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- 2019
-
Mark
Fourier Method for Valuation of Options under Parameter and State Uncertainty
(
- Contribution to journal › Article
- 2018
-
Mark
Dynamic portfolio optimization across hidden market regimes
(
- Contribution to journal › Article
-
Mark
Optimal adaptive sequential calibration of option models
(
- Chapter in Book/Report/Conference proceeding › Book chapter
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Mark
Unbiased Adaptive LASSO parameter estimation for diffusion processes
(
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
-
Mark
A Variance-Reduced Multilevel Monte Carlo Algorithm for Maximum Likelihood Inference in Multivariate Diffusions
2018) 12th International Workshop on Rare-Event Simulation(
- Contribution to conference › Abstract
- 2017
-
Mark
Multi-Period Portfolio Selection with Drawdown Control
2017) International Symposium on Forecasting, 2017(
- Contribution to conference › Paper, not in proceeding
-
Mark
Long Memory of Financial Time Series and Hidden Markov Models with Time-Varying Parameters
(
- Contribution to journal › Article
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Mark
Dynamic Allocation or Diversification : A Regime-Based Approach to Multiple Assets
(
- Contribution to journal › Article
- 2016
-
Mark
Multilevel Monte Carlo Methods for Simulated Maximum Likelihood Inference in Multivariate Diffusions
2016) WORLD CONGRESS OF THE BACHELIER FINANCE SOCIETY(
- Contribution to conference › Paper, not in proceeding
-
Mark
Efficient computation of the quasi likelihood function for discretely observed diffusion processes
(
- Contribution to journal › Article