| Publication | Date of Publication | Type |
|---|
Density-Tempered Marginalized Sequential Monte Carlo Samplers
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Default Correlations and Large-Portfolio Credit Analysis
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Sequential Monte Carlo optimization and statistical inference
Wiley Interdisciplinary Reviews. WIREs Computational Statistics | 2024-09-11 | Paper |
PD-implied ratings via referencing a credit rating/scoring Pool's default experience
Studies in Computational Intelligence | 2021-12-10 | Paper |
Data-cloning SMC\(^2\): a global optimizer for maximum likelihood estimation of latent variable models
Computational Statistics and Data Analysis | 2019-11-22 | Paper |
Option pricing under regime switching
Quantitative Finance | 2019-01-14 | Paper |
Multiperiod corporate default prediction -- a forward intensity approach
Journal of Econometrics | 2017-05-12 | Paper |
Local-momentum autoregression and the modeling of interest rate term structure
Journal of Econometrics | 2016-09-06 | Paper |
Estimating the structural credit risk model when equity prices are contaminated by trading noises
Journal of Econometrics | 2016-07-04 | Paper |
A stable estimator of the information matrix under EM for dependent data
Statistics and Computing | 2012-12-06 | Paper |
Asymptotic distribution of the EMS option price estimator
Management Science | 2012-02-19 | Paper |
Computational Finance: An Introduction
Handbook of Computational Finance | 2012-01-10 | Paper |
CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE
International Journal of Theoretical and Applied Finance | 2009-07-14 | Paper |
Option valuation with co-integrated asset prices
Journal of Economic Dynamics and Control | 2008-10-24 | Paper |
APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING
Mathematical Finance | 2006-06-12 | Paper |
| scientific article; zbMATH DE number 1944280 (Why is no real title available?) | 2003-11-10 | Paper |
Multilevel fuzzy relational systems: Structure and identification
Soft Computing | 2002-09-25 | Paper |
| scientific article; zbMATH DE number 1795846 (Why is no real title available?) | 2002-09-04 | Paper |
American option pricing under GARCH by a Markov chain approximation
Journal of Economic Dynamics and Control | 2001-08-20 | Paper |
Augmented GARCH\((p,q)\) process and its diffusion limit
Journal of Econometrics | 1998-11-03 | Paper |
A simple long-memory equilibrium interest rate model
Economics Letters | 1998-07-22 | Paper |
Empirical martingale simulation for asset prices
Management Science | 1998-01-01 | Paper |
THE GARCH OPTION PRICING MODEL
Mathematical Finance | 1997-03-20 | Paper |
MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
Mathematical Finance | 1994-01-01 | Paper |
