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Tak Kuen (Ken) Siu

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Doctor Tak Kuen (Ken) Siu
  • Title: Professor
  • Position: Professor - Department of Applied Finance and Actuarial Studies
  • Qualifications: PhD, BSc (First Class), PGCAP

Contact Details

Areas of Expertise

  • Mathematical finance
  • Actuarial science
  • Risk management
  • Stochastic calculus
  • Filtering and control

Profile

Tak Kuen (Ken) Siu is a Professor of Actuarial Studies at Macquarie University. His research areas are mathematical finance, actuarial science, quantitative risk management, stochastic calculus, filtering and control as well as their applications. He has more than140 publications in refereed journals. His papers have been published in international peer-reviewed journals such as Insurance: Mathematics and Economics, ASTIN Bulletin, Scandinavian Actuarial Journal, North American Actuarial Journal, SIAM Journal of Control and Optimization, IEEE Transactions on Automatic Control, Automatica, Journal of Economic Dynamics and Control, Quantitative Finance, Journal of Futures Markets, Annals of Operations Research and Energy Economics.His papers have also been published in some professional outlets such as Risk. He serves as a member of the editorial board in several international peer-reviewed journals such as Stochastics (Formerly Stochastics and Stochastics Reports) and IMA Journal of Management Mathematics. He also acts as a referee for more than 40 international peer-reviewed journals in finance, actuarial science, statistics, economics,operations research and applied mathematics. He is are viewer of Mathematical Reviews for American Mathematical Society and the Zentralblatt MATH of the European Mathematical Society. He is a Registered Practitioner of the Higher Education Academy in the United Kingdom. He has received several competitive grants including ARC Discovery Grants, research awards and has been invited to visit and give talks at top universities. 

Ken has received his Ph.D.from the Department of Statistics and Actuarial Science at University of Hong Kong and his B.Sc. (First Class Hons) in Mathematics (Statistics Options) from Hong Kong University of Science and Technology. He has received the Postgraduate Certificate in Academic Practice in the Educational Development Unit at Heriot-Watt University.

Education

  • Doctor of Philosophy: Statistics and Actuarial Science (University of Hong Kong)
  • Bachelor of Science (First Class Honours): Mathematics (Statistics Option) (Hong Kong University of Science and Technology)
  • Postgraduate Certificate In Academic Practice: (Heriot-Watt University, Educational Development Unit)

Research areas

Prof Siu's research focuses on assessing, analysing and managing financial and insurance risks. His current research interests are pricing, hedging and managing risks of structured products in finance and insurance industries, developing quantitative models for economic, financial and insurance risks, analysing nonlinear risk behaviour, and asset allocation in finance and insurance.


phd supervision toggle icon open PhD Student Supervision

Principal Supervisor of Farzad Alavi Fard - PhD - Applied Finance and Actuarial Studies -Part Time
Principal Supervisor of Simon Wong - PhD - Applied Finance and Actuarial Studies - Full Time
Principal Supervisor of Celeste Chai - PhD - Applied Finance and Actuarial Studies - Full Time
Principal Supervisor of Amogh Deshpande - PhD - Applied Finance and Actuarial Studies - Full Time

Tak Kuen Siu is interested in supervising research students who wish to research on mathematical finance, actuarial science and risk management science. Please feel free to contact Ken Siu to discuss the opportunity.

PhD Scholarships and Opportunities

Teaching

  • ACST357

Research Interests

  • Risk Measurement and Management in Finance and Insurance
  • Regime-switching Models in Finance and Insurance
  • Pricing Derivative Securities and Equity-Linked Insurance Products,
  • Risk Measures and Analysis of Structured Products
  • Bayesian Methods for Risk Measurement
  • Modelling Term Structures and Credit Risk
  • Financial Time Series Analysis and Volatility Modelling
  • Insurance Risk Models
  • Asset Allocation in Finance and Insurance
  • Game Theoretic Approach in Finance and Actuarial Science

Administration

  • Co-Director, Centre of Financial Risk, Faculty of Business and Economics (2009 - 2012)
  • Departmental Director, Higher Degree Research Committee, Faculty of Business and Economics (2009)
  • Macquarie University Research Projects Panel (2009 - 2012)

