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Simple simulation of diffusion bridges with application to likelihood inference for diffusions
Bladt, Mogens; Sørensen, Michael - 2010
Persistent link: https://www.econbiz.de/10008651750
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Prediction-based estimating functions : review and new developments
Sørensen, Michael - 2011
Persistent link: https://www.econbiz.de/10008807426
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Parametric inference for discretely sampled stochastic differential equations
Sørensen, Michael - In: Handbook of financial time series, (pp. 531-553). 2009
Persistent link: https://www.econbiz.de/10003834179
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Parisian types of ruin probabilities for a class of dependent risk-reserve processes
Bladt, Mogens; Nielsen, Bo Friis; Peralta, Oscar - In: Scandinavian actuarial journal 2019 (2019) 1, pp. 32-61
Persistent link: https://www.econbiz.de/10012194929
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Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Asmussen, Søren; Bladt, Mogens - In: Quantitative finance 22 (2022) 4, pp. 675-689
Persistent link: https://www.econbiz.de/10013367850
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Small dispersion asymptotics for diffusion martingale estimating functions
Sørensen, Michael - 2000
Persistent link: https://www.econbiz.de/10001456710
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Hyperbolic processes in finance
Bibby, Bo Martin (contributor);  … - 2001 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001599143
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Diffusion-type models with given marginal and autocorrelation function
Bibby, Bo Martin (contributor);  … - 2003 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001748916
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Small diffusion asymptotics for discretely sampled stochastic differential equations
Sørensen, Michael (contributor);  … - 2002 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001660122
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Hyperbolic process in finance
Bibby, Bo Martin; Sørensen, Michael - In: Handbook of heavy tailed distributions in finance, (pp. 211-248). 2003
Persistent link: https://www.econbiz.de/10001882077