Financial Mathematics Group
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- 2024
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Mark
On approximating dependence function and its derivatives
(
- Contribution to journal › Article
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Mark
Optimizing the hydraulic power take-off system in a wave energy converter
(
- Contribution to journal › Article
- 2023
-
Mark
GENERALIZED INFORMATION CRITERIA FOR SPARSE STATISTICAL JUMP MODELS
2023) p.68-78(
- Chapter in Book/Report/Conference proceeding › Book chapter
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Mark
What drives cryptocurrency returns? A sparse statistical jump model approach
2023) In Digital Finance(
- Contribution to journal › Article
- 2021
-
Mark
Feature selection in jump models
(
- Contribution to journal › Article
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Mark
Dimensionality reduction in forecasting with temporal hierarchies
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- Contribution to journal › Article
- 2020
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Mark
Temporal hierarchies with autocorrelation for load forecasting
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- Contribution to journal › Article
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Mark
Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features
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- Contribution to journal › Article
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Mark
Learning hidden Markov models with persistent states by penalizing jumps
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- Contribution to journal › Article
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Mark
Hyperparameter Optimization for Portfolio Selection
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- Contribution to journal › Article
- 2019
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Mark
Spatial statistical modelling of insurance risk : a spatial epidemiological approach to car insurance
(
- Contribution to journal › Article
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Mark
BENCHOP–SLV : the BENCHmarking project in Option Pricing–Stochastic and Local Volatility problems
2019) In International Journal of Computer Mathematics(
- Contribution to journal › Article
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Mark
Multi-period portfolio selection with drawdown control
(
- Contribution to journal › Article
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Mark
Simulation and Estimation of Diffusion Processes : Applications in Finance
(
- Thesis › Doctoral thesis (compilation)
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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
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
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Mark
Unbiased Adaptive LASSO parameter estimation for diffusion processes
(
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
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Mark
A general approach to generate random variates for multivariate copulae
(
- Contribution to journal › Article