Mathematical Finance

1. Eric S. Fung Wai-Ki Ching and Tak-Kuen Siu (2009). A Mixture Price Trend Model for Long-Term Risk Management, Business Intelligence in Economic Forecasting: Technologies and Techniques, Accepted.

2. Eric S. Fung and Tak-Kuen Siu (2009). A Double Mover-Stayer Model for Credit Ratings, International Journal of Information and Systems Science, Accepted.

3. Tak-Kuen Siu, Wai-Ki Ching, Eric S. Fung, Michael K. Ng and X. Li (2009). A Higher-Order Markov-Switching Model for Risk Measurement. International Journal of Computer and Mathematics with Applications, 58, 1-10.

4. Eric S. Fung and Michael K. Ng (2008). Nonnegative Matrix Factorization for Interactive Hidden Markov Models, Recent Advances in Computational Mathematics, Higher Education Press, Beijing & International Press of Boston, Somerville.

5. Tak Kuen Siu, Michael K. Ng and Eric S. Fung (2008). On Neural Network Conditional Autoregressive Value at Risk, Mathematical Modelling and Applied Computing, (1) 1.

6. 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, 543-556.

7. 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, Journal of Computational Economics 26, 251-284.