Financial Mathematics Group
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- 2019
-
Mark
BENCHOP–SLV : the BENCHmarking project in Option Pricing–Stochastic and Local Volatility problems
2019) In International Journal of Computer Mathematics(
- Contribution to journal › Article
-
Mark
Multi-period portfolio selection with drawdown control
(
- Contribution to journal › Article
-
Mark
Simulation and Estimation of Diffusion Processes : Applications in Finance
(
- Thesis › Doctoral thesis (compilation)
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Mark
Fourier Method for Valuation of Options under Parameter and State Uncertainty
(
- Contribution to journal › Article
- 2018
-
Mark
Optimal adaptive sequential calibration of option models
(
- Chapter in Book/Report/Conference proceeding › Book chapter
-
Mark
Dynamic portfolio optimization across hidden market regimes
(
- Contribution to journal › Article
-
Mark
A Variance-Reduced Multilevel Monte Carlo Algorithm for Maximum Likelihood Inference in Multivariate Diffusions
2018) 12th International Workshop on Rare-Event Simulation(
- Contribution to conference › Abstract
-
Mark
A general approach to generate random variates for multivariate copulae
(
- Contribution to journal › Article
-
Mark
Unbiased Adaptive LASSO parameter estimation for diffusion processes
(
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
- 2017
-
Mark
Dynamic Allocation or Diversification : A Regime-Based Approach to Multiple Assets
(
- Contribution to journal › Article