Financial Mathematics Group
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- 2010
-
Mark
In-sample Properties of the Berkowitz Density Forecast Test
(
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
-
Mark
Predicting Wind Fields using Physical Models
(
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
-
Mark
Likelihood Inference in Jump Diffusion driven SDE's
(
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
- 2009
-
Mark
Non-Linear Portmanteau Tests
2009) 15th IFAC Symposium on System Identification(
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
-
Mark
Fast simulated annealing in R-d with an application to maximum likelihood estimation in state-space models
(
- Contribution to journal › Article
-
Mark
Predicting future values of a random function
(
- Contribution to journal › Article
- 2008
-
Mark
Sequential Calibration of Options
(
- Contribution to journal › Article
-
Mark
Estimating objective parameters in jump-diffusions
2008) Fifth World Congress of the Bachelier Finance Society(
- Contribution to conference › Paper, not in proceeding
-
Mark
Hedging errors induced by discrete trading under an adaptive trading strategy
2008) Fifth World Congress Bachelier Finance Society(
- Contribution to conference › Abstract
- 2007
-
Mark
Estimating parameters in diffusion processes using an approximate maximum likelihood approach
(
- Contribution to journal › Article