| Publication | Date of Publication | Type |
|---|
| Polynomial approximation of discounted moments | 2025-01-09 | Paper |
| Neural network empowered liquidity pricing in a two-price economy under conic finance settings | 2025-01-06 | Paper |
| Synchronous deautoconvolution algorithm for discrete-time positive signals via \(\mathcal{I}\)-divergence approximation | 2024-08-01 | Paper |
| Limit theorems for reflected Ornstein-Uhlenbeck processes | 2024-06-10 | Paper |
| Proxying credit curves via Wasserstein distances | 2024-06-04 | Paper |
| The Inverse Problem of Positive Autoconvolution | 2024-03-21 | Paper |
| A note on the central limit theorem for the idleness process in a one‐sided reflected Ornstein–Uhlenbeck model | 2023-12-13 | Paper |
| Nonparametric Bayesian volatility learning under microstructure noise | 2023-07-25 | Paper |
| Weak solutions to gamma-driven stochastic differential equations | 2023-05-26 | Paper |
| Nonparametric Bayesian inference for stochastic processes with piecewise constant priors | 2023-05-12 | Paper |
| Bayesian wavelet de-noising with the caravan prior | 2023-03-09 | Paper |
| Synchronous Deautoconvolution of Positive Signals | 2023-02-24 | Paper |
| ACCOUNTING NOISE AND THE PRICING OF CoCos | 2023-02-22 | Paper |
| Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations | 2022-09-28 | Paper |
| Dynamic Erdős-Rényi graphs | 2022-02-16 | Paper |
| FROM BID-ASK CREDIT DEFAULT SWAP QUOTES TO RISK-NEUTRAL DEFAULT PROBABILITIES USING DISTORTED EXPECTATIONS | 2021-08-24 | Paper |
| A Kalman particle filter for online parameter estimation with applications to affine models | 2021-08-17 | Paper |
| Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations | 2020-11-16 | Paper |
| Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient | 2020-08-12 | Paper |
| DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS | 2020-05-27 | Paper |
| Regime switching affine processes with applications to finance | 2020-03-25 | Paper |
| Approximation of nonnegative systems by moving averages of fixed order | 2019-12-19 | Paper |
| Nonparametric Bayesian inference for Gamma-type Lévy subordinators | 2019-09-10 | Paper |
| A non-parametric Bayesian approach to decompounding from high frequency data | 2018-04-16 | Paper |
| Explicit Computations for Some Markov Modulated Counting Processes | 2017-07-31 | Paper |
| Approximation of Nonnegative Systems by Finite Impulse Response Convolutions | 2017-04-28 | Paper |
| Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation | 2017-01-12 | Paper |
| Nonparametric Bayesian inference for multidimensional compound Poisson processes | 2016-11-15 | Paper |
| Factor analysis models via I-divergence optimization | 2016-09-27 | Paper |
| Large deviations for Markov-modulated diffusion processes with rapid switching | 2016-04-20 | Paper |
| Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations | 2015-02-25 | Paper |
| Consistent non-parametric Bayesian estimation for a time-inhomogeneous Brownian motion | 2015-02-17 | Paper |
| Transformed statistical distance measures and the Fisher information matrix | 2014-06-18 | Paper |
| Weak convergence of Markov-modulated diffusion processes with rapid switching | 2014-06-05 | Paper |
| Parametric inference for stochastic differential equations: a smooth and match approach | 2013-12-04 | Paper |
| A note on non-parametric Bayesian estimation for Poisson point processes | 2013-04-27 | Paper |
| Limit theorems for reflected Ornstein-Uhlenbeck processes | 2013-04-01 | Paper |
| A representation result for finite Markov chains | 2012-09-02 | Paper |
| Affine diffusions with non-canonical state space | 2012-08-27 | Paper |
| Transformed statistical distance measures and the Fisher information matrix | 2012-06-11 | Paper |
| An affine two-factor heteroskedastic macro-finance term structure model | 2012-06-08 | Paper |
| The Itô formula without stochastic integration | 2012-06-07 | Paper |
| Calculating mortgages | 2012-06-07 | Paper |
| Approximation of stationary processes by hidden Markov models | 2012-02-06 | Paper |
| Deconvolution for an atomic distribution: rates of convergence | 2011-12-21 | Paper |
| EXPLICIT COMPUTATIONS FOR A FILTERING PROBLEM WITH POINT PROCESS OBSERVATIONS WITH APPLICATIONS TO CREDIT RISK | 2011-11-22 | Paper |
