Characteristic function-based factor modelling of affine jump diffusions using options
Niels Marijnen
- Econometrics Seminars and Workshop Series
Niels Marijnen
David Frazier (Monash University, Australia)
Barend Spanjers , Barend Spanjers
Sander Barendse (University of Amsterdam)
Louise Laage (Georgetown University), Koen Jochmans (University of Toulouse), Joachim Freyberger (University of Bonn), Daniel Wilhelm (University College London), Harold D Chiang (University of Wisconsin-Madison), Dmitry Arkhangelsky (CEMFI), Helmut Farbmacher (Technical University of Munich), Irene Botosaru (McMaster University), Frank Windmeijer (University of Oxford), Chris Muris (McMaster University), Cavit Pakel (Bilkent University)
Faculty: Siem Jan Koopman (Vrije Universiteit Amsterdam and Tinbergen Institute) and Francisco Blasques (Vrije Universiteit Amsterdam and Tinbergen Institute)
Takuya Ura (UC Davis, United States)
Eva Janssens , Eva Janssens
Yoshiyasu Rai (University of Mannheim, Germany)
Yuan Yue
Bertille Antoine (Simon Fraser University, Canada)
Abhishek Ananth (Cornell University, United States)
Denis Kojevnikov (Tilburg University)
Yi He
Nestor Parolya (TU Delft)
Eva Janssens (University of Amsterdam)
Marina Khismatullina (Erasmus University Rotterdam), Tom Boot (University of Groningen), Martin Schumann (Maastricht University), Vasilis Sarafidis (BI Norwegian Business School), Geert Dhaene (KU Leuven)
Jules Depersin (CREST)
Evgenii Vladimirov (UvA)
Andrea Nagy (Erasmus University Rotterdam)