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Dr SIU Chi Chung

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Dr SIU Chi Chung
蕭志中博士

PhD (TMU)
MSc (HKUST)
BA (Berkeley)

icosEmail: ccsiu@hsu.edu.hk
icosTel: (852) 3963 5456
icosOffice : D609

Associate Head and Associate Professor
BSc-AIN Programme Director

Dr. Siu received his B.A. in Pure Mathematics at the University of California, Berkeley, M.Sc. in Financial Mathematics and Statistics at the Hong Kong University of Science and Technology, and Ph.D. in Business Administration (specialization in Financial Engineering) at the Tokyo Metropolitan University. Prior to joining HSU, he was a postdoctoral research fellow in the University of Technology, Sydney, and a research fellow at the University of Wollongong.

Awards Research Interests Service and Professional Experience Publications Research Grants

Awards

  1. Human Asian Resource Fund (3-Year Full Ph.D. Scholarship), Tokyo Metropolitan Government, September 2009–August 2012.
  2. 2013 Outstanding Referee Award from the Journal of Economic Dynamics and Control.

Research Interests

  1. Operations Research
  2. Applied Stochastic Controls
  3. Stochastic Differential Games
  4. Financial Mathematics
  5. Actuarial Mathematics

Service and Professional Experience

Reviewer for Journals:

Quantitative Finance, Journal of Futures Market, International Journal of Theoretical and Applied Finance, Journal of Computational and Applied Mathematics, Communications in Statistics: Theory and Methods, Stochastics, Automatica, Dynamic Games and Applications, Journal of Economics Dynamics and Control, Applied Mathematics and Optimization, Stochastics, European Journal of Operational Research, IMA Journal of Management Mathematics, ASTIN Bulletin, Insurance: Mathematics and Economics, Journal of Industrial and Management Optimization, SIAM Journal of Control and Optimization, and Production and Operations Management.

Publications

……….Journal Articles……….

  1. Han, J., Li, X., Sethi, S. P., Siu, C. C., and Yam, S. C. P. (2024) “Production Management with General Demands and Lost Sales”  Operations Research, Articles in Advance.
  2. Kennedy, A. P., Sethi, S. P., Siu, C. C., and Yam, S. C. P.  (2024) “The Generalized Sethi Advertising Model” Operations Research, 72 (4), 1317-1750.
  3. Ma, G., Siu, C. C., Yam, S. C. P., and Zhou, Z. (2023) “Dynamic trading with Markov liquidity switching” Automatica, 155, 111156.
  4. Yan, T., Han, J., Ma, G., and Siu, C. C. (2023) “Dynamic asset-liability management with frictions” Insurance: Mathematics and Economics, 111, 57-83.
  5. 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.
  6. 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.
  7. Ma, G., Siu, C. C., and Zhu, S. -P. (2022) “Portfolio Choice with Return Predictability and Small Trading Frictions” Economic Modelling, 111, 105823
  8. 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.
  9. Ma, G., Siu, C. C., Zhu, S. -P., and Elliott, R. J. (2020) “Optimal Portfolio Execution Problem with Stochastic Price Impact” Automatica, 112, 108739
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. 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……….

  1. Siu, C. C., Yam, S. C. P., Zhou, W. (2016) “Callable Stock Loans” 2014 Recent Advances in Financial Engineering, 161-198.
  2. 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.
  3. Siu, C. C. (2011) “Option Pricing under a Regime-switching Lévy Model” 2010 Recent Advances in Financial Engineering, 151-180.

Research Grants

……….FDS……….

  1. (UGC/FDS14/E04/24) HK$967,365 “Dynamic Models of Salesforce Compensations,” funded by the University Grants Committee (UGC) 2024/2025. (PI)
  2. (UGC/FDS14/P02/20) HK$759,100 “Generalized Sethi Advertising Model and Extensions,” funded by the University Grants Committee (UGC) 2020/2021. (PI)
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