Search results

  • Full text

  • Document type

    • Publication year

  • Organisation

Results: 108
Number of items: 108
  • Delsing, G., Mandjes, M., Spreij, P., & Winands, E. (2026). Credit risk meets insurance risk: a unified framework. Journal of Credit Risk, 22(2), 1-33. https://doi.org/10.21314/JCR.2025.023
  • Open Access
    He, J. (2026). Efficient calibration, valuation and pricing: with applications in interest rate and credit risk models. [Thesis, externally prepared, Universiteit van Amsterdam].
  • Open Access
    Finesso, L., & Spreij, P. (2024). Synchronous deautoconvolution algorithm for discrete-time positive signals via I-divergence approximation. Journal of Computational and Applied Mathematics, 451, Article 116025. https://doi.org/10.1016/j.cam.2024.116025
  • Open Access
    Michielon, M., Khedher, A., & Spreij, P. (2024). Proxying credit curves via Wasserstein distances. Annals of Operations Research, 336(1-2), 1351-1367. https://doi.org/10.1007/s10479-022-04552-3
  • Open Access
    Schiphorst, B., Mandjes, M., Spreij, P., & Winands, E. (2024). A structural credit risk model with default contagion. In M. Corazza, F. Gannon, F. Legros, C. Pizzi, & V. Touzé (Eds.), Mathematical and Statistical Methods for Actuarial Sciences and Finance: MAF2024 (pp. 280-285). Springer. https://doi.org/10.1007/978-3-031-64273-9_46, https://doi.org/10.1007/978-3-031-64273-9_46
  • Open Access
    Zhao, C., van Beek, M., Spreij, P., & Ba, M. (2024). Polynomial approximation of discounted moments. Finance and Stochastics, 29(1), 63-95. https://doi.org/10.1007/s00780-024-00550-4
  • Open Access
    Belomestny, D., van der Meulen, F., & Spreij, P. (2024). Nonparametric Bayesian inference for stochastic processes with piecewise constant priors. In D. R. Wood, J. de Gier, & C. E. Praeger (Eds.), 2021-2022 MATRIX Annals (Vol. 5, pp. 527-568). (Matrix Book Series; Vol. 5). Springer. https://doi.org/10.1007/978-3-031-47417-0_28
  • Open Access
    Sachs, S. (2024). Optimization, games and generalization bounds. [Thesis, fully internal, Universiteit van Amsterdam].
  • Open Access
    Michielon, M., Franquinho, D., Gentile, A., Khedher, A., & Spreij, P. (2024). Neural network empowered liquidity pricing in a two-price economy under conic finance settings. Quantitative Finance, 24(8), 1129-1156. https://doi.org/10.1080/14697688.2024.2390947
  • Open Access
    He, J., Khedher, A., & Spreij, P. (2024). A dimension reduction approach for loss valuation in credit risk modeling. International Journal of Financial Engineering, 11(1), Article 2350058. https://doi.org/https://arxiv.org/abs/2401.00085, https://doi.org/10.1142/S2424786323500640
Page 1 of 11