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- 2015
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Mark
A Stability Analysis of the Nord Pool system using hourly spot price data.
(
- Contribution to journal › Article
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Mark
Stylised facts of financial time series and hidden Markov models in continuous time
(
- Contribution to journal › Article
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Mark
Regime-Based Versus Static Asset Allocation: Letting the Data Speak
(
- Contribution to journal › Article
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Statistics for Finance
2015) In Chapman & Hall/CRC Texts in Statistical Science(
- Book/Report › Book
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Mark
Stylized Facts of Financial Time Series and Hidden Markov Models with Time-Varying Parameters
2015) 22nd International Conference on Forecasting Financial Markets(
- Contribution to conference › Paper, not in proceeding
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Mark
Stylized facts of financial time series hidden Markov models with time varying parameters
2015) 22nd International Forecasting Financial Markets Conference(
- Contribution to conference › Paper, not in proceeding
- 2014
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Mark
Filtering and Parameter Estimation of Partially Observed Diffusion Processes Using Gaussian RBFs
2014) 2014 SIAM Conference on Financial Mathematics and Engineering In [Publication information missing](
- Contribution to journal › Published meeting abstract
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A fast adjoint-based quasi-likelihood parameter estimation method for diffusion processes
(
- Contribution to journal › Published meeting abstract
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Tuned Sequential Calibration of Options
2014) Euro Working Group for Commodities and Financial Modelling 2014 (EWGCFM 14)(
- Contribution to conference › Paper, not in proceeding
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Mark
Fast Valuation of Options Under Parameter Uncertainty
2014) 21st International Forecasting Financial Markets Conference(
- Contribution to conference › Paper, not in proceeding
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Mark
Fast Simultaneous Calibration and Quadratic Hedging under Parameter Uncertainty
2014) 8th World Congress of the Bachelier Finance Society(
- Contribution to conference › Abstract
- 2013
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Mark
Simultaneous Calibration and Quadratic Hedging of Options
(
- Contribution to journal › Article
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Tuned iterated filtering
(
- Contribution to journal › Article
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Semiparametric lag dependent functions
(
- Contribution to journal › Article
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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
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Mark
Independent Spike Models: Estimation and Validation
(
- Contribution to journal › Article
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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
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Mark
Modeling extreme dependence between European electricity markets
(
- Contribution to journal › Article
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Model uncertainty, Model selection and Option Valuation
(
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
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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
-
Mark
Efficient Iterated Filtering
(
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
- 2011
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Mark
On the Convergence of Higher Order Hedging Schemes: The Delta-Gamma Case
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- Contribution to journal › Article
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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
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Mark
Evaluating independent spike models
(
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
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Mark
In-sample Properties of the Berkowitz Density Forecast Test
(
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
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Mark
Likelihood Inference in Jump Diffusion driven SDE's
(
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
- 2008
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Mark
Sequential Calibration of Options
(
- Contribution to journal › Article
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Mark
Estimating objective parameters in jump-diffusions
2008) Fifth World Congress of the Bachelier Finance Society(
- Contribution to conference › Paper, not in proceeding
-
Mark
Hedging errors induced by discrete trading under an adaptive trading strategy
2008) Fifth World Congress Bachelier Finance Society(
- Contribution to conference › Abstract
- 2007
-
Mark
Estimating parameters in diffusion processes using an approximate maximum likelihood approach
(
- Contribution to journal › Article
- 2006
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Mark
Are Option Values Stochastic
2006) 21th Nordic Conference on Mathematical Statistics(
- Contribution to conference › Abstract
-
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
- 2005
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Mark
Are Option Prices Stochastic?
2005) 36st Meeting of the EURO Working Group on Financial Modelling(
- Contribution to conference › Abstract
- 2004
-
Mark
Pricing of some exotic options with NIG-Levy input
(
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
- 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