Financial Mathematics Group

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2007
Mark Estimating parameters in diffusion processes using an approximate maximum likelihood approach
Lindström, Erik ^LU (2007) In Annals of Operations Research 151(1). p.269-288
- Contribution to journal › Article
2006
Mark Multivariate generalized Pareto distributions
Rootzén, Holger ^LU and Tajvidi, Nader ^LU (2006) In Bernoulli 12(5). p.917-930
- Contribution to journal › Article
Mark Adaptive Calibration of Risk Neutral Parameters with Applications to Option Valuation
Lindström, Erik ^LU ; Ströjby, Jonas ^LU ; Brodén, Mats ^LU ; Wiktorsson, Magnus ^LU and Holst, Jan ^LU (2006) Forth World Congress Bachelier Finance Society
- Contribution to conference › Abstract
Mark Are Option Values Stochastic
Lindström, Erik ^LU (2006) 21th Nordic Conference on Mathematical Statistics
- Contribution to conference › Abstract
Mark Calibration of Option Valuation Models using Sequential Monte Carlo Methods
Lindström, Erik ^LU ; Ströjby, Jonas ^LU ; Brodén, Mats ^LU ; Wiktorsson, Magnus ^LU and Holst, Jan ^LU (2006) 13th International Conference on Forecasting Financial Markets
- Contribution to conference › Paper, not in proceeding
2005
Mark Are Option Prices Stochastic?
Holst, Jan ^LU and Lindström, Erik ^LU (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
Rasmus, Sebastian ^LU ; Asmussen, S and Wiktorsson, Magnus ^LU (2004) 4th International Conference 3039. p.795-802
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
Mark A peaks over threshold model for change-point detection by wavelets
Raimondo, M and Tajvidi, Nader ^LU (2004) In Statistica Sinica 14(2). p.395-412
- Contribution to journal › Article
Mark Prediction regions for bivariate extreme events
Hall, P and Tajvidi, Nader ^LU (2004) In Australian & New Zealand Journal of Statistics 46(1). p.99-112
- Contribution to journal › Article
Mark Statistical Modeling of Diffusion Processes with Financial Applications
Lindström, Erik ^LU (2004)
- Thesis › Doctoral thesis (compilation)

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