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Nystrup, Peter; Madsen, Henrik; Lindström, Erik (2015). Stylized facts of financial time series hidden Markov models with time varying parameters . 22nd International Forecasting Financial Markets Conference. Rennes, France
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Nystrup, Peter; Madsen, Henrik; Lindström, Erik (2015). Stylized Facts of Financial Time Series and Hidden Markov Models with Time-Varying Parameters . 22nd International Conference on Forecasting Financial Markets. Rennes, France
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Lindström, Erik; Madsen, Henrik; Nygaard Nielsen, Jan (2015). Statistics for Finance Chapman & Hall/CRC Texts in Statistical Science: Chapman and Hall
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Lindström, Erik; Norén, Vicke (2015). A Stability Analysis of the Nord Pool system using hourly spot price data.. Journal of Energy Challenges and Mechanics, 2, (3), 85 - 90
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Peter, Nystrup; Bo William, Hansson; Henrik, Madsen; Lindström, Erik (2015). Regime-Based Versus Static Asset Allocation: Letting the Data Speak. Journal of Portfolio Management, 42, (1), 103 - 109
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Peter, Nystrup; Henrik, Madsen; Lindström, Erik (2015). Stylised facts of financial time series and hidden Markov models in continuous time. Quantitative Finance, 15, (9), 1531 - 1541
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Höök, Josef; Lindström, Erik (2014). A fast adjoint-based quasi-likelihood parameter estimation method for diffusion processes [Publication information missing]. 8th World Congress of the Bachelier Finance Society
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Lindström, Erik; Åkerlindh, Carl (2014). Tuned Sequential Calibration of Options . Euro Working Group for Commodities and Financial Modelling 2014 (EWGCFM 14). Milan, Italy
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Lindström, Erik; Wu, Hanna (2014). Fast Valuation of Options Under Parameter Uncertainty . 21st International Forecasting Financial Markets Conference. Marseille, France
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Wiktorsson, Magnus; Lindström, Erik (2014). Fast Simultaneous Calibration and Quadratic Hedging under Parameter Uncertainty . 8th World Congress of the Bachelier Finance Society
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Höök, Josef; Larsson, Elisabeth; Lindström, Erik; von Sydow, Lina (2014). Filtering and Parameter Estimation of Partially Observed Diffusion Processes Using Gaussian RBFs [Publication information missing]. 2014 SIAM Conference on Financial Mathematics and Engineering. Chicago, Illinois, United States
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Lindström, Erik; Jingyi, Guo (2013). Simultaneous Calibration and Quadratic Hedging of Options [Host publication title missing]. 8th BMRC - QASS Conference on Macro and Financial Economics: BMRC-QASS
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Lindström, Erik (2013). Tuned iterated filtering. Statistics and Probability Letters, 83, (9), 2077 - 2080
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Lindström, Erik; Guo, Jingyi (2013). Simultaneous Calibration and Quadratic Hedging of Options. Quantitative and Qualitative Analysis in Social Sciences, 7, (1)
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Lindström, Erik (2013). Semiparametric lag dependent functions. Applied Mathematical Sciences, 7, (12), 551 - 566
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Lindström, Erik; Ionides, Edward; Frydendall, Jan; Madsen, Henrik (2012). Efficient Iterated Filtering IFAC-PapersOnLine (System Identification, Volume 16), 1785 - 1790. 16th IFAC Symposium on System Identification. Brussels, Belgium: Elsevier
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Lindström, Erik (2012). Inference for Non-linear Diffusions and Jump-Diffusions: A Monte Carlo EM approach. Nola, Vincenzo; Kadoch, Michel; Zemilak, Alexander (Eds.). Recent Researches in Automatic Control and Electronics, Proceedings of the 14th International Conference on Automatic Control, Modelling & Simulation (ACMOS '12), 110 - 115. 14th International Conference on Automatic Control, Modelling & Simulation (ACMOS '12): WSEAS Press
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Lindström, Erik; Strålfors, Johan (2012). Model uncertainty, Model selection and Option Valuation. Linde, Peter (Ed.). Symposium i anvendt statistik 2012, 229 - 238. 34. Symposium i Anvendt Statistik: Danmarks Statistik & Copenhagen Business School
