C., Yam, S. C. P., and Yang, H. (2014) “A Class of Nonzero-sum Stochastic Differential Investment and Reinsurance Games” Automatica, 50(8), 2025-2037.
- Kijima, M., Siu, C. C. (2014) “Credit-Equity Modelling under a Latent Lévy Model” International Journal of Theoretical and Applied Finance, 17(3), 1450021
..........Conference Proceedings & Book Chapters..........
- Siu, C. C., Yam, S. C. P., Zhou, W. (2016) “Callable Stock Loans” 2014 Recent Advances in Financial Engineering, 161-198.
- Kijima, M., Siu, C. C. (2014) “First Passage Time under Regime-switching with Jumps” Inspired by Finance: The Musiela Festschrift, Ed. Yu. Kabanov, M. Rutkowksi, and T. Zariphopoulou, 387-410, Springer.
- Siu, C. C. (2011) “Option Pricing under a Regime-switching Lévy Model” 2010 Recent Advances in Financial Engineering, 151-180.
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