| Nonparametric methods for volatility density estimation | 2011-08-08 | Paper |
| Estimation of a multivariate stochastic volatility density by kernel deconvolution | 2011-03-14 | Paper |
| Two-step Nonnegative Matrix Factorization Algorithm for the Approximate Realization of Hidden Markov Models | 2010-07-20 | Paper |
| Tensor Sylvester matrices and the Fisher information matrix of VARMAX processes | 2010-03-04 | Paper |
| Evolution in games with a continuous action space | 2009-04-27 | Paper |
| Matrix differential calculus applied to multiple stationary time series and an extended Whittle formula for information matrices | 2008-12-12 | Paper |
| Approximate factor analysis model building via alternating I-divergence minimization | 2008-12-09 | Paper |
| Recursive Solution of Certain Structured Linear Systems | 2008-11-06 | Paper |
| Negative volatility for a 2-dimensional square root SDE | 2008-07-08 | Paper |
| Deconvolution for an atomic distribution | 2008-05-14 | Paper |
| Multivariate Feller conditions in term structure models: Why do(n't) we care? | 2008-04-07 | Paper |
| A kernel type nonparametric density estimator for decompounding | 2008-02-06 | Paper |
| Factor Analysis and Alternating Minimization | 2008-01-17 | Paper |
| The Bezoutian, state space realizations and Fisher's information matrix of an ARMA process | 2006-08-04 | Paper |
| An explicit expression for the Fisher information matrix of a multiple time series process | 2006-08-04 | Paper |
| Nonnegative matrix factorization and I-divergence alternating minimization | 2006-07-20 | Paper |
| On the resultant property of the Fisher information matrix of a vector ARMA process | 2005-08-01 | Paper |
| On the solution of Stein's equation and Fisher's information matrix of an ARMAX process | 2005-02-22 | Paper |
| Nonparametric volatility density estimation for discrete time models | 2005-02-21 | Paper |
| Tail behaviour of credit loss distributions for general latent factor models | 2004-09-06 | Paper |
| Nonparametric volatility density estimation | 2004-06-18 | Paper |
| On hidden Markov chains and finite stochastic systems. | 2004-02-14 | Paper |
| Approximate Nonnegative Matrix Factorization via Alternating Minimization | 2004-02-13 | Paper |
| Some Results on Vandermonde Matrices with an Application to Time Series Analysis | 2004-01-18 | Paper |
| Information processes for semimartingale experiments | 2003-05-06 | Paper |
| On the Markov property of a finite hidden Markov chain | 2002-06-10 | Paper |
| On Stein's equation, Vandermonde matrices and Fisher's information matrix of time series processes. I: The autoregressive moving average process | 2001-06-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4251559 | 2000-10-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4221332 | 1999-01-03 | Paper |
| On optimality of regular projective estimators for semimartingale models III:one step improvements | 1997-12-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4357569 | 1997-09-25 | Paper |
| On Fisher's information matrix of an ARMAX process and Sylvester's resultant matrices | 1996-08-21 | Paper |
| On optimality of regular projective estimators for semimartingale models, part ii: asymptotically linear estimators | 1995-11-14 | Paper |
| Spectral characterization of the optimal quadratic variation process | 1995-06-18 | Paper |
| The strong law of large numbers for martingales with deterministic quadratic variation | 1995-04-04 | Paper |
| On optimality of regular projective estimators in semimartingale models | 1994-08-15 | Paper |
| On correlation calculus for multivariate martingales | 1993-09-19 | Paper |
| Recursive approximate maximum likelihood estimation for a class of counting process models | 1992-06-28 | Paper |
| Self-exciting counting process systems with finite state space | 1990-01-01 | Paper |
| Minimality and reductibility of conditionally poisson systems with finite state space | 1990-01-01 | Paper |
| Recursive parameter estimation for counting processes with linear intensity | 1986-01-01 | Paper |
| An on-line parameter estimation algorithm for counting process observations (Corresp.) | 1986-01-01 | Paper |
| Parameter Estimation for a Specific Software Reliability Model | 1985-01-01 | Paper |
| The affine transform formula for affine jump-diffusions with a general closed convex state space | N/A | Paper |
