| Publication | Date of Publication | Type |
|---|
Reducing bias in event time simulations via measure changes
Mathematics of Operations Research | 2022-06-27 | Paper |
| Unbiased Simulation Estimators for Multivariate Jump-Diffusions | 2021-11-02 | Paper |
scientific article; zbMATH DE number 7307487 (Why is no real title available?)
(available as arXiv preprint) | 2021-02-08 | Paper |
| scientific article; zbMATH DE number 7307487 (Why is no real title available?) | 2021-02-08 | Paper |
Inference for large financial systems
Mathematical Finance | 2020-05-14 | Paper |
Simulated likelihood estimators for discretely observed jump-diffusions
Journal of Econometrics | 2019-12-19 | Paper |
| scientific article; zbMATH DE number 7088122 (Why is no real title available?) | 2019-08-01 | Paper |
Significance Tests for Neural Networks
(available as arXiv preprint) | 2019-02-15 | Paper |
Filtered likelihood for point processes
Journal of Econometrics | 2018-04-18 | Paper |
Large-Scale Loan Portfolio Selection
Operations Research | 2017-01-26 | Paper |
Affine point processes: approximation and efficient simulation
Mathematics of Operations Research | 2016-01-29 | Paper |
Variation-based tests for volatility misspecification
Journal of Econometrics | 2015-12-18 | Paper |
Large portfolio asymptotics for loss from default
Mathematical Finance | 2015-02-20 | Paper |
Fluctuation analysis for the loss from default
Stochastic Processes and their Applications | 2014-08-28 | Paper |
Exact sampling of jump diffusions
Operations Research | 2014-06-26 | Paper |
Transform analysis for point processes and applications in credit risk
Mathematical Finance | 2013-10-11 | Paper |
Default clustering in large portfolios: typical events
The Annals of Applied Probability | 2013-04-24 | Paper |
Default clustering in large portfolios: typical events
The Annals of Applied Probability | 2013-04-24 | Paper |
Sequential importance sampling and resampling for dynamic portfolio credit risk
Operations Research | 2012-06-18 | Paper |
Exact simulation of point processes with stochastic intensities
Operations Research | 2012-03-26 | Paper |
Time-changed birth processes and multiname credit derivatives
Operations Research | 2011-11-24 | Paper |
A top-down approach to multiname credit
Operations Research | 2011-11-18 | Paper |
Risk analysis of collateralized debt obligations
Operations Research | 2011-07-19 | Paper |
Affine point processes and portfolio credit risk
SIAM Journal on Financial Mathematics | 2010-11-10 | Paper |
An overview of credit derivatives
Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV) | 2009-07-02 | Paper |
Default and information
Journal of Economic Dynamics and Control | 2008-12-12 | Paper |
Credit contagion and aggregate losses
Journal of Economic Dynamics and Control | 2008-11-25 | Paper |
| Pricing credit from the top down with affine point processes | 2008-07-29 | Paper |
