Erik Lindström
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- 2016
-
Mark
Efficient computation of the quasi likelihood function for discretely observed diffusion processes
Höök, Lars Josef and Lindström, Erik LU
(2016)
In Computational Statistics & Data Analysis
103.
p.426-437
- Contribution to journal › Article
-
Mark
Dynamic Portfolio Optimization Across Hidden Market Regimes
Nystrup, Peter ; Madsen, Henrik and Lindström, Erik LU
(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
Larsson, Elisabeth ; Höök, Lars Josef ; Lindström, Erik LU
and von Sydow, Lina
(2016)
SIAM Conference on Financial Mathematics and Engineering
- Contribution to conference › Paper, not in proceeding
-
Mark
Multilevel Monte Carlo Methods for Simulated Maximum Likelihood Inference in Multivariate Diffusions
- Contribution to conference › Paper, not in proceeding
-
Mark
Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation
Nystrup, Peter ; Hansson, Bo William ; Madsen, Henrik and Lindström, Erik LU
(2016)
In Journal of Asset Management
17(5).
p.361-374
- Contribution to journal › Article
-
Mark
Practical Applications Summary: Regime-Based versus Static Asset Allocation: Letting the Data Speak
Peter, Nystrup ; Bo William, Hansson ; Madsen, Henrik and Lindström, Erik LU
(2016)
In Journal of Portfolio Management
42(1).
p.103-109
- Contribution to journal › Article
- 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
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
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
BENCHOP—The BENCHmarking project in Option Pricing
von Sydow, Lina ; Höök, Lars Josef ; Larsson, Elisabeth ; Lindström, Erik LU
; Milovanović, Slobodan
; Persson, Jonas
; Shcherbakov, Victor
; Shpolyanskiy, Yuri
; Sirén, Samuel
and Toivanen, Jari
, et al.
(2015)
In International Journal of Computer Mathematics
92(12).
p.2361-2379
- Contribution to journal › Article