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- 2023
-
Mark
GENERALIZED INFORMATION CRITERIA FOR SPARSE STATISTICAL JUMP MODELS
2023) p.68-78(
- Chapter in Book/Report/Conference proceeding › Book chapter
-
Mark
What drives cryptocurrency returns? A sparse statistical jump model approach
2023) In Digital Finance(
- Contribution to journal › Article
-
Mark
What drives cryptocurrency returns? A sparse statistical jump model approach
2023) 6th International Conference on Econometrics and Statistics(
- Contribution to conference › Abstract
-
Mark
What Drives Cryptocurrency Returns? A Sparse Statistical Jump Model Approach
2023) 29th Nordic Conference in Mathematical Statistics(
- Contribution to conference › Abstract
- 2021
-
Mark
Dimensionality reduction in forecasting with temporal hierarchies
(
- Contribution to journal › Article
-
Mark
Feature selection in jump models
(
- Contribution to journal › Article
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Mark
Physics informed stochastic grey-box model of the flow-front in a vacuum assisted resin transfer moulding process with missing data
(
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
- 2020
-
Mark
Temporal hierarchies with autocorrelation for load forecasting
(
- Contribution to journal › Article
-
Mark
Learning hidden Markov models with persistent states by penalizing jumps
(
- Contribution to journal › Article
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Mark
Hyperparameter Optimization for Portfolio Selection
(
- Contribution to journal › Article
-
Mark
Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features
(
- Contribution to journal › Article
- 2019
-
Mark
Multi-period portfolio selection with drawdown control
(
- Contribution to journal › Article
-
Mark
Spatial statistical modelling of insurance risk : a spatial epidemiological approach to car insurance
(
- Contribution to journal › Article
-
Mark
LPJ-GM 1.0 : Simulating migration efficiently in a dynamic vegetation model
(
- Contribution to journal › Article
-
Mark
Fourier Method for Valuation of Options under Parameter and State Uncertainty
(
- Contribution to journal › Article
-
Mark
Temporal hierarchies with autocorrelation for load forecasting
2019) International Symposium on Forecasting, 2019(
- Contribution to conference › Abstract
- 2018
-
Mark
Optimal adaptive sequential calibration of option models
(
- Chapter in Book/Report/Conference proceeding › Book chapter
-
Mark
Dynamic portfolio optimization across hidden market regimes
(
- Contribution to journal › Article
-
Mark
Practical Applications of Dynamic Allocation or Diversification: A Regime-Based Approach to Multiple Assets
(
- Contribution to journal › Article
-
Mark
Intelligent, Flexible production in an Energy System Dominated by Renewables.
(
- Chapter in Book/Report/Conference proceeding › Book chapter
-
Mark
A Diffusion Bridge Sampler for Drift- and Diffusion Dominated Models
2018) 10th Bachelier world congress(
- Contribution to conference › Paper, not in proceeding
-
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
Long Memory of Financial Time Series and Hidden Markov Models with Time-Varying Parameters
(
- Contribution to journal › Article
-
Mark
Spatial Statistical Modeling of Insurance Risk An epidemiologist approach to car insurance
2017) SPAS2017 International Conference on Stochastic Processes and Algebraic Structures – From Theory Towards Applications(
- Contribution to conference › Paper, not in proceeding
-
Mark
Multi-Period Portfolio Selection with Drawdown Control
2017) International Symposium on Forecasting, 2017(
- Contribution to conference › Paper, not in proceeding
-
Mark
Dynamic Allocation or Diversification : A Regime-Based Approach to Multiple Assets
(
- Contribution to journal › Article
- 2016
-
Mark
Efficient computation of the quasi likelihood function for discretely observed diffusion processes
(
- Contribution to journal › Article
-
Mark
Dynamic Portfolio Optimization Across Hidden Market Regimes
2016) SIAM Conference on Financial Mathematics and Engineering(
- Contribution to conference › Paper, not in proceeding
-
Mark
Parameter Estimation in Finance Using Radial Basis Function Methods
2016) SIAM Conference on Financial Mathematics and Engineering(
- Contribution to conference › Paper, not in proceeding
-
Mark
Practical Applications Summary: Regime-Based versus Static Asset Allocation: Letting the Data Speak
(
- Contribution to journal › Article
-
Mark
Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation
(
- Contribution to journal › Article
-
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
- 2015
-
Mark
Consumption management in the Nord Pool region: A stability analysis
(
- Contribution to journal › Article
-
Mark
A Stability Analysis of the Nord Pool system using hourly spot price data.
(
- Contribution to journal › Article
-
Mark
BENCHOP—The BENCHmarking project in Option Pricing
(
- Contribution to journal › Article
-
Mark
Stylised facts of financial time series and hidden Markov models in continuous time
(
- Contribution to journal › Article
-
Mark
Regime-Based Versus Static Asset Allocation: Letting the Data Speak
(
- Contribution to journal › Article
-
Mark
Statistics for Finance
2015) In Chapman & Hall/CRC Texts in Statistical Science(
- Book/Report › Book
-
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
-
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
-
Mark
Kernel-based Estimate of the Insulin Action of Rapid-Acting Insulin in Home-Monitored Data
(
- Contribution to journal › Article
- 2014
-
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
-
Mark
A fast adjoint-based quasi-likelihood parameter estimation method for diffusion processes
(
- Contribution to journal › Published meeting abstract
-
Mark
Fast Valuation of Options Under Parameter Uncertainty
2014) 21st International Forecasting Financial Markets Conference(
- Contribution to conference › Paper, not in proceeding
-
Mark
Tuned Sequential Calibration of Options
2014) Euro Working Group for Commodities and Financial Modelling 2014 (EWGCFM 14)(
- Contribution to conference › Paper, not in proceeding
-
Mark
Fast Simultaneous Calibration and Quadratic Hedging under Parameter Uncertainty
2014) 8th World Congress of the Bachelier Finance Society(
- Contribution to conference › Abstract
- 2013
-
Mark
Simultaneous Calibration and Quadratic Hedging of Options
(
- Contribution to journal › Article
-
Mark
Tuned iterated filtering
(
- Contribution to journal › Article
-
Mark
Semiparametric lag dependent functions
(
- Contribution to journal › Article
-
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 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
Independent Spike Models: Estimation and Validation
(
- Contribution to journal › Article
-
Mark
Modeling extreme dependence between European electricity markets
(
- Contribution to journal › Article
-
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
-
Mark
Model uncertainty, Model selection and Option Valuation
(
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
-
Mark
A regularized bridge sampler for sparsely sampled diffusions
(
- Contribution to journal › Article
-
Mark
Efficient Iterated Filtering
(
- 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
In-sample Properties of the Berkowitz Density Forecast Test
(
- 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
- 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
Sequential Calibration of Options
(
- Contribution to journal › Article
-
Mark
Estimating objective parameters in jump-diffusions
2008) Fifth World Congress of the Bachelier Finance Society(
- Contribution to conference › Paper, not in proceeding
- 2007
-
Mark
Estimating parameters in diffusion processes using an approximate maximum likelihood approach
(
- Contribution to journal › Article
- 2006
-
Mark
Are Option Values Stochastic
2006) 21th Nordic Conference on Mathematical Statistics(
- Contribution to conference › Abstract
-
Mark
Adaptive Calibration of Risk Neutral Parameters with Applications to Option Valuation
2006) Forth World Congress Bachelier Finance Society(
- 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
- 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
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
-
Mark
A Wavelet Based Approach to the Head and Shoulders Pattern
2002) Euro Working Group on Financial Modeling 31st Meeting(
- Contribution to conference › Abstract