Items where Author is "Kristensen, Dennis"
Number of items: 6.
Adding and subtracting Black-Scholes: a new approach to approximating derivative prices in continuous-time models.
Kristensen, Dennis; Mele, Antonio
Estimation in two classes of semiparametric diffusion models.
Kristensen, Dennis
Estimation of partial differential equations with applications in finance.
Kristensen, Dennis
Non-parametric estimation of multi-factor Heath Jarrow Morton term structure models.
Jeffrey, Andrew; Kristensen, Dennis; Linton, Oliver; Nguyen, Thong; Phillips, Peter C. B.
A closed-form estimator for the GARCH(1,1)-Model.
Linton, Oliver; Kristensen, Dennis
A semiparametric single-factor model of the term structure.
Kristensen, Dennis
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