Financial Mathematics Group
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- 2006
-
Mark
Multivariate generalized Pareto distributions
(
- Contribution to journal › Article
-
Mark
Calibration of Option Valuation Models using Sequential Monte Carlo Methods
2006) 13th International Conference on Forecasting Financial Markets(
- Contribution to conference › Paper, not in proceeding
-
Mark
Adaptive Calibration of Risk Neutral Parameters with Applications to Option Valuation
2006) Forth World Congress Bachelier Finance Society(
- Contribution to conference › Abstract
-
Mark
Are Option Values Stochastic
2006) 21th Nordic Conference on Mathematical Statistics(
- Contribution to conference › Abstract
- 2005
-
Mark
Are Option Prices Stochastic?
2005) 36st Meeting of the EURO Working Group on Financial Modelling(
- Contribution to conference › Abstract
- 2004
-
Mark
Pricing of some exotic options with NIG-Levy input
(
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
-
Mark
Prediction regions for bivariate extreme events
(
- Contribution to journal › Article
-
Mark
A peaks over threshold model for change-point detection by wavelets
(
- Contribution to journal › Article
-
Mark
Statistical Modeling of Diffusion Processes with Financial Applications
2004)(
- Thesis › Doctoral thesis (compilation)
- 2003
-
Mark
Estimation and Model Validation of Diffusion Processes
2003)(
- Thesis › Licentiate thesis