Submitted Papers

1. Robert J. Elliott, Tak-Kuen Siu and Eric S. Fung (2009). Filtering a Nonlinear Stochastic Volatility Model.

2. Eric S. Fung and Tak-Kuen Siu (2009). A Flexible Multivariate Markov Chain Model for Dependent Credit Ratings.

3. Eric S. Fung, Ching-Wah Ho and Tak-Kuen Siu (2009). A Markov Chain Quasi-Monte Carlo Method for Bayesian Estimation of Stochastic Volatility Models.

4. Tak-Kuen Siu, Eric S. Fung and Michael K.Ng (2008) Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model.

5. Tak-Kuen Siu, Wai-Ki Ching, Eric S. Fung and Michael K.Ng (2006). Option Valuation Under Multivariate Markov Chain Model via Esscher Transform.