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Lindström, Erik (2012). A Monte Carlo EM algorithm for discretely observed Diffusions, Jump-diffusions and Lévy-driven Stochastic Differential Equations. International Journal of Mathematical Models and Methods in Applied Sciences, 6, (5), 643 - 651
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Regland, Fredrik; Lindström, Erik (2012). Independent Spike Models: Estimation and Validation. Finance a Úver, 62, (2), 180 - 196
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Lindström, Erik (2012). A regularized bridge sampler for sparsely sampled diffusions. Statistics and Computing, 22, (2), 615 - 623
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Lindström, Erik; Regland, Fredrik (2012). Modeling extreme dependence between European electricity markets. Energy Economics, 34, (4), 899 - 904
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Lindström, Erik; Regland, Fredrik (2011). Modeling spike and drops dependence in european electricity markets EWEA 2011, Proceedings. EWEA 2011
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Wiktorsson, Magnus; Brodén, Mats (2011). On the Convergence of Higher Order Hedging Schemes: The Delta-Gamma Case. SIAM Journal on Financial Mathematics, 2,, 55 - 78
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Olof, Hellquist; Lindström, Erik; Ströjby, Jonas (2010). Likelihood Inference in Jump Diffusion driven SDE's. Peter, Linde (Ed.). Symposium i anvendt Statistik 2010, 269 - 278. 32. Symposium i Anvendt Statistik. Copenhagen, Denmark
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Lindström, Erik; Vilhelmsson, Anders (2010). In-sample Properties of the Berkowitz Density Forecast Test. Peter, Linde (Ed.). Symposium i anvendt Statistik 2010, 293 - 302. 32. Symposium i Anvendt Statistik. Copenhagen, Denmark
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Lindström, Erik; Regland, Fredrik (2010). Evaluating independent spike models. Tichý, Tomáš; Kopa, Miloš (Eds.). Proceedings of 47th EWGFM meeting, 109 - 117. 47th EWGFM meeting: VŠB – Technical University of Ostrava & Charles University in Prague
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Lindström, Erik (2010). Implications of parameter uncertainty on option prices. Advances in Decision Sciences, 2010,, 1 - 15
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Ströjby, Jonas; Lindström, Erik (2008). Estimating objective parameters in jump-diffusions . Fifth World Congress of the Bachelier Finance Society
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Brodén, Mats; Wiktorsson, Magnus (2008). Hedging errors induced by discrete trading under an adaptive trading strategy . Fifth World Congress Bachelier Finance Society. London, United Kingdom
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Lindström, Erik; Ströjby, Jonas; Brodén, Mats; Wiktorsson, Magnus, et al. (2008). Sequential Calibration of Options. Computational Statistics and Data Analysis, 52,, 2877 - 2891
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Lindström, Erik (2007). Estimating parameters in diffusion processes using an approximate maximum likelihood approach. Annals of Operations Research, 151, (1), 269 - 288
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Lindström, Erik; Ströjby, Jonas; Brodén, Mats; Wiktorsson, Magnus, et al. (2006). Calibration of Option Valuation Models using Sequential Monte Carlo Methods . 13th International Conference on Forecasting Financial Markets. Aix-en-Provence, France
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Lindström, Erik; Ströjby, Jonas; Brodén, Mats; Wiktorsson, Magnus, et al. (2006). Adaptive Calibration of Risk Neutral Parameters with Applications to Option Valuation . Forth World Congress Bachelier Finance Society
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Lindström, Erik (2006). Are Option Values Stochastic . 21th Nordic Conference on Mathematical Statistics
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Holst, Jan; Lindström, Erik (2005). Are Option Prices Stochastic? . 36st Meeting of the EURO Working Group on Financial Modelling. Brescia, Italy
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Rasmus, Sebastian; Asmussen, S; Wiktorsson, Magnus (2004). Pricing of some exotic options with NIG-Levy input Computational Science - ICCS 2004. Proceedings Part IV. (Lecture Notes in Computer Science), 3039,, 795 - 802. 4th International Conference. Kraków, Poland: Springer
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Persson, Daniel; Sandström, Bo; Holst, Jan; Lindström, Erik (2002). A Wavelet Based Approach to the Head and Shoulders Pattern . Euro Working Group on Financial Modeling 31st Meeting. Cyprus
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