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P-values for high-dimensional regression

Meinshausen, Nicolai; Meier, Lukas; Bühlmann, Peter - In: Journal of the American Statistical Association : JASA 104 (2009) 488, pp. 1671-1681

Persistent link: https://www.econbiz.de/10003993217

A dual approach to multiple exercise option problems under constraints

Aleksandrov, N.; Hambly, Ben - In: Mathematical methods of operations research 71 (2010) 3, pp. 503-533

Persistent link: https://www.econbiz.de/10003990392

The 3/2 model as a stochastic volatility approximation for a large-basket price-weighted index

Hambly, Ben; Vaicenavicius, Juozas - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-25

Persistent link: https://www.econbiz.de/10011403929

Limit order books, diffusion approximations and reflected SPDEs : from microscopic to macroscopic models

Hambly, Ben; Kalsi, Jasdeep; Newbury, James - In: Applied mathematical finance 27 (2020) 1/2, pp. 132-170

Persistent link: https://www.econbiz.de/10012254111

Fast mean-reversion asymptotics for large portfolios of stochastic volatility models

Hambly, Ben; Kolliopoulos, Nikolaos - In: Finance and stochastics 24 (2020) 3, pp. 757-794

Persistent link: https://www.econbiz.de/10012518096

An SPDE model for systemic risk with endogenous contagion

Hambly, Ben; Søjmark, Andreas - In: Finance and stochastics 23 (2019) 3, pp. 535-594

Persistent link: https://www.econbiz.de/10012023755

Recent advances in reinforcement learning in finance

Hambly, Ben; Xu, Renyuan; Yang, Huining - In: Mathematical finance : an international journal of … 33 (2023) 3, pp. 437-503

Persistent link: https://www.econbiz.de/10014329888

Causal Structure Learning

Heinze-Deml, Christina; Maathuis, Marloes H.; … - 2018

Graphical models can represent a multivariate distribution in a convenient and accessible form as a graph. Causal models can be viewed as a special class of graphical models that represent not only the distribution of the observed system but also the distributions under external interventions....

Persistent link: https://www.econbiz.de/10014114889