Department of Mathematical Sciences

 

 
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  1. Published

    Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences

    Zhang, Y., 2023, In: Journal of Industrial and Management Optimization. 19, 8, p. 5767-5796 30 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  2. Published

    Dynamic optimal mean-variance portfolio selection with a 3/2 stochastic volatility

    Zhang, Y., 2021, In: Risks. 9, 4, 21 p., 61.

    Research output: Contribution to journal › Journal article › Research › peer-review

  3. Published

    Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading

    Zhang, Y., 2023, In: Journal of Industrial and Management Optimization. 19, 6, p. 4022-4063 42 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  4. Published

    Dynamic portfolio optimization with stochastic investment opportunities

    Zhang, Y., 2023, Department of Mathematical Sciences, Faculty of Science, University of Copenhagen. 390 p.

    Research output: Book/Report › Ph.D. thesis › Research

  5. Published

    Dynamic optimal mean-variance investment with mispricing in the family of 4/2 stochastic volatility models

    Zhang, Y., 2021, In: Mathematics. 9, 18, 25 p., 2293.

    Research output: Contribution to journal › Journal article › Research › peer-review

  6. Published

    Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach

    Zhang, Y., 2023, In: Decisions in Economics and Finance. 46, p. 97–128 32 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  7. E-pub ahead of print

    Robust optimal asset-liability management under square-root factor processes and model ambiguity: a BSDE approach

    Zhang, Y., 2024, (E-pub ahead of print) In: Stochastic Models.

    Research output: Contribution to journal › Journal article › Research › peer-review

  8. Published

    Systematic clustering of transcription start site landscapes

    Zhao, X., Valen, E., Parker, B. J. & Sandelin, Albin Gustav, 2011, In: P L o S One. 6, 8, 16 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  9. Published

    A Fourier analysis of extremal events

    Zhao, Y., 2013, Department of Mathematical Sciences, Faculty of Science, University of Copenhagen. 135 p.

    Research output: Book/Report › Ph.D. thesis › Research

  10. Published

    Trading off costs and service rates in a first-mile ride-sharing service

    Zheng, M. & Pantuso, Giovanni, 2023, In: Transportation Research Part C: Emerging Technologies. 150, 23 p., 104099.

    Research output: Contribution to journal › Journal article › Research › peer-review

  11. Published

    Approximation Behooves Calibration

    da Silva Ribeiro, A. M. & Poulsen, Rolf, 2013, In: Quantitative Finance Letters. 1, 1, p. 36-40

    Research output: Contribution to journal › Journal article › Research › peer-review

  12. Published

    Essay on Option Pricing, Hedging and Calibration

    da Silva Ribeiro, A. M., 2015, Department of Mathematical Sciences, Faculty of Science, University of Copenhagen. 152 p.

    Research output: Book/Report › Ph.D. thesis › Research

  13. Published

    Monitoring and Forecasting COVID-19: Heuristic Regression, Susceptible-Infected-Removed Model and, Spatial Stochastic

    de Andres, P. L., de Andres-Bragado, L. & Hoessly, Linard David, 21 May 2021, In: Frontiers in Applied Mathematics and Statistics. 7, 650716.

    Research output: Contribution to journal › Journal article › Research › peer-review

  14. Published

    Group actions on deformation, quantizations and an equivariant algebraic index theorem

    de Kleijn, N., 2016, Department of Mathematical Sciences, Faculty of Science, University of Copenhagen.

    Research output: Book/Report › Ph.D. thesis › Research

  15. Published

    Approximation properties for noncommutative Lp-spaces associated with lattices in Lie groups

    de Laat, T., 2013, In: Journal of Functional Analysis. 264, 10, p. 2300-2322

    Research output: Contribution to journal › Journal article › Research › peer-review

  16. Published

    Approximation properties for Lie groups and noncommutative Lp-spaces

    de Laat, T., 2013, Department of Mathematical Sciences, Faculty of Science, University of Copenhagen. 124 p.

    Research output: Book/Report › Ph.D. thesis › Research

  17. Published

    On the Grothendieck Theorem for Jointly Completely Bounded Bilinear Forms

    de Laat, T., 2013, Operator Algebra and Dynamics: Nordforsk Network Closing Conference, Faroe Islands, May 2012. Clausen, T. M., Eilers, S., Restorff, G. & Silvestrov, S. (eds.). Springer, p. 211-221 (Springer Proceedings in Mathematics & Statistics , Vol. 58).

    Research output: Chapter in Book/Report/Conference proceeding › Article in proceedings › Research › peer-review

  18. Published

    The Wehrl entropy has Gaussian optimizers

    de Palma, G., 1 Jan 2018, In: Letters in Mathematical Physics. 108, 1, p. 97-116 20 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  19. Published

    Uncertainty relations with quantum memory for the Wehrl entropy

    de Palma, G., 12 Mar 2018, In: Letters in Mathematical Physics. 108, 9, p. 2139–2152 14 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  20. Published

    The entropy power inequality with quantum conditioning

    de Palma, G., 2019, In: Journal of Physics A: Mathematical and Theoretical. 52, 8, 12 p., 08LT03.

    Research output: Contribution to journal › Journal article › Research › peer-review

  21. Published

    The Conditional Entropy Power Inequality for Bosonic Quantum Systems

    de Palma, G. & Trevisan, D., Jun 2018, In: Communications in Mathematical Physics. 360, 2, p. 639–662 24 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  22. Published

    A dynamical symmetry for supermembranes

    de Woul, J., Hoppe, J., Lundholm, D. B. A. & Sundin, M., 2011, In: Journal of High Energy Physics (Online). 3, 5 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  23. Published

    Partial Hamiltonian reduction of relativistic extended objects in light-cone gauge

    de Woul, J., Hoppe, J. & Lundholm, D. B. A., 2011, In: Journal of High Energy Physics (Online). 1, 10 p., Art. 31.

    Research output: Contribution to journal › Journal article › Research › peer-review

  24. Published

    Estimation of the covariance structure from SNP allele frequencies

    van Waaij, J., Li, Z. & Wiuf, Carsten, 2022, In: Statistical Applications in Genetics and Molecular Biology. 21, 1, 20 p., 20220005.

    Research output: Contribution to journal › Journal article › Research › peer-review

  25. Published

    Asymptotic expansions and boundary values of eigenfunctions on Riemannian symmetric spaces

    van den Ban, E. P. & Schlichtkrull, Henrik, 1987, In: Journal fur die Reine und Angewandte Mathematik. 1987, 380, p. 108-165 58 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

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