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Results: 6
Number of items: 6
  • 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
    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
    Michielon, M. (2024). Applied topics in conic finance and credit risk. [Thesis, fully internal, Universiteit van Amsterdam].
  • Michielon, M., Khedher, A., & Spreij, P. (2023). On Wasserstein distances, barycenters, and the cross-section methodology for proxy credit curves. International Journal of Financial Engineering, 10( 2), Article 2250037. https://doi.org/10.1142/S2424786322500372
  • 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
  • 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
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