Výsledky vyhledávání - "Spreij, P.J.C."

Accounting Noise and the Pricing of Cocos

Autor: Derksen, M., Spreij, P.J.C., Wijnbergen, S.V.

Publikováno v: Tinbergen Institute Discussion Paper ; TI 2018-037/VI. Amsterdam; Rotterdam : Tinbergen Institute
Tinbergen Institute Discussion Paper ; TI 2018-037/VI

Contains fulltext : 290220.pdf (Publisher’s version ) (Open Access) 42 p.

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::34c0f08770dc6254eda4eae4aacdd0fe
https://hdl.handle.net/2066/290220

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Limit theorems for reflected Ornstein-Uhlenbeck processes

Autor: Huang, G., Mandjes, M.R.H., Spreij, P.J.C.

This paper studies one-dimensional Ornstein-Uhlenbeck processes, with the distinguishing feature that they are reflected on a single boundary (put at level 0) or two boundaries (put at levels 0 and d>0). In the literature they are referred to as refl

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=narcis______::e6b2ddf60da96e35b03bb32e27a49708
https://research.tue.nl/nl/publications/a7c1c0fe-d2c5-48da-b441-b5e8392ca2c8

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Nonparametric Methods for Volatility Density Estimation

Autor: Es, van, Bert, Spreij, P.J.C., Zanten, van, J.H., Di Nunno, G., Oksendal, B.

Publikováno v: Advanced Mathematical Methods for Finance ISBN: 9783642184116
Advanced Mathematical Methods for Finance, 293-312
STARTPAGE=293;ENDPAGE=312;TITLE=Advanced Mathematical Methods for Finance
AMaMeF: Advanced Mathematical Methods in Finance, 293-312
STARTPAGE=293;ENDPAGE=312;TITLE=AMaMeF: Advanced Mathematical Methods in Finance

Stochastic volatility modeling of financial processes has become increasingly popular. The proposed models usually contain a stationary volatility process. We will motivate and review several nonparametric methods for estimation of the density of the

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::68d2d58f67c30a1d053c3762f14fc76a
https://doi.org/10.1007/978-3-642-18412-3_11

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Deconvolution for an atomic distribution : rates of convergence

Autor: Gugushvili, S., Es, van, Bert, Spreij, P.J.C.

Let X1, . . . ,Xn be i.i.d. copies of a random variable X = Y + Z, where Xi = Yi + Zi, and Yi and Zi are independent and have the same distribution as Y and Z, respectively. Assume that the random variables Yi’s are unobservable and that Y = UV, wh

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=narcis______::ddc6ee91b11d747d493de85307d09288
https://research.tue.nl/nl/publications/c787bba6-696c-4e9a-b477-4ca7e1d0819c

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Nonparametric methods for volatility density estimation

Autor: Es, van, Bert, Spreij, P.J.C., Zanten, van, J.H.

Stochastic volatility modelling of financial processes has become increasingly popular. The proposed models usually contain a stationary volatility process. We will motivate and review several nonparametric methods for estimation of the density of th

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=narcis______::e45fafc4e4451d849dc0e12d689c8b53
https://research.tue.nl/nl/publications/cb3177bb-3b33-4d17-9c94-43060bfb888b

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Factor Analysis and Alternating Minimization

Autor: Finesso, L., Spreij, P.J.C.

Publikováno v: Lecture Notes in Control and Information Sciences, 364, 85-96. Springer Verlag

In this paper we make a first attempt at understanding how to build an optimal approximate normal factor analysis model. The criterion we have chosen to evaluate the distance between different models is the I-divergence between the corresponding norm

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=narcis______::b83d80f4f5604d2b7c8451f82287fe87
https://dare.uva.nl/personal/pure/en/publications/factor-analysis-and-alternating-minimization(4c29a04d-1f9a-4f78-a5a5-7009750dce1f).html

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