• SHSS

    • Dr SIU Chi Chung （蕭志中博士）
    B.A. (Berkeley)
    M.Sc. (HKUST)
    Ph.D. (TMU)

    Associate Head and Assistant Professor
    Programme Director of BSc – AIN Programme
    Department of Mathematics, Statistics and Insurance


    電話 : (852)3963 5456
    電郵 :
    ccsiu@hsu.edu.hk


    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.


    AwardsResearch InterestsService and Professional ExperiencePublicationsResearch Grants
    TopAwards
    • Human Asian Resource Fund (3-Year Full Ph.D. Scholarship), Tokyo Metropolitan Government, September 2009–August 2012.
    • 2013 Outstanding Referee Award from the Journal of Economic Dynamics and Control.
    TopResearch Interests
    • Operations Research
    • Applied Stochastic Controls
    • Stochastic Differential Games
    • Financial Mathematics
    • Actuarial Mathematics
    TopService 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
    TopPublications

    Journal Articles

    • 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, Vol. 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, Vol 278(3), 976-988.
    • Siu, C.C., Guo, I., Zhu, S.-P., Elliott, R. J. (2019) “Optimal execution with regime- switching market resilience,” Journal of Economic Dynamics and Control, Vol 101, 17-40.
    • Siu, C. C., Yam, S. C. P., Yang, H., 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., 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., 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., 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” (2014) International Journal of Theoretical and Applied Finance, 17(3), 1450021 [41 pages].

    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.
    TopResearch Grants
    • (UGC/FDS14/P02/20) HK$759,100 “Generalized Sethi Advertising Model and Extensions,” funded by the University Grants Committee (UGC) 2020/2021. (PI)