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Generalized Post-Widder inversion formula with application to statistiscs
Belomestny, Denis; Mai, Hilmar; Schoenmakers, John - 2015
Persistent link: https://www.econbiz.de/10011443256
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Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation
Belomestny, Denis; Härdle, Wolfgang; Krymova, Ekaterina - In: International journal of theoretical and applied finance 20 (2017) 6, pp. 1-21
Persistent link: https://www.econbiz.de/10011734146
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Sparse covariance matrix estimation in high-dimensional deconvolution
Belomestny, Denis; Trabs, Mathias; Cybakov, Aleksandr B. - 2017
Persistent link: https://www.econbiz.de/10012198572
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A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean-Vlasov models
Bayer, Christian; Belomestny, Denis; Butkovsky, Oleg; … - In: Finance and stochastics 28 (2024) 4, pp. 1147-1178
Persistent link: https://www.econbiz.de/10015130558
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Maximum-Likelihood-Schätzung in gekrümmten Exponentialfamilien
Krätschmer, Volker - 1995
Persistent link: https://www.econbiz.de/10000921172
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Maximum-Likelihood-Schätzung in Unterfamilien von Exponentialfamilien
Krätschmer, Volker - In: Selected papers of the Symposium on Operations Research …, (pp. 212-216). 1996
Persistent link: https://www.econbiz.de/10001318173
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The uniqueness of extremum estimation
Krätschmer, Volker (contributor) - 2006
Persistent link: https://www.econbiz.de/10003402324
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Differentialgeometrische Kleinste-Quadrate-Schätzung in nichtlinearen Regressionsmodellen mit normalverteilten Störgrößen
Krätschmer, Volker - 1994
Persistent link: https://www.econbiz.de/10000910823
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Parametric estimation of risk neutral density functions
Grith, Maria; Krätschmer, Volker - 2010
This chapter deals with the estimation of risk neutral distributions for pricing index options resulting from the hypothesis of the risk neutral valuation principle. After justifying this hypothesis, we shall focus on parametric estimation methods for the risk neutral density functions...
Persistent link: https://www.econbiz.de/10008663375