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Results: 109
Number of items: 109
  • Open Access
    He, J., Khedher, A., & Spreij, P. (2024). A dimension reduction approach for loss valuation in credit risk modeling. International Journal of Financial Engineering, 11(1), Article 2350058. https://doi.org/https://arxiv.org/abs/2401.00085, https://doi.org/10.1142/S2424786323500640
  • Open Access
    Schiphorst, B., Mandjes, M., Spreij, P., & Winands, E. (2024). A structural credit risk model with default contagion. In M. Corazza, F. Gannon, F. Legros, C. Pizzi, & V. Touzé (Eds.), Mathematical and Statistical Methods for Actuarial Sciences and Finance: MAF2024 (pp. 280-285). Springer. https://doi.org/10.1007/978-3-031-64273-9_46, https://doi.org/10.1007/978-3-031-64273-9_46
  • Michielon, M., Khedher, A., & Spreij, P. (2023). On Wasserstein distances, barycenters, and the cross-section methodology for proxy credit curves. International Journal of Financial Engineering, 10( 2), Article 2250037. https://doi.org/10.1142/S2424786322500372
  • Magra, A., Baarslag, T., & Spreij, P. (2023). Querying User Preferences in Automated Negotiation. In R. Hadfi, W. Li, & T. Ito (Eds.), 2023 IEEE International Conference on Agents : ICA 2023 : 4-6 December 2023, Kyoto, Japan : proceedings (pp. 71-76). IEEE Computer Society. https://doi.org/10.1109/ICA58824.2023.00021
  • 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
    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
    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. (2022). Ruin theory for portfolio risk modeling in banking and insurance. [Thesis, fully internal, Universiteit van Amsterdam].
  • 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
    Karbach, S. (2022). Stochastic covariance models in Hilbert spaces with jumps. [Thesis, fully internal, Universiteit van Amsterdam].
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