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A comparative study of likelihood approximations for univariate diffusions
Hurn, Stan; Lindsay, Kenneth A.; Xu, Lina - In: Journal of financial econometrics 21 (2023) 3, pp. 852-879
Persistent link: https://www.econbiz.de/10014314834
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Stochastic differential equations in L p-spaces
Floros, Christos; Gillas, Konstantinos Gkillas; … - In: Operational Research Methods in Business, Finance and …, (pp. 1-6). 2023
Persistent link: https://www.econbiz.de/10014319826
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Managing medical equipment capacity with early spread of infection in a region
Jain, Apurva; Rayal, Swapnil - In: Production and operations management : the flagship … 32 (2023) 5, pp. 1415-1432
Persistent link: https://www.econbiz.de/10014266303
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Efficient pricing and hedging of high-dimensional American options using deep recurrent networks
Na, Andrew S.; Wan, Justin W. L. - In: Quantitative finance 23 (2023) 4, pp. 631-651
Persistent link: https://www.econbiz.de/10014304288
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Specification tests for univariate diffusions
Hurn, Stan; Martin, Vance; Xu, Lina - In: Econometric reviews 41 (2022) 6, pp. 607-632
Persistent link: https://www.econbiz.de/10013364897
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Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
Marie, Nicolas - In: Finance and stochastics 27 (2023) 1, pp. 97-126
Persistent link: https://www.econbiz.de/10013489500
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Continuous-time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations
Wang, Ziheng; Sirignano, Justin - In: Mathematical finance : an international journal of … 34 (2024) 2, pp. 348-424
Persistent link: https://www.econbiz.de/10014514766