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- 2020
-
Mark
Hyperparameter Optimization for Portfolio Selection
Nystrup, Peter LU
; Lindström, Erik
LU
and Henrik, Madsen
(2020)
In The Journal of Financial Data Science
2(2).
- Contribution to journal › Article
- 2019
-
Mark
Multi-period portfolio selection with drawdown control
Nystrup, Peter ; Boyd, Stephen ; Lindström, Erik LU
and Madsen, Henrik
(2019)
In Annals of Operations Research
282(1-2).
p.245-271
- Contribution to journal › Article
-
Mark
Spatial statistical modelling of insurance risk : a spatial epidemiological approach to car insurance
Tufvesson, Oskar ; Lindström, Johan LU
and Lindström, Erik
LU
(2019)
In Scandinavian Actuarial Journal
2019(6).
p.508-522
- Contribution to journal › Article
-
Mark
BENCHOP–SLV : the BENCHmarking project in Option Pricing–Stochastic and Local Volatility problems
von Sydow, Lina ; Milovanović, Slobodan ; Larsson, Elisabeth ; In't Hout, Karel ; Wiktorsson, Magnus LU
; Oosterlee, Cornelis W.
; Shcherbakov, Victor
; Wyns, Maarten
; Leitao, Alvaro
and Jain, Shashi
, et al.
(2019)
In International Journal of Computer Mathematics
- Contribution to journal › Article
-
Mark
Fourier Method for Valuation of Options under Parameter and State Uncertainty
- Contribution to journal › Article
-
Mark
Simulation and Estimation of Diffusion Processes : Applications in Finance
- Thesis › Doctoral thesis (compilation)
- 2018
-
Mark
Unbiased Adaptive LASSO parameter estimation for diffusion processes
Lindström, Erik LU
and Höök, Lars Josef
(2018)
18th IFAC Symposium on System Identification
In IFAC-PapersOnLine
51(15).
p.257-262
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
-
Mark
A general approach to generate random variates for multivariate copulae
Tajvidi, Nader LU
and Turlach, Berwin
(2018)
In Australian & New Zealand Journal of Statistics
60(1).
p.140-155
- Contribution to journal › Article
-
Mark
Optimal adaptive sequential calibration of option models
Lindström, Erik LU
and Åkerlindh, Carl
LU
(2018)
In International Series in Operations Research and Management Science
257.
p.165-181
- Chapter in Book/Report/Conference proceeding › Book chapter
-
Mark
Dynamic portfolio optimization across hidden market regimes
Nystrup, Peter ; Madsen, Henrik and Lindström, Erik LU
(2018)
In Quantitative Finance
18(1).
p.83-95
- Contribution to journal › Article