Financial Mathematics Group

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2023
Mark GENERALIZED INFORMATION CRITERIA FOR SPARSE STATISTICAL JUMP MODELS
Cortese, Federico ^LU ; Kolm, Petter Nils ^LU and Lindström, Erik ^LU (2023) p.68-78
- Chapter in Book/Report/Conference proceeding › Book chapter
2020
Mark Learning hidden Markov models with persistent states by penalizing jumps
Nystrup, Peter ^LU ; Lindström, Erik ^LU and Madsen, Henrik (2020) In Expert Systems with Applications 150.
- Contribution to journal › Article
Mark Hyperparameter Optimization for Portfolio Selection
Nystrup, Peter ^LU ; Lindström, Erik ^LU and Henrik, Madsen (2020) In The Journal of Financial Data Science 2(2).
- Contribution to journal › Article
2019
Mark Simulation and Estimation of Diffusion Processes : Applications in Finance
Åkerlindh, Carl ^LU (2019) In Doctoral Theses in Mathematical Sciences 2019(4).
- Thesis › Doctoral thesis (compilation)
Mark BENCHOP–SLV : the BENCHmarking project in Option Pricing–Stochastic and Local Volatility problems
von Sydow, Lina ; Milovanović, Slobodan ; Larsson, Elisabeth ; In't Hout, Karel ; Wiktorsson, Magnus ^LU ; Oosterlee, Cornelis W. ; Shcherbakov, Victor ; Wyns, Maarten ; Leitao, Alvaro and Jain, Shashi , et al. (2019) In International Journal of Computer Mathematics
- Contribution to journal › Article
Mark Spatial statistical modelling of insurance risk : a spatial epidemiological approach to car insurance
Tufvesson, Oskar ; Lindström, Johan ^LU and Lindström, Erik ^LU (2019) In Scandinavian Actuarial Journal 2019(6). p.508-522
- Contribution to journal › Article
2018
Mark Optimal adaptive sequential calibration of option models
Lindström, Erik ^LU and Åkerlindh, Carl ^LU (2018) In International Series in Operations Research and Management Science 257. p.165-181
- Chapter in Book/Report/Conference proceeding › Book chapter
Mark A general approach to generate random variates for multivariate copulae
Tajvidi, Nader ^LU and Turlach, Berwin (2018) In Australian & New Zealand Journal of Statistics 60(1). p.140-155
- Contribution to journal › Article
Mark A Variance-Reduced Multilevel Monte Carlo Algorithm for Maximum Likelihood Inference in Multivariate Diffusions
Lindström, Erik ^LU and Åkerlindh, Carl ^LU (2018) 12th International Workshop on Rare-Event Simulation
- Contribution to conference › Abstract
2017
Mark Long Memory of Financial Time Series and Hidden Markov Models with Time-Varying Parameters
Nystrup, Peter ; Madsen, Henrik and Lindström, Erik ^LU (2017) In Journal of Forecasting 36(8). p.989-1002
- Contribution to journal › Article

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