Financial Mathematics Group
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- 2017
-
Mark
Multi-Period Portfolio Selection with Drawdown Control
2017) International Symposium on Forecasting, 2017(
- Contribution to conference › Paper, not in proceeding
-
Mark
Long Memory of Financial Time Series and Hidden Markov Models with Time-Varying Parameters
(
- Contribution to journal › Article
- 2016
-
Mark
Multilevel Monte Carlo Methods for Simulated Maximum Likelihood Inference in Multivariate Diffusions
2016) WORLD CONGRESS OF THE BACHELIER FINANCE SOCIETY(
- Contribution to conference › Paper, not in proceeding
-
Mark
Efficient computation of the quasi likelihood function for discretely observed diffusion processes
(
- Contribution to journal › Article
-
Mark
Dynamic Portfolio Optimization Across Hidden Market Regimes
2016) SIAM Conference on Financial Mathematics and Engineering(
- Contribution to conference › Paper, not in proceeding
-
Mark
Parameter Estimation in Finance Using Radial Basis Function Methods
2016) SIAM Conference on Financial Mathematics and Engineering(
- Contribution to conference › Paper, not in proceeding
-
Mark
Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation
(
- Contribution to journal › Article
-
Mark
Practical Applications Summary: Regime-Based versus Static Asset Allocation: Letting the Data Speak
(
- Contribution to journal › Article
- 2015
-
Mark
Consumption management in the Nord Pool region: A stability analysis
(
- Contribution to journal › Article
-
Mark
A Stability Analysis of the Nord Pool system using hourly spot price data.
(
- Contribution to journal › Article