Constrained Polynomial Likelihood
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Cites work
- A polynomial optimization approach to principal-agent problems
- A rigorous theory of conditional mean embeddings
- Affine processes and applications in finance
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- Filtered likelihood for point processes
- Globally optimal parameter estimates for nonlinear diffusions
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- Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
- Interest rate models -- theory and practice. With smile, inflation and credit
- Likelihood ratio tests for positivity in polynomial regressions
- Long-Term Risk: A Martingale Approach
- Long-Term Risk: An Operator Approach
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Nonparametric stochastic discount factor decomposition
- Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing
- Post-'87 crash fears in the S\&P 500 futures option market
- Saddlepoint approximations for continuous-time Markov processes
- Sieve estimation of option-implied state price density
- The moment problem
- Towards a theory of volatility trading
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth
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