Department of Mathematical Sciences

 

 
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  1. 2005
  2. Published

    Static Hedging of Barrier Options Under General Asset Dynamics: Unification and Application

    Nalholm, M., 2005, Finance Research Unit / Copenhagen University, p. 1-42.

    Research output: Working paper › Research

  3. Published

    Stock Market Risk-Return Inference. An Unconditional non-Parametric Approach

    Mikosch, Thomas Valentin & Starica, C., 2005, Københavns Universitet: <Forlag uden navn>, p. 1-40.

    Research output: Working paper › Research

  4. Published

    Valuation and Hedging of life Insurance Liabilities with Systematic Mortality Risk

    Dahl, M. H. & Møller, T., 2005, Københavns Universitet: H.C.Ø.-Tryk, p. 1-30.

    Research output: Working paper › Research

  5. 2004
  6. Published

    A Note on the Free Policy Reserve

    Steffensen, Mogens, 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-10.

    Research output: Working paper › Research

  7. Published

    A Small Sample Correction of the Dickey-Fuller Test

    Johansen, Søren, 2004, Afdeling for Anvendt Matematek og Statistik / Københavns Universitet, p. 1-18.

    Research output: Working paper › Research

  8. Published

    Activity Rates with Very Heavy Tails

    Mikosch, Thomas Valentin & Resnick, S., 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-23.

    Research output: Working paper › Research

  9. Published

    Cointegration; An Overview

    Johansen, Søren, 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet, p. 1-37.

    Research output: Working paper › Research

  10. Published

    Fair Distribution of Assets in Life Insurance

    Dahl, M. H., 2004, Afdeling for Anvendt Matematik og Statistik / København Universitet: H.C.Ø.-Tryk, p. 1-41.

    Research output: Working paper › Research

  11. Published

    Functional Large Deviations for Multivariate Regularly Varying Random Walks

    Hult, H., Lindskog, F., Mikosch, Thomas Valentin & Samorodnitsky, G., 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-25.

    Research output: Working paper › Research

  12. Published

    How to Model Multivariate Extremes if One Must?

    Mikosch, Thomas Valentin, 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-18.

    Research output: Working paper › Research

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