Erik Lindström
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- 2013
-
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
-
Mark
Independent Spike Models: Estimation and Validation
(
- Contribution to journal › Article
-
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
-
Mark
Modeling extreme dependence between European electricity markets
(
- Contribution to journal › Article
-
Mark
Model uncertainty, Model selection and Option Valuation
(
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
-
Mark
Efficient Iterated Filtering
(
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
-
Mark
Inference for Non-linear Diffusions and Jump-Diffusions: A Monte Carlo EM approach
2012) 14th International Conference on Automatic Control, Modelling & Simulation (ACMOS '12) p.110-115(
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
- 2011
-
Mark
Modeling spike and drops dependence in european electricity markets
2011) EWEA 2011(
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
- 2010
-
Mark
Implications of parameter uncertainty on option prices
(
- Contribution to journal › Article
-
Mark
Evaluating independent spike models
(
- 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
-
Mark
In-sample Properties of the Berkowitz Density Forecast Test
(
- 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
- 2008
-
Mark
Estimating objective parameters in jump-diffusions
2008) Fifth World Congress of the Bachelier Finance Society(
- Contribution to conference › Paper, not in proceeding
-
Mark
Sequential Calibration of Options
(
- Contribution to journal › Article
- 2007
-
Mark
Estimating parameters in diffusion processes using an approximate maximum likelihood approach
(
- Contribution to journal › Article
- 2006
-
Mark
Calibration of Option Valuation Models using Sequential Monte Carlo Methods
2006) 13th International Conference on Forecasting Financial Markets(
- Contribution to conference › Paper, not in proceeding
-
Mark
Adaptive Calibration of Risk Neutral Parameters with Applications to Option Valuation
2006) Forth World Congress Bachelier Finance Society(
- Contribution to conference › Abstract
-
Mark
Are Option Values Stochastic
2006) 21th Nordic Conference on Mathematical Statistics(
- Contribution to conference › Abstract
- 2005
-
Mark
Are Option Prices Stochastic?
2005) 36st Meeting of the EURO Working Group on Financial Modelling(
- Contribution to conference › Abstract
- 2004
-
Mark
Statistical Modeling of Diffusion Processes with Financial Applications
2004)(
- Thesis › Doctoral thesis (compilation)
- 2003
-
Mark
Model Validation in Non-linear Continuous-discrete Grey-box Models
2003) 13th IFAC Symposium on System Identification(
- Contribution to conference › Paper, not in proceeding
-
Mark
Model Validation for Diffusion Processes using Generalized Gaussian Residuals
2003) p.156-159(
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
-
Mark
Estimation and Model Validation of Diffusion Processes
2003)(
- Thesis › Licentiate thesis
- 2002
-
Mark
A Wavelet Based Approach to the Head and Shoulders Pattern
2002) Euro Working Group on Financial Modeling 31st Meeting(
- Contribution to conference › Abstract
-
Mark
Estimating Parameters in Diffusion Processes using an Approximative Maximum Likelihood Approach
2002) 31st Meeting of the EURO Working Group on Financial Modeilng(
- Contribution to conference › Abstract
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