Publications

  • Robert J. Elliott, Tak Kuen Siu and Alex Badescu, On Pricing and Hedging Options Under Double Markov-Modulated Models With Feedback Effect. Journal of Economic Dynamics and Control, Accepted.
  • Robert J. Elliott and Tak Kuen Siu, A Risk-Based Approach for Pricing American Options Under a Generalized Markov Regime-Switching Model. Quantitative Finance, Accepted.
  • Alex M. Badescu, Robert J. Elliott, R.J. Kulperger, Jarkko Miettinen and Tak Kuen Siu, Pricing Kernels for GARCH Option Pricing with Generalized Hyperbolic Distributions. International Journal of Theoretical and Applied Finance, Accepted.
  • Robert J. Elliott and Tak Kuen Siu, A Hidden Markov Model for Optimal Investment of An Insurer with Model Uncertainty. International Journal of Robust and Nonlinear Control, Accepted.
  • Robert J. Elliott, Tak Kuen Siu and Hailiang Yang, Ruin Theory in a Hidden Markov-Modulated Risk Model. Stochastic Models, Accepted.
  • Eric S. Fung and Tak Kuen Siu, A Flexible Markov Chain Approach for Multivariate Credit Ratings. Computational Economics, DOI:10.1007/s10614-011-9258-y.
  • Tak Kuen Siu, Michael K. Ng and Eric S. Fung, On Neural Network Conditional Autoregressive Value at Risk. Mathematical Modelling and Applied Computing, Accepted.
  • Xun Li, Tak Kuen Siu and Zhenyu Wu, Risk Hedging for Strategic Petroleum Reserve. Mathematical Modelling and Applied Computing, Accepted.
  • Tak Kuen Siu, Long-Term Strategic Asset Allocation With Inflation Risk and Regime Switching. Quantitative Finance, Accepted.
  • Ralf Korn, Tak Kuen Siu and Aihua Zhang, Asset Allocation for a DC Pension Fund Under Regime-Switching Environment. European Actuarial Journal / Blaetter der DGVFM, Accepted.
  • J.W. Gu, Wai Ki Ching and Tak Kuen Siu, On Infectious Models for Dependent Default Risk. The 2010 International Conference on Intelligent Engineering Informatics. IEEE Computer Society Proceedings, Accepted.
  • Robert J. Elliott and Tak Kuen Siu, Default Times in a Continuous-Time Markovian Regime Switching Model. Stochastic Analysis and Applications, Accepted.
  • J.W. Gu, Wai Ki Ching and Tak Kuen Siu, A Markovian Infectious Model for Dependent Default Risk. International Journal of Intelligent Engineering Informatics, Accepted.
  • Hui Meng and Tak Kuen Siu (2011) Optimal Mixed Impulse-Equity Insurance Control Problem with Reinsurance. SIAM Journal on Control and Optimization, 49(1), 254-279.
  • Robert J. Elliott and Tak Kuen Siu (2011) A Stochastic Differential Game for Optimal Investment of An Insurer With Regime Switching". Quantitative Finance, 11(3), pp. 365-380.
  • Robert J. Elliott and Tak Kuen Siu (2011) A BSDE Approach to a Risk-Based Optimal Investment of an Insurer. Automatica, 47(2), pp. 253-428. Regular Paper (Lead Article).
  • Robert J. Elliott and Tak Kuen Siu (2011) Pricing and Hedging Contingent Claims With Regime Switching Risk. Communications in Mathematical Sciences, 9(2), pp. 477-498.
  • Xin Zhang and Tak Kuen Siu (2011) Optimal Proportional Reinsurance and Investment in a Markovian Regime-Switching Economy. Acta Mathematicae Applicatae Sinica, 27(8), pp. 1-16.
  • Chuin Ching Liew and Tak Kuen Siu (2011) Martingale Representation and Admissible Portfolio Process with Regime Switching. Stochastic Analysis and Applications, 29(1), pp. 106-120.
  • Hui Meng and Tak Kuen Siu (2011) On Optimal Reinsurance, Dividend and Reinvestment Strategies. Economic Modeling, 28(1-2), pp. 211-218.
  • Tak Kuen Siu (2010) A Markov Regime Switching Marked Point Process for Short Rate Analysis With Credit Risk. International Journal of Stochastic Analysis, Volume 2010, Article ID 870516, 18 pages.
  • Chuin Ching Liew and Tak Kuen Siu (2010) A Hidden Markov Regime-Switching Model for Option Valuation. Insurance: Mathematics Economics, 47(3), pp. 374-384.
  • Eric S. Fung and Tak Kuen Siu (2010) A Double Mover-Stayer Model for Credit Ratings. International Journal of Information and Systems Science, 6(2), pp. 142-154.
  • Robert J. Elliott, Chuin Ching Liew and Tak Kuen Siu (2010) Discussion on Fei Lung Yuen and Hailiang Yang's article on Pricing Asian Options and Equity-Indexed Annuities with Regime-switching by Trinomial Tree Method. North American Actuarial Journal, 14(2), pp. 272-277.
