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- 2014
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Mark
A fast adjoint-based quasi-likelihood parameter estimation method for diffusion processes
(
- Contribution to journal › Published meeting abstract
- 2013
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Mark
Simultaneous Calibration and Quadratic Hedging of Options
(
- Contribution to journal › Article
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Mark
Tuned iterated filtering
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- Contribution to journal › Article
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Mark
Semiparametric lag dependent functions
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- Contribution to journal › Article
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Mark
Simultaneous Calibration and Quadratic Hedging of Options
2013) 8th BMRC - QASS Conference on Macro and Financial Economics(
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
- 2012
-
Mark
A regularized bridge sampler for sparsely sampled diffusions
(
- Contribution to journal › Article
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Mark
A Monte Carlo EM algorithm for discretely observed Diffusions, Jump-diffusions and Lévy-driven Stochastic Differential Equations
2012) In International Journal of Mathematical Models and Methods in Applied Sciences 6(5). p.643-651(
- Contribution to journal › Article
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Mark
Independent Spike Models: Estimation and Validation
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- Contribution to journal › Article
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Mark
Modeling extreme dependence between European electricity markets
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- Contribution to journal › Article
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Mark
Model uncertainty, Model selection and Option Valuation
(
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding