Ken Seng Tan

15 papers Misc 1Journal 13Unranked 1
YearRankTypeTitle / Venue / Authors
2025 J jnl
Dimension reduction for Quasi-Monte Carlo methods via quadratic regression.
Math. Comput. Simul.
Junichi Imai, Ken Seng Tan
2024 J jnl
Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation.
Ann. Oper. Res.
Hengxin Cui, Ken Seng Tan, Fan Yang
2022 J jnl
Optimal dynamic longevity hedge with basis risk.
Eur. J. Oper. Res.
Ken Seng Tan, Chengguo Weng, Jinggong Zhang
2021 J jnl
Failure of Smooth Pasting Principle and Nonexistence of Equilibrium Stopping Rules under Time-Inconsistency.
SIAM J. Control. Optim.
Ken Seng Tan, Wei Wei, Xun Yu Zhou
2020 J jnl
Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle.
Eur. J. Oper. Res.
Ken Seng Tan, Pengyu Wei, Wei Wei, Sheng Chao Zhuang
2016 J jnl
Optimal VaR-based risk management with reinsurance.
Ann. Oper. Res.
Jianfa Cong, Ken Seng Tan
2014 J jnl
Pricing Derivative Securities Using Integrated Quasi-Monte Carlo Methods with Dimension Reduction and Discontinuity Realignment.
SIAM J. Sci. Comput.
Junichi Imai, Ken Seng Tan
2013 J jnl
Pricing and Hedging with Discontinuous Functions: Quasi-Monte Carlo Methods and Dimension Reduction.
Manag. Sci.
Xiaoqun Wang, Ken Seng Tan
2012 J jnl
How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?
J. Complex.
Xiaoqun Wang, Ken Seng Tan
2009 J jnl
An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic L[e-acute]vy Process.
SIAM J. Sci. Comput.
Junichi Imai, Ken Seng Tan
2008 J jnl
Optimal Investment with Noise Trading Risk.
J. Syst. Sci. Complex.
Yunhui Xu, Zhongfei Li, Ken Seng Tan
2006 J jnl
A parallel quasi-Monte Carlo approach to pricing multidimensional American options.
Int. J. High Perform. Comput. Netw.
Justin W. L. Wan, Kevin Lai, Adam W. Kolkiewicz, Ken Seng Tan
2004 — conf
A Parallel Quasi-Monte Carlo Approach to Pricing American Options.
HPCS
Justin W. L. Wan, Kevin Lai, Adam W. Kolkiewicz, Ken Seng Tan
2003 J jnl
An improved simulation method for pricing high-dimensional American derivatives.
Math. Comput. Simul.
Phelim P. Boyle, Adam W. Kolkiewicz, Ken Seng Tan
2002 Misc conf
Derivatives and credit risk: enhanced quasi-monte carlo methods with dimension reduction.
WSC
Junichi Imai, Ken Seng Tan