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- 2015
-
Mark
A Stability Analysis of the Nord Pool system using hourly spot price data.
Lindström, Erik LU
and Norén, Vicke
(2015)
In Journal of Energy Challenges and Mechanics
2(3).
p.85-90
- Contribution to journal › Article
-
Mark
Stylised facts of financial time series and hidden Markov models in continuous time
Peter, Nystrup ; Henrik, Madsen and Lindström, Erik LU
(2015)
In Quantitative Finance
15(9).
p.1531-1541
- Contribution to journal › Article
-
Mark
Regime-Based Versus Static Asset Allocation: Letting the Data Speak
Peter, Nystrup ; Bo William, Hansson ; Henrik, Madsen and Lindström, Erik LU
(2015)
In Journal of Portfolio Management
42(1).
p.103-109
- Contribution to journal › Article
-
Mark
Statistics for Finance
Lindström, Erik LU
; Madsen, Henrik
and Nygaard Nielsen, Jan
(2015)
In Chapman & Hall/CRC Texts in Statistical Science
- Book/Report › Book
-
Mark
Stylized Facts of Financial Time Series and Hidden Markov Models with Time-Varying Parameters
Nystrup, Peter ; Madsen, Henrik and Lindström, Erik LU
(2015)
22nd International Conference on Forecasting Financial Markets
- Contribution to conference › Paper, not in proceeding
-
Mark
Stylized facts of financial time series hidden Markov models with time varying parameters
Nystrup, Peter ; Madsen, Henrik and Lindström, Erik LU
(2015)
22nd International Forecasting Financial Markets Conference
- Contribution to conference › Paper, not in proceeding
- 2014
-
Mark
Filtering and Parameter Estimation of Partially Observed Diffusion Processes Using Gaussian RBFs
Höök, Josef ; Larsson, Elisabeth ; Lindström, Erik LU
and von Sydow, Lina
(2014)
2014 SIAM Conference on Financial Mathematics and Engineering
In [Publication information missing]
- Contribution to journal › Published meeting abstract
-
Mark
Fast Valuation of Options Under Parameter Uncertainty
- Contribution to conference › Paper, not in proceeding
-
Mark
Fast Simultaneous Calibration and Quadratic Hedging under Parameter Uncertainty
Wiktorsson, Magnus LU and Lindström, Erik LU
(2014)
8th World Congress of the Bachelier Finance Society
- Contribution to conference › Abstract
-
Mark
A fast adjoint-based quasi-likelihood parameter estimation method for diffusion processes
Höök, Josef and Lindström, Erik LU
(2014)
8th World Congress of the Bachelier Finance Society
In [Publication information missing]
- Contribution to journal › Published meeting abstract