Characteristic function-based factor modelling of affine jump diffusions using options
Niels Marijnen
- Econometrics Seminars and Workshop Series
Niels Marijnen
Wiljan van den Berge (Utrecht University)
Georgios Petropoulos (MIT and Stanford University, United States)
David Frazier (Monash University, Australia)
Martha J. Bailey (University of California at Los Angeles, United States)
Sander Barendse (University of Amsterdam)
Yuta Takahashi (Hitotsubashi University, Japan)
Erik Lindqvist (Stockholm University, Sweden)
Matthias Haentjens (Leiden University) and Ross Spence (AFM)
Ludovica Gazze (University of Warwick