Department of Mathematical Sciences

 

 
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  1. 2018
  2. Published

    From Model to Market Risks: The Implicit Function Theorem (IFT) Demystified

    Savine, A., 31 Oct 2018, SSRN: Social Science Research Network, 6 p.

    Research output: Working paper › Research

  3. 2017
  4. Published

    LSM Reloaded: Differentiate xVA on your iPad Mini

    Huge, B. N. & Savine, A., 10 May 2017, Social Science Research Network (SSRN), 46 p.

    Research output: Working paper › Research

  5. 2016
  6. Published

    Excursion sets of infinitely divisible random fields with convolution equivalent Lévy measure

    Rønn-Nielsen, A. & Jensen, E. B. V., Aug 2016, Aarhus University, 21 p. (CSGB Research Reports; No. 11, Vol. 2016).

    Research output: Working paper › Research

  7. 2015
  8. Published

    Time inhomogeneity in longest gap and longest run problems

    Asmussen, S., Ivanovs, J. & Rønn-Nielsen, A., Oct 2015, Thiele Research report, No 7, 2015 ed., Aarhus University, 17 p. (Thiele Research Report, Vol. 7).

    Research output: Working paper › Research

  9. 2014
  10. Published

    Optimal hedging with the cointegrated vector autoregressive model

    Gatarek, L. & Johansen, Søren, 2014, Copenhagen: Økonomisk institut, Københavns Universitet, 11 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 22, Vol. 2014).

    Research output: Working paper › Research

  11. Published

    Outlier detection algorithms for least squares time series regression

    Johansen, Søren & Nielsen, B., 2014, Copenhagen: Økonomisk institut, Københavns Universitet, 39 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 23, Vol. 2014).

    Research output: Working paper › Research

  12. Published

    Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure

    Rønn-Nielsen, A. & Jensen, E. B. V., 2014, Aarhus University, (CSGB Research Reports; No. 9, Vol. 2014).

    Research output: Working paper › Research

  13. 2013
  14. Published

    Asymptotic analysis of the Forward Search

    Johansen, Søren & Nielsen, B., 2013, Kbh.: Økonomisk institut, Københavns Universitet, 39 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 1, Vol. 13).

    Research output: Working paper › Research

  15. Published

    Cost allocation with limited information

    Hougaard, Jens Leth & Tind, J., 2013, Department of Food and Resource Economics, University of Copenhagen, 13 p. (MSAP Working Paper Series; No. 01/2013).

    Research output: Working paper › Research

  16. 2010
  17. Published

    Penalized maximum likelihood estimation for generalized linear point processes

    Hansen, Niels Richard, 3 Mar 2010.

    Research output: Working paper › Research

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