Items where Author is "Kristensen, Dennis"

Number of items: 6.
Article
  • Adding and subtracting Black-Scholes: a new approach to approximating derivative prices in continuous-time models. Kristensen, Dennis; Mele, Antonio
  • 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
    • Working paper
  • Estimation in two classes of semiparametric diffusion models. Kristensen, Dennis
  • Estimation of partial differential equations with applications in finance. Kristensen, Dennis
  • A semiparametric single-factor model of the term structure. Kristensen, Dennis picture_as_pdf