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Results: 105
Number of items: 105
  • Open Access
    Zhao, C., van Beek, M., Spreij, P., & Ba, M. (2024). Polynomial approximation of discounted moments. Finance and Stochastics, 29(1), 63-95. https://doi.org/10.1007/s00780-024-00550-4
  • Open Access
    Finesso, L., & Spreij, P. (2024). Synchronous deautoconvolution algorithm for discrete-time positive signals via I-divergence approximation. Journal of Computational and Applied Mathematics, 451, Article 116025. https://doi.org/10.1016/j.cam.2024.116025
  • Open Access
    Michielon, M., Khedher, A., & Spreij, P. (2024). Proxying credit curves via Wasserstein distances. Annals of Operations Research, 336(1-2), 1351-1367. https://doi.org/10.1007/s10479-022-04552-3
  • Open Access
    Sachs, S. (2024). Optimization, games and generalization bounds. [Thesis, fully internal, Universiteit van Amsterdam].
  • 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
  • Open Access
    Michielon, M., Franquinho, D., Gentile, A., Khedher, A., & Spreij, P. (2024). Neural network empowered liquidity pricing in a two-price economy under conic finance settings. Quantitative Finance, 24(8), 1129-1156. https://doi.org/10.1080/14697688.2024.2390947
  • Open Access
    Michielon, M. (2024). Applied topics in conic finance and credit risk. [Thesis, fully internal, Universiteit van Amsterdam].
  • 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
  • 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
  • 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
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