Search results

  • Full text

  • Document type

    • Publication year

  • Organisation

Results: 109
Number of items: 109
  • Klein, A., & Spreij, P. (2014). A block Hankel generalized confluent Vandermonde matrix. Linear Algebra and Its Applications, 455, 32-72. https://doi.org/10.1016/j.laa.2014.05.002
  • Open Access
    van Beek, M., Mandjes, M., Spreij, P., & Winands, E. (2014). Markov switching affine processes and applications to pricing. In M. Vanmaele, G. Deelstra, A. De Schepper, J. Dhaene, W. Schoutens, S. Vanduffel, & D. Vyncke (Eds.), Actuarial and Financial Mathematics Conference, Interplay between Finance and Insurance: February 6-7, 2014 (pp. 97-102). Koninklijke Vlaamse Academie van België voor Wetenschappen en Kunsten. http://www.afmathconf.ugent.be/FormerEditions/Proceedings2014.pdf
  • Open Access
    Gugushvili, S., & Spreij, P. (2014). Consistent non-parametric Bayesian estimation for a time-inhomogeneous Brownian motion. ESAIM-Probability and Statistics, 18, 332-341. https://doi.org/10.1051/ps/2013039
  • Open Access
    Gruntjes, P. A. G. J. M. (2013). Essays on mathematical and computational finance: With a view towards applied probability. [Thesis, externally prepared, Universiteit van Amsterdam].
  • Spreij, P., & Veerman, E. (2012). Affine diffusions with non-canonical state space. Stochastic Analysis and Applications, 30(4), 605-641. https://doi.org/10.1080/07362994.2012.684322
  • Klein, A., & Spreij, P. J. C. (2012). Transformed statistical distance measures and the fisher information matrix. Linear Algebra and Its Applications, 437(2), 692-712. https://doi.org/10.1016/j.laa.2012.03.002
  • Open Access
    Gugushvili, S., & Spreij, P. (2012). Parametric inference for stochastic differential equations: a smooth and match approach. Alea, 9(2), 609-635. http://alea.impa.br/articles/v9/09-24.pdf
  • van Es, B., Spreij, P., & van Zanten, H. (2011). Nonparametric methods for volatility density estimation. In G. di Nunno, & B. Øksendal (Eds.), Advanced Mathematical Methods for Finance (pp. 293-312). (Springer for Research & Development). Springer. http://rd.springer.com/chapter/10.1007/978-3-642-18412-3_11
  • Spreij, P., Veerman, E., & Vlaar, P. (2011). An affine two-factor heteroskedastic macro-finance term structure model. Applied Mathematical Finance, 18(4), 331-352. https://doi.org/10.1080/1350486X.2010.517664
  • van Es, B., & Spreij, P. (2011). Estimation of a multivariate stochastic volatility density by kernel deconvolution. Journal of Multivariate Analysis, 102(3), 683-697. https://doi.org/10.1016/j.jmva.2010.12.003
Page 6 of 11