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Results: 56
Number of items: 56
  • Open Access
    Hoencamp, J. H., Jain, S., & Kandhai, B. D. (2024). A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA. Quantitative Finance, 24(3-4), 409-432. https://doi.org/10.1080/14697688.2024.2312523
  • Open Access
    Janczewski, A., Anagnostou, I., & Kandhai, D. (2024). Inferring Dealer Networks in the Foreign Exchange Market Using Conditional Transfer Entropy: Analysis of a Central Bank Announcement. Entropy, 26(9), Article 738. https://doi.org/10.3390/e26090738
  • Open Access
    Boersma, M. (2024). Complex networks in audit: A data-driven modelling approach. [Thesis, fully internal, Universiteit van Amsterdam].
  • Open Access
    Hoencamp, J. H. (2024). Modern advances in computational credit risk modelling: Quantitative approaches to margin value adjustments for interest rate derivatives. [Thesis, fully internal, Universiteit van Amsterdam].
  • Open Access
    Hoencamp, J., Jain, S., & Kandhai, D. (2023). A Semi-Static Replication Method for Bermudan Swaptions under an Affine Multi-Factor Model. Risks, 11(10), Article 168. https://doi.org/10.3390/risks11100168
  • Open Access
    Boersma, M., Wolsink, J., Sourabh, S., Hoogduin, L. A., & Kandhai, D. (2023). Measure cross-sectoral structural similarities from financial networks. Scientific Reports, 13, Article 7124. https://doi.org/10.1038/s41598-023-34034-w
  • Open Access
    Hoencamp, J. H., de Kort, J. P., & Kandhai, B. D. (2022). The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives. Applied Mathematical Finance, 29(2), 141-179. https://doi.org/10.1080/1350486X.2022.2156900
  • Open Access
    Anagnostou, I., Squartini, T., Kandhai, D., & Garlaschelli, D. (2021). Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling. Quantitative Finance, 21(9), 1501-1518. https://doi.org/10.1080/14697688.2021.1890807
  • Open Access
    Anagnostou, I., Sanchez Rivero, J., Sourabh, S., & Kandhai, D. (2020). Contagious defaults in a credit portfolio: a Bayesian network approach. Journal of Credit Risk, 16(1), 1-26. https://doi.org/10.2139/ssrn.3446615, https://doi.org/10.21314/JCR.2020.257
  • Open Access
    Boersma, M., Maliutin, A., Sourabh, S., Hoogduin, L. A., & Kandhai, D. (2020). Reducing the complexity of financial networks using network embeddings. Scientific Reports, 10, Article 17045. https://doi.org/10.1038/s41598-020-74010-2
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