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Brown, Garfield O.; Buckley, Winston S. - In: Annals of actuarial science : publ. by the Institute of … 9 (2015) 2, pp. 304-321

Persistent link: https://www.econbiz.de/10011542001

An application of Markov chain Monte Carlo (MCMC) to continuous-time incurred but not yet reported (IBNYR) events

Brown, Garfield O.; Buckley, Winston S. - In: Annals of actuarial science : publ. by the Institute of … 10 (2016) 2, pp. 270-284

Persistent link: https://www.econbiz.de/10011621190

Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets

Buckley, Winston; Long, Hongwei; Marshall, Mario - In: European journal of operational research : EJOR 252 (2016) 2, pp. 676-686

Persistent link: https://www.econbiz.de/10011457778

Prioritising data items for business analytics : framework and application to human resources

Buckley, Winston; Long, Hongwei; Marshall, Mario - In: European journal of operational research : EJOR 252 (2016) 2, pp. 687-698

Persistent link: https://www.econbiz.de/10011457782

A discontinuous mispricing model under asymmetric information

Buckley, Winston S.; Long, Hongwei - In: European Journal of Operational Research 243 (2015) 3, pp. 944-955

We study a discontinuous mispricing model of a risky asset under asymmetric information where jumps in the asset price and mispricing are modelled by Lévy processes. By contracting the filtration of the informed investor, we obtain optimal portfolios and maximum expected utilities for the...

Persistent link: https://www.econbiz.de/10011209332

m-Double Poisson Lévy markets

Buckley, Winston S.; Long, Hongwei; Perera, Sandun - In: Quantitative finance 20 (2020) 10, pp. 1663-1679

Persistent link: https://www.econbiz.de/10012295630