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Stationarity and ergodicity of univariate generalized autoregressive score processes
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2012
Persistent link: https://www.econbiz.de/10009722625
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Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino - In: Decisions in economics and finance : a journal of … 44 (2021) 1, pp. 57-72
Persistent link: https://www.econbiz.de/10012587815
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Numerical ross recovery for diffusion processes using a PDE approach
Sydow, Lina von; Walden, Johan - In: Applied mathematical finance 27 (2020) 1/2, pp. 46-66
Persistent link: https://www.econbiz.de/10012254095
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Complexity reduction for calibration to American options
Burkovska, Olena; Glau, Kathrin; Mahlstedt, Mirco; … - In: The journal of computational finance 23 (2019) 1, pp. 25-60
Persistent link: https://www.econbiz.de/10012064981
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Calibration to American options : numerical investigation of the de-Americanization method
Burkovska, O.; Gass, M.; Glau, Kathrin; Mahlstedt, M.; … - In: Quantitative finance 18 (2018) 7, pp. 1091-1113
Persistent link: https://www.econbiz.de/10011911523
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Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
Roux, Alet; Xu, Zhikang - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-45
Persistent link: https://www.econbiz.de/10013371223
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How noise affects effort in tournaments
Drugov, Mikhail; Ryvkin, Dmitry - 2020
Persistent link: https://www.econbiz.de/10012213218
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Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre - 2012
parameterization and scaling, which are key features of GAS models compared to other observation driven models. The Dudley entropy …
Persistent link: https://www.econbiz.de/10010326396
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Solving, estimating and selecting nonlinear dynamic models without the curse of dimensionality
Winschel, Viktor (contributor); Krätzig, Markus (contributor) - 2008
grids. The Smolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality …
Persistent link: https://www.econbiz.de/10003636133
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A weak bifurcation theory for discrete time stochastic dynamical systems
Diks, Cees G. H.; Wagener, Florian Oskar Ottokar - 2006
Persistent link: https://www.econbiz.de/10003332102