Ken Seng Tan

Publication Activity (10 Years)

Years Active: 2002-2024
Publications (10 Years): 5

Top Topics

Convertible Bonds

Risk Management

Monte Carlo Methods

Dimension Reduction

Top Venues

Ann. Oper. Res.

Eur. J. Oper. Res.

SIAM J. Control. Optim.

SIAM J. Sci. Comput.

Publications

Hengxin Cui, Ken Seng Tan, Fan Yang
Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation. Ann. Oper. Res. 332 (1) (2024)
Ken Seng Tan, Chengguo Weng, Jinggong Zhang
Optimal dynamic longevity hedge with basis risk. Eur. J. Oper. Res. 297 (1) (2022)
Ken Seng Tan, Wei Wei, Xun Yu Zhou
Failure of Smooth Pasting Principle and Nonexistence of Equilibrium Stopping Rules under Time-Inconsistency. SIAM J. Control. Optim. 59 (6) (2021)
Ken Seng Tan, Pengyu Wei, Wei Wei, Sheng Chao Zhuang
Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle. Eur. J. Oper. Res. 282 (1) (2020)
Jianfa Cong, Ken Seng Tan
Optimal VaR-based risk management with reinsurance. Ann. Oper. Res. 237 (1-2) (2016)
Junichi Imai, Ken Seng Tan
Pricing Derivative Securities Using Integrated Quasi-Monte Carlo Methods with Dimension Reduction and Discontinuity Realignment. SIAM J. Sci. Comput. 36 (5) (2014)
Xiaoqun Wang, Ken Seng Tan
Pricing and Hedging with Discontinuous Functions: Quasi-Monte Carlo Methods and Dimension Reduction. Manag. Sci. 59 (2) (2013)
Xiaoqun Wang, Ken Seng Tan
How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance? J. Complex. 28 (2) (2012)
Junichi Imai, Ken Seng Tan
An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic L[e-acute]vy Process. SIAM J. Sci. Comput. 31 (3) (2009)
Yunhui Xu, Zhongfei Li, Ken Seng Tan
Optimal Investment with Noise Trading Risk. J. Syst. Sci. Complex. 21 (4) (2008)
Justin W. L. Wan, Kevin Lai, Adam W. Kolkiewicz, Ken Seng Tan
A parallel quasi-Monte Carlo approach to pricing multidimensional American options. Int. J. High Perform. Comput. Netw. 4 (5/6) (2006)
Justin W. L. Wan, Kevin Lai, Adam W. Kolkiewicz, Ken Seng Tan
A Parallel Quasi-Monte Carlo Approach to Pricing American Options. HPCS (2004)
Phelim P. Boyle, Adam W. Kolkiewicz, Ken Seng Tan
An improved simulation method for pricing high-dimensional American derivatives. Math. Comput. Simul. 62 (3-6) (2003)
Junichi Imai, Ken Seng Tan
Derivatives and credit risk: enhanced quasi-monte carlo methods with dimension reduction. WSC (2002)