  • Eric S. Fung, Wai Ki Ching and Tak Kuen Siu (2010) A Mixture Price Trend Model for Long-Term Risk Management. Business Intelligence in Economic  Forecasting: Technologies and Techniques (edited by Shouyang Wang and Jue Wang), pp. 157-173.
  • Min Huang, Guike Chen, Wai Ki Ching and Tak Kuen Siu (2010) Principal-agent Theory Based Risk Allocation Model for Virtual Enterprise. Journal of Service Science and Management, 3(2), pp. 241-249.
  • Cedric Yiu, Jingzhen Liu, Tak Kuen Siu and Wai Ki Ching (2010) Optimal Portfolios with Regime-Switching and Value-at-Risk Constraint". Automatica, 46(6), pp. 979-989 (Regular Paper).
  • Robert J. Elliott and Tak Kuen Siu (2010) Risk-based Indifference Pricing Under A Stochastic Volatility Model". Communications on Stochastic Analysis, Special Issue for Professor G. Kallianpur, 4(1), pp. 51-73.
  • Tak Kuen Siu (2010) Bond Pricing Under a Markovian Regime-Switching Jump-Augmented Vasicek Model via Stochastic Flows. Applied Mathematics and Computation, 216(11), pp. 3184-3190.
  • Jonathan Wylie, Qiang Zhang and Tak Kuen Siu (2010) Can Expected Shortfall and Value-at-Risk be used to Statically Hedge Options? Quantitative Finance, 10(6), pp. 575-583. (Chosen as a feature article by the Editor)
  • Wai Ki Ching, Xun Li, Tak Kuen Siu and Zhen-Yu Wu (2010) Improving Revenue Management: A Real Option Approach. Innovative Quick Response Programs in Logistics and Supply Chain Management (eds. T.C. Edwin Cheng; Tsan-Ming Choi), International Handbooks on Information Systems, Springer-Verlag, pp. 123-140.
  • Wai Ki Ching, Ho-Yin Leung, Hao Jiang, Liang Sun and Tak Kuen Siu (2010) A Markovian Model for Default Risk in a Network of Sectors. International Journal of Intelligent Engineering Informatics 1(1), pp. 104-124.
  • Robert J. Elliott and Tak Kuen Siu (2010) Stochastic Control. Encyclopedia of Quantitative Finance, Volume IV, pp. 1682-1689.
  • Tak Kuen Siu (2010). Esscher Transform: From Actuarial Science to Quantitative Finance. Encyclopedia of Quantitative Finance, Volume III, pp. 589-592.
  • Na Song, Wai Ki Ching, Tak Kuen Siu, Eric S. Fung and Michael K. Ng (2010) Option Valuation Under a Multivariate Markov Chain Model. Proceedings of CSO2010, Huangshan, IEEE Computer Society Proceedings 1, pp. 177-181.
  • Robert J. Elliott, Tak Kuen Siu and Alex Badescu (2010) On Mean-Variance Portfolio Selection Under a Hidden Markovian Regime-Switching Model. Economic Modeling. 27(3), pp. 678-686.
  • Robert J. Elliott and Tak Kuen Siu (2010) On Risk Minimizing Portfolios Under a Markovian Regime-Switching Black-Scholes Economy. Annals of Operations Research, 176(1), pp. 271-291.
  • Tak Kuen Siu (2010) Discussion of Joonghee Huh and Adam Kolkiewicz's Computation of Multivariate Barrier Crossing Probability and its Applications in Credit Risk Models (NAAJ Volume 12, Number 3, July 2008). North American Actuarial Journal, 14(1), pp. 150-156.
  • Xin Zhang, Tak Kuen Siu and Qingbin Meng (2010) Portfolio Selection in the Enlarged Markovian Regime-Switching Market. SIAM Journal on Control and Optimization, 48(5), pp. 3368-3388.
  • Robert J. Elliott, Tak Kuen Siu and Hailiang Yang (2010). Filtering a Markov-Modulated Random Measure. IEEE Transactions on Automatic Control, Regular Paper, 55(1), pp. 74-88
  • Robert J. Elliott and Tak Kuen Siu (2009) Portfolio Risk Minimization and Differential Games. Nonlinear Analysis Series A: Theory, Methods and Applications, 71(12), pp. 2127-2135.
  • Robert J. Elliott and Tak Kuen Siu (2009) Discussion of Sheldon Lin, Ken Seng Tan and Hailiang Yang's Pricing Annuity Guarantees Under a Regime Switching Model. North American Actuarial Journal, 13(2), pp. 333- 337.
  • Wai Ki Ching, Tak Kuen Siu, Limin Li, Tang Li and Wai Keung Li (2009) A Parsimonious Multivariate Markov Chain Model for Credit Risk. Journal of Credit Risk, 5, pp. 1-25.
  • Tak Kuen Siu and Hailiang Yang (2009) Nonparametric Bayesian Credibility. Australian Actuarial Journal, 15(2), pp. 209-230.
  • Alex Badescu, Robert J. Elliott and Tak Kuen Siu (2009) Esscher Transforms and Consumption-Based Models. Insurance: Mathematics and Economics, 45(3), pp. 337-34.
  • Wai Ki Ching, Tak Kuen Siu, Limin Li, Tang Li and Wai Keung Li (2009) Modeling Default Data via an Interactive Hidden Markov Model. Computational Economics, 34(1), pp. 1-19.
  • Xin Zhang and Tak Kuen Siu (2009) Optimal Investment and Reinsurance of An Insurer With Model Uncertainty. Insurance: Mathematics and Economics, 45(1), pp. 81-88.
  • Tak Kuen Siu, Wai Ki Ching, Eric S. Fung, Michael Ng and Xun Li (2009) A Higher-order Markov-switching Model for Risk Measurement. Computers and Mathematics Applications, 58, pp. 1-10.      
  • Tak Kuen Siu and Hailiang Yang (2009) Option Pricing When the Regime-Switching Risk is Priced. Special issue of ACTA Mathematicae Applicatae Sinica (English Series), 25(3), pp. 369-388.
  • Robert J. Elliott and Tak Kuen Siu (2009) Robust Optimal Portfolio Choice Under Markovian Regime-switching Model. Methodology and Computing in Applied Probability, 11(2), pp. 145-157.
  • Robert J. Elliott and Tak Kuen Siu (2009) On Markov-Modulated Exponential-Affine Bond Price Formulae. Applied Mathematical Finance, 16(1), pp. 1-15 (lead article).
  • Tak Kuen Siu, John W. Lau and Hailiang Yang (2008). Pricing Participating Products Under a Generalized Jump-Diffusion. Journal of Applied Mathematics and Stochastic Analysis, Volume 2008, Article ID 474623, 30 Pages, Doi: 10.1155/2008/474623
  • John W. Lau and Tak Kuen Siu (2008). On Option Pricing Under a Completely Random Measure Process via a Generalized Esscher Transform. Insurance: Mathematics and Economics, 43(1), pp. 99-107.
  • Robert J. Elliott and Tak Kuen Siu (2008). A Stochastic Differential Game for Portfolio Risk Minimization. IEEE Conference Proceedings of the 2008 American Control Conference, U.S.A., pp. 1017-1022.
  • John W. Lau and Tak Kuen Siu (2008). Modelling Long-Term Investment Returns via Bayesian Infinite Mixture Time Series Models. Scandinavian Actuarial Journal, 2008(4), pp. 243-282.
  • Tak Kuen Siu, Hailiang Yang and John W. Lau (2008). Pricing Currency Options Under Two-Factor Markov-Modulated Stochastic Volatility Models. Insurance: Mathematics and Economics (Festkolloquium for Professor Phelim P. Boyle), 43(3), pp. 295-302.
  • Tak Kuen Siu (2008). Discussion of Professor Phelim P. Boyle and Sun Siang Liew's Asset Allocation with Hedge Funds on the Menu (NAAJ Volume 11, Number 4, December 2007). North American Actuarial Journal, 12(2), pp. 213-215.
  • Tak Kuen Siu (2008). A Game Theoretic Approach to Option Valuation Under Markovian Regime-Switching Models. Insurance: Mathematics and Economics, 42(3), pp. 1146-1158.
  • Tak Kuen Siu and Hailiang Yang (2008). Option Pricing Under Nonlinear Time Series Models.PAMM (Special Issue: Sixth International Congress on Industrial Applied Mathematics (ICIAM07) and GAMM Annual Meeting, Zurich 2007), 7(1), pp. 1050501 - 1050502.
  • Tak Kuen Siu, Christina Erlwein and Rogemar S. Mamon (2008). The Pricing of Credit Default Swaps Under a Markov-Modulated Merton's Structural Model. North American Actuarial Journal, 12(1), pp. 19-46.
  • John W. Lau and Tak Kuen Siu (2008). Pricing Risky Debts Under a Markov-modulated Merton Model with Completely Random Measures. Computational Economics, 31(3), pp. 255-288.
  • Tak Kuen Siu, John W. Lau and Hailiang Yang (2008). Ruin Theory Under a Generalized Jump-Diffusion Model with Regime Switching. Applied Mathematical Sciences, 2(29), pp. 1415-1430.
  • Robert J. Elliott, Tak Kuen Siu and Leunglung Chan (2008). A P.D.E. Approach for Risk Measures for Derivatives With Regime Switching. Annals of Finance, 4(1), pp. 55-74.
  • Tak Kuen Siu, John W. Lau and Hailiang Yang (2007). On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity. Asia-Pacfic Financial Markets, 14(3), pp. 255-275.
  • Wai Ki Ching, Tak Kuen Siu and Li Min Li (2007). Pricing Exotic Options Under a High-Order Markovian Regime Switching Model. Journal of Applied Mathematics and Decision Sciences, vol. 2007, Article ID 18014, 15 pages, 2007. doi:10.1155/2007/18014.
  • Robert J. Elliott, Tak Kuen Siu and Hailiang Yang (2007). Martingale Representation for Contingent Claims With Regime Switching. Communications on Stochastic Analysis, 1(2), pp. 279-292.
