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Results: 105
Number of items: 105
  • Open Access
    Belomestny, D., Gugushvili, S., Schauer, M., & Spreij, P. (2023). Weak solutions to gamma-driven stochastic differential equations. Indagationes Mathematicae, 34(4), 820-829. https://doi.org/10.1016/j.indag.2023.03.004
  • Open Access
    Finesso, L., & Spreij, P. (2023). The Inverse Problem of Positive Autoconvolution. IEEE Transactions on Information Theory, 69(6), 4081-4092. https://doi.org/10.1109/TIT.2023.3244407
  • Open Access
    Gugushvili, S., van der Meulen, F., Schauer, M., & Spreij, P. (2023). Nonparametric Bayesian volatility learning under microstructure noise. Japanese Journal of Statistics and Data Science, 6(1), 551-571. https://doi.org/10.1007/s42081-022-00185-9
  • Open Access
    Delsing, G. A., Mandjes, M. R. H., Spreij, P. J. C., & Winands, E. M. M. (2022). On capital allocation for a risk measure derived from ruin theory. Insurance: Mathematics and Economics, 104, 76-98. https://doi.org/10.1016/j.insmatheco.2022.02.001
  • Open Access
    Delsing, G. A. (2022). Ruin theory for portfolio risk modeling in banking and insurance. [Thesis, fully internal, Universiteit van Amsterdam].
  • Open Access
    Belomestny, D., Gugushvili, S., Schauer, M., & Spreij, P. (2022). Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations. Bernoulli, 28(4), 2151-2180. https://doi.org/10.3150/21-BEJ1413
  • Open Access
    Karbach, S. (2022). Stochastic covariance models in Hilbert spaces with jumps. [Thesis, fully internal, Universiteit van Amsterdam].
  • Open Access
    Michielon, M., Khedher, A., & Spreij, P. (2021). From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations. International Journal of Theoretical and Applied Finance, 24(3), Article 2150017. https://doi.org/10.48550/arXiv.2108.06578, https://doi.org/10.1142/S0219024921500175
  • Open Access
    He, J., Khedher, A., & Spreij, P. J. C. (2021). A Kalman particle filter for online parameter estimation with applications to affine models. Statistical Inference for Stochastic Processes, 24(3), 353-403. https://doi.org/10.1007/s11203-021-09239-3
  • Open Access
    Michielon, M., Khedher, A., & Spreij, P. (2021). Liquidity-free implied volatilities: an approach using conic finance. International Journal of Financial Engineering, 8(4), Article 2150041. https://doi.org/10.1142/S2424786321500419
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