Ken Seng Tan

According to our database, Ken Seng Tan authored at least 15 papers between 2002 and 2025.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2025

Dimension reduction for Quasi-Monte Carlo methods via quadratic regression.

Junichi Imai, Ken Seng Tan

Math. Comput. Simul., 2025

2024

Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation.

Hengxin Cui, Ken Seng Tan, Fan Yang

Ann. Oper. Res., January, 2024

2022

Optimal dynamic longevity hedge with basis risk.

Ken Seng Tan, Chengguo Weng, Jinggong Zhang

Eur. J. Oper. Res., 2022

2021

Failure of Smooth Pasting Principle and Nonexistence of Equilibrium Stopping Rules under Time-Inconsistency.

Ken Seng Tan, Wei Wei, Xun Yu Zhou

SIAM J. Control. Optim., 2021

2020

Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle.

Ken Seng Tan, Pengyu Wei, Wei Wei, Sheng Chao Zhuang

Eur. J. Oper. Res., 2020

2016

Optimal VaR-based risk management with reinsurance.

Jianfa Cong, Ken Seng Tan

Ann. Oper. Res., 2016

2014

Pricing Derivative Securities Using Integrated Quasi-Monte Carlo Methods with Dimension Reduction and Discontinuity Realignment.

Junichi Imai, Ken Seng Tan

SIAM J. Sci. Comput., 2014

2013

Pricing and Hedging with Discontinuous Functions: Quasi-Monte Carlo Methods and Dimension Reduction.

Xiaoqun Wang, Ken Seng Tan

Manag. Sci., 2013

2012

How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?

Xiaoqun Wang, Ken Seng Tan

J. Complex., 2012

2009

An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic L[e-acute]vy Process.

Junichi Imai, Ken Seng Tan

SIAM J. Sci. Comput., 2009

2008

Optimal Investment with Noise Trading Risk.

Yunhui Xu, Zhongfei Li, Ken Seng Tan

J. Syst. Sci. Complex., 2008

2006

A parallel quasi-Monte Carlo approach to pricing multidimensional American options.

Justin W. L. Wan, Kevin Lai, Adam W. Kolkiewicz, Ken Seng Tan

Int. J. High Perform. Comput. Netw., 2006

2004

A Parallel Quasi-Monte Carlo Approach to Pricing American Options.

Justin W. L. Wan, Kevin Lai, Adam W. Kolkiewicz, Ken Seng Tan

Proceedings of the 18th Annual Symposium on High Performance Computing Systems and Applications, 2004

2003

An improved simulation method for pricing high-dimensional American derivatives.

Phelim P. Boyle, Adam W. Kolkiewicz, Ken Seng Tan

Math. Comput. Simul., 2003

2002

Derivatives and credit risk: enhanced quasi-monte carlo methods with dimension reduction.

Junichi Imai, Ken Seng Tan

Proceedings of the 34th Winter Simulation Conference: Exploring New Frontiers, 2002