  • Robert J. Elliott, Tak Kuen Siu and Hailiang Yang (2007). Insurance Claims Modulated by a Hidden Marked Point Process. IEEE Conference Proceedings of the 2007 American Control Conference , New York City, U.S.A., pp. 390-395.
  • Robert J. Elliott, Tak Kuen Siu, Leunglung Chan and John W. Lau (2007). Pricing Options Under a Generalized Markov Modulated Jump Diffusion Model. Stochastic Analysis and Applications, 25(4), pp. 821-843.
  • Tak Kuen Siu (2007). On Fair Valuation of Participating Life Insurance Policies With Regime Switching. In Hidden Markov Models in Finance, Eds. Rogemar Mamon and Robert J. Elliott, Springer's International Series in Operations Research and Management Science, pp. 31-42.
  • Wai Ki Ching, Michael K. Ng, Eric S. Fung, Tak Kuen Siu and Wai Keung Li (2007). Interactive Hidden Markov Models and Their Applications. IMA Journal of Management Mathematics, 18, pp. 85-97.
  • Robert J. Elliott, Tak Kuen Siu and Leunglung Chan (2007). Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching. Applied Mathematical Finance, 14(1), pp. 41-62.
  • Robert J. Elliott, Leunglung Chan and Tak Kuen Siu (2006). Risk Measures for Derivatives with Markov-Modulated Pure Jump Processes. Asia-Pacific Financial Markets, 13(2), pp. 129-149.
  • John W. Lau, Tak Kuen Siu and Hailiang Yang (2006). On Bayesian Mixture Credibility. ASTIN Bulletin, 36(2), pp. 573-588.
  • Robert J. Elliott, Tak Kuen Siu and Leunglung Chan (2006). Option Pricing for GARCH Models with Markov Switching. International Journal of Theoretical and Applied Finance, 9(6), pp. 825-841 (lead article).
  • Tak Kuen Siu (2006). Option Pricing Under Autoregressive Random Variance Models. North American Actuarial Journal, 10(2), pp. 62-75.
  • Tak Kuen Siu, Howell Tong and Hailiang Yang (2006). Option Pricing Under Threshold Autoregressive Models by Threshold Esscher Transform. Journal of Industrial and Management Optimization, 2(2), pp. 177-197.
  • Tak Kuen Siu, Wai Ki Ching, Eric S. Fung and Michael K. Ng (2005). Extracting Information from Spot Interest Rates and Credit Ratings Using Double Higher-Order Hidden Markov Models. Computational Economics, 26, pp. 251-284.
  • Tak Kuen Siu, Wai Ki Ching, Eric S. Fung and Michael K. Ng (2005). On a Multivariate Markov Chain Model for Credit Risk Measurement. Quantitative Finance, 5(6), pp. 543-556.
  • Tak Kuen Siu (2005). Fair Valuation of Participating Policies With Surrender Options and Regime Switching. Insurance: Mathematics and Economics, 37(3), pp. 533-552.
  • Robert J. Elliott, Leunglung Chan and Tak Kuen Siu (2005). Option Pricing and Esscher Transform Under Regime Switching. Annals of Finance, 1(4), pp. 423-432.
  • Tak Kuen Siu, Howell Tong and Hailiang Yang (2004). On Bayesian Value at Risk: From Linear To Non-Linear Portfolios. Asia-Pacific Financial Markets, 11(2), pp. 161-184.
  • Tak Kuen Siu, Howell Tong and Hailiang Yang (2004). On Pricing Derivatives under GARCH models: A Dynamic Gerber-Shiu's Approach. North American Actuarial Journal, 8(3), pp. 17-31.
  • Wing Hoe Woo and Tak Kuen Siu (2004). A Dynamic Binomial Expansion Technique for Credit Risk Measurement: A Bayesian Filtering Approach. Applied Mathematical Finance, 11(2), pp. 165-186.
  • Robert J. Elliott, Tak Kuen Siu and Hailiang Yang (2003). On a Generalized Form of Risk Measure. Australian Actuarial Journal, 9(4), pp. 591-628.
  • Phelim P. Boyle, Tak Kuen Siu and Hailiang Yang (2002). Risk and Probability Measures. Risk, 15(7), pp. 53-57 (lead article). Reprinted in: Risk Itatia, October, 2002, pp. 43-47.
  • Tak Kuen Siu, Howell Tong and Hailiang Yang (2001). Bayesian Risk Measures for Derivatives via Random Esscher Transform. North American Actuarial Journal, 5(3), pp. 78-91.
  • Hailiang Yang and Tak Kuen Siu (2001). Coherent Risk Measures for Derivatives under Black-Scholes Economy. International Journal of Theoretical and Applied Finance, 4(5), pp. 819-835.
  • Tak Kuen Siu and Hailiang Yang (2000). A P.D.E. Approach for Measuring Risk of Derivatives. Applied Mathematical Finance, 7(3), pp. 211-228.
  • Tak Kuen Siu and Hailiang Yang (1999). Subjective Risk Measures: Bayesian Predictive Scenarios Analysis. Insurance: Mathematics and Economics, 25(2), pp. 157-169.

