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Results: 108
Number of items: 108
  • Open Access
    Michielon, M., Khedher, A., & Spreij, P. (2021). Liquidity-free implied volatilities: an approach using conic finance. International Journal of Financial Engineering, 8(4), Article 2150041. https://doi.org/10.1142/S2424786321500419
  • Open Access
    He, J., Khedher, A., & Spreij, P. J. C. (2021). A Kalman particle filter for online parameter estimation with applications to affine models. Statistical Inference for Stochastic Processes, 24(3), 353-403. https://doi.org/10.1007/s11203-021-09239-3
  • Open Access
    Michielon, M., Khedher, A., & Spreij, P. (2021). From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations. International Journal of Theoretical and Applied Finance, 24(3), Article 2150017. https://doi.org/10.48550/arXiv.2108.06578, https://doi.org/10.1142/S0219024921500175
  • Spreij, P., & Storm, J. (2020). Diffusion Limits for a Markov Modulated Binomial Counting Process. Probability in the Engineering and Informational Sciences, 34(2), 235-257. https://doi.org/10.1017/S0269964818000578
  • Open Access
    van Beek, M. (2020). Multidisciplinary essays on finance. [Thesis, externally prepared, Universiteit van Amsterdam].
  • Open Access
    van Beek, M., Mandjes, M., Spreij, P., & Winands, E. (2020). Regime switching affine processes with applications to finance. Finance and Stochastics, 24(2), 309-333. https://doi.org/10.1007/s00780-020-00419-2
  • Open Access
    Gugushvili, S., van der Meulen, F., Schauer, M., & Spreij, P. (2020). Fast and scalable non-parametric Bayesian inference for Poisson point processes. Researchers.One. https://researchers.one/articles/19.06.00001
  • Open Access
    Gugushvili, S., van der Meulen, F., Schauer, M., & Spreij, P. (2020). Nonparametric bayesian estimation of a hölder continuous diffusion coefficient. Brazilian Journal of Probability and Statistics, 34(3), 537-559. https://doi.org/10.48550/arXiv.1706.07449, https://doi.org/10.1214/19-BJPS433
  • Open Access
    Delsing, G. A., Mandjes, M. R. H., Spreij, P. J. C., & Winands, E. M. M. (2020). Asymptotics and Approximations of Ruin Probabilities for Multivariate Risk Processes in a Markovian Environment. Methodology and Computing in Applied Probability, 22(3), 927-948. https://doi.org/10.1007/s11009-019-09742-4
  • Finesso, L., & Spreij, P. (2019). Approximation of nonnegative systems by moving averages of fixed order. Automatica, 107, 1-8. https://doi.org/10.1016/j.automatica.2019.05.007
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