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Results: 108
Number of items: 108
  • Open Access
    Gugushvili, S., & Spreij, P. (2014). Consistent non-parametric Bayesian estimation for a time-inhomogeneous Brownian motion. ESAIM-Probability and Statistics, 18, 332-341. https://doi.org/10.1051/ps/2013039
  • Open Access
    van Beek, M., Mandjes, M., Spreij, P., & Winands, E. (2014). Markov switching affine processes and applications to pricing. In M. Vanmaele, G. Deelstra, A. De Schepper, J. Dhaene, W. Schoutens, S. Vanduffel, & D. Vyncke (Eds.), Actuarial and Financial Mathematics Conference, Interplay between Finance and Insurance: February 6-7, 2014 (pp. 97-102). Koninklijke Vlaamse Academie van België voor Wetenschappen en Kunsten. http://www.afmathconf.ugent.be/FormerEditions/Proceedings2014.pdf
  • Open Access
    Gruntjes, P. A. G. J. M. (2013). Essays on mathematical and computational finance: With a view towards applied probability. [Thesis, externally prepared, Universiteit van Amsterdam].
  • Klein, A., & Spreij, P. J. C. (2012). Transformed statistical distance measures and the fisher information matrix. Linear Algebra and Its Applications, 437(2), 692-712. https://doi.org/10.1016/j.laa.2012.03.002
  • Spreij, P., & Veerman, E. (2012). Affine diffusions with non-canonical state space. Stochastic Analysis and Applications, 30(4), 605-641. https://doi.org/10.1080/07362994.2012.684322
  • Open Access
    Gugushvili, S., & Spreij, P. (2012). Parametric inference for stochastic differential equations: a smooth and match approach. Alea, 9(2), 609-635. http://alea.impa.br/articles/v9/09-24.pdf
  • Gugushvili, S., van Es, B., & Spreij, P. (2011). Deconvolution for an atomic distribution: rates of convergence. Journal of Nonparametric Statistics, 23(4), 1003-1029. https://doi.org/10.1080/10485252.2011.576763
  • Leijdekker, V., & Spreij, P. (2011). Explicit computations for a filtering problem with point process observations with applications to credit risk. Probability in the Engineering and Informational Sciences, 25(3), 393-418. https://doi.org/10.1017/S0269964811000076
  • Spreij, P., Veerman, E., & Vlaar, P. (2011). An affine two-factor heteroskedastic macro-finance term structure model. Applied Mathematical Finance, 18(4), 331-352. https://doi.org/10.1080/1350486X.2010.517664
  • van Es, B., & Spreij, P. (2011). Estimation of a multivariate stochastic volatility density by kernel deconvolution. Journal of Multivariate Analysis, 102(3), 683-697. https://doi.org/10.1016/j.jmva.2010.12.003
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