Other Research Activities

Research Grants and Scholarships

  1. Australian Actuarial Research Grants, Institute of Actuaries Australia (IAA), Title: Fair Valuation of Modern Insurance Products Under GARCH-Type Models, Team Leader, (With Associate Professor Leonie Tickle and Associate Professor Xian Zhou), Amount: 18,657 AUD, 2011.
  2. Discovery Grant, Australian Research Council (ARC), Grant number: DP1096243,
    • Title: Risk Measures and Management in Finance and Actuarial Science Under Regime-Switching Models, Chief Investigator, (With Professor Robert J. Elliott), Amount 195,000 AUD, 2010-2012.
  3. Risk Management Institute, National University of Singapore, RMI Credit Rating Research Grant, Co-investigator, (With Professor Robert J. Elliott and Dr. Eric S. Fung), 2010.
  4. Hong Kong RGC grant, Title: Risk Management of Equity-Linked Insurance Products, Co-investigator, (With Professor Hailiang Yang), Amount: 558,720 HKD, 2008-2010. 
    • 2008: Merit Award for General Research Fund (GRF) Project with Professor Hailiang Yang, University Research Committee, University of Hong Kong, Amount: 40,000 HKD
  5. Curtin University of Technology, Department of Mathematics, Start-up grant,
    • Title: Research in Financial Mathematics and Actuarial Science, Chief Investigator, Amount: 20,000 AUD, 2008-2009.
  6. Hong Kong RGC grant, Grant number: 7017/07P, Title: On Perron-Frobenius Theory for Multivariate Markov Chains with Applications, Co-investigator, (With Dr. Wai-Ki Ching), Amount: 250,000 HKD.

Service Activities within College and Profession

  1. Associate Editor: Stochastics: An International Journal of Probability and Stochastic Processes (since 2008); IMA Journal of Management Mathematics (since 2009); Annals of Financial Economics (since 2007); Mathematical Modelling and Applied Computing (since 2006); International Review of Applied Financial Issues and Economics (since 2009); Insurance Markets and Companies: Analyses and Actuarial Computations (since 2010)
  2. Reviewer for Research Grants: Engineering and Physical Sciences Research Council, United Kingdom (2008); The Research Grants Council (RGC) of Hong Kong, Hong Kong SAR (2009)
  3. Reviewer for Mathematical Review (American Mathematical Society)
  4. Reviewer for Zentralblatt MATH (European Mathematical Society)
  5. Reviewer for Peer-Reviewed Journals/Conference Proceedings:

Communications in Statistics: Theory and Methods; Journal of Industrial and Management Optimization; ASTIN Bulletin; Insurance Mathematics and Economics; Decisions in Economics and Finance; Mathematical Finance; IMA Journal of Management Mathematics; 2007 American Control Conference; North American Actuarial Journal; Review of Financial Economics; Journal of Futures Markets; 2008 American Control Conference; Applied Stochastic Models in Business and Industry; Journal of Applied Statistics; Pacific Journal of Optimization; Economic Modelling; Journal of Banking and Finance; Quantitative Finance; Annals of Operations Research; Methodology in Applied Probability and Computing; Optimization and Engineering; SIAM Journal of Control and Optimization; Applied Mathematics and Computation; Statistics and Computing; International Journal of Theoretical and Applied Finance; Acta Mathematica Applicatae Sinica (English Series); Journal of Computational and Applied Mathematics; Mathematical Methods of Operations Research; Asia-Pacific Financial Markets; Applied Mathematics Letters; Springer's Handbook on Innovative Quick Response Programs in Logistics & Supply Chain Management; Stochastic Model; Journal of Applied Mathematics and Decision Sciences; 2010 American Control Conference; Nonlinear Dynamics; European Journal of Operational Research; Computational Economics; Advances in Decision Sciences; Computational Statistics and Data Analysis; Bachelier Finance Society World Congress 2010; International Journal of Stochastic Analysis (Formerly Journal of Applied Mathematics and Stochastic Analysis); 49th IEEE Conference on Decision and Control; Journal of Optimization Theory and Applications (JOTA); Tsinghua Science and Technology; Journal of Systems Science and Complexity; SIAM Journal on Financial Mathematics; Journal of Credit Risk; Managerial Finance; Systems and Control Letters

Mathematical Reviews (American Mathematical Society)

  1. Review on "Option Pricing Driven by Compound Poisson Process and Meixner Process", (Math. Appl. (Wuhan)) by Feng, Ya Qin, Wan, Jian Ping and Li, Shang Hong. Mathematical Reviews, 18, 2005, MR2197249.
  2. Review on "The Pricing for a Class of Barrier Options", (J. Fudan Univ. Nat.Sci.) by Rong Hu, Nan-jing Huang, Chang-wen Zhao and Byung-Soo Lee. Mathematical Reviews, 11(1), 2006, MR2251463.
  3. Review on "Research on the Portfolio Selection of Risk-Averse Investors", (Nonlinear Anal. Forum) by Fang Shu-hong. Mathematical Reviews, 45(2), 2006, MR2197249.
  4. Review on "Intertemporal Price-Quality Discrimination and the Coase Conjecture", (J. Math. Econom.) by Praveen Kumar. Mathematical Reviews, 42, 2006, MR2268708.
  5. Review on "The Arbitrage Pricing Theorem with Incomplete Preferences", (Mathematical Social Sciences) by David Kelsey and Erkan Yalcin. Mathe matical Reviews, 54, 2007, MR2335257.
  6. Review on "Indifference Pricing and Hedging for Volatility Derivatives", (Applied Mathematical Finance), by Grasselli, M. R. and Hurd, T. R. Mathemat- ical Reviews, 14(4), 2007, MR2349306.
  7. Review on "Pricing Financial Claims Contingent Upon an Underlying Asset Monitored at Discrete Times", (Journal of Engineering Mathematcs) by Green, Ross, Abrahams, David I. and Fusai, Gianluca. Mathematical Reviews, 59, 2007, MR2373799.
  8. Review on "Minimal Pricing Models for European Stock Options Under Knight's Uncertainty", (J. Shandong Univ. Nat. Sci.) by Nie, Xiu Shan. Mathematical Reviews, 42(11), 2007, MR2404366.
  9. Review on "Valuation of Two Quanto Options Under a Single-Factor HJM Term Structure", (Math. Appl. (Wuhan)) by Li, Shu Jin. Mathematical Reviews, 21(2), 2008, MR2431311.
  10. Review on "Scenarios for Price Determination in Incomplete Markets", (Int. J. Theor. Appl. Finance) by Xanthopoulos, S.Z. and Yannacopoulos, A.N. Mathematical Review, 11(5), 2008, MR2450223

Conferences and Invited Seminars

  1. Conference for Researchers in Social Science, 2000, Faculty of Social Science, University of Hong Kong
  2. Quantitative Methods in Finance and Bernoulli Society 2000 Conference, University of Technology, Sydney (December 2000)
  3. Conference for Researchers in Social Science, 2001, Faculty of Social Science, University of Hong Kong
  4. Invited Speaker, Institute of Statistical Science, Academia Sinica, Taiwan (February 2001)
  5. The Fifth ICSA International Conference, University of Hong Kong (August2001)
  6. Invited Speaker, NUS Inter-faculty seminar on Financial Mathematics, National University of Singapore (January 2002)
  7. Invited Speaker, Department of Statistics and Actuarial Science, Feng Chia University, Taiwan (March 2003)
  8. Invited Speaker, Conference on Insurance Mathematics, Ruin Theory and Monte Carlo Methods, University of Hong Kong (June 2004)
  9. Seminar in Financial Mathematics, Department of Actuarial Mathematics and Statistics, School of Mathematical and Computer Sciences, Heriot-Watt University, Edinburgh, United Kingdom (March 2005)
  10. Invited Speaker, Operational Research and Optimization Group, School of Mathematics, University of Edinburgh, United Kingdom (March 2005)
  11. Actuarial Teaching and Research Conference, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh, United Kingdom (July 2005)
  12. A Conference in Honor of Professor Robert J. Elliott, Haskayne School of Business, University of Calgary, Canada (July 2005)
  13. 10th International Congress on Insurance: Mathematics and Economics, Catholic University of Leuven, Belgium (July 2006)
  14. Invited Speaker, Department of Systems Engineering and Engineering Management, Chinese University of Hong Kong (January 2007)
  15. Invited Speaker, Colloquium, Department of Mathematics, Hong Kong Baptist University (January 2007)
  16. Invited Speaker, Department of Mathematics and Statistics, York University, Canada (March 2007)
  17. Invited Speaker, School of Economics and Finance, University of St. Andrew, United Kingdom (November 2007)
  18. Quantitative Methods in Finance and Bernoulli Society 2007 Conference, University of Technology, Sydney, Australia (December 2007)
  19. 12th International Congress on Insurance: Mathematics and Economics, Dalian, China (July 2008); Presentation and the chair of a session
  20. Departmental seminar, Department of Mathematics and Statistics, Faculty of Science and Engineering, Curtin University of Technology, Perth, Western Australia, Australia (August 2008)
  21. Invited Speaker, Department of Actuarial Studies, Macquarie University, Sydney, Australia (August 2008)
  22. Quantitative Methods in Finance and Bernoulli Society 2008 Conference, University of Technology, Sydney, Australia (December 2008)
  23. Invited Speaker, School of Mathematics and Statistics, The University of Western Australia, Perth, Australia (March 2009)
  24. Invited Speaker, Workshop on Stochastic Analysis and Finance, City University of Hong Kong, Hong Kong (June-July 2009)
  25. Departmental Seminar, Department of Actuarial Studies, Faculty of Business and Economics, Macquarie University, Sydney, Australia (August 2009)
  26. Invited Speaker, School of Mathematics and Statistics, The University of Sydney, Australia (August 2009)
  27. Quantitative Methods in Finance and Bernoulli Society 2009 Conference, University of Technology, Sydney, Australia (December 2009); Presentation and the chair of a session
  28. Invited Speaker, International Conference on Actuarial and Financial Risks, East China Normal University, Shanghai, China (January 2010)
  29. Invited Speaker, Departmental Seminar, Department of Statistics and Actuarial Science, University of Hong Kong, Hong Kong (April 2010).
  30. Invited Speaker, Departmental Seminar, Department of Actuarial Studies, Australian School of Business, University of New South Wales, Sydney (May 2010)
  31. 14th International Congress on Insurance: Mathematics and Economics, Toronto, Canada (June 2010); Presentation and the chair of a session
  32. Invited Speaker, School of Mathematics and Statistics, The University of Sydney, Australia (September 2010)
  33. Departmental Seminar, Department of Actuarial Studies, Macquarie University, Sydney, Australia (October 2010)
  34. Invited Speaker, Department of Mathematics, Wayne State University, United States (November 2010)
  35. Quantitative Methods in Finance and Bernoulli Society 2010 Conference, University of Technology, Sydney, Australia (December 2010)
  36. Invited Speaker, Workshop on Recent Advances in Nonlinear Time Series Analysis, National University of Singapore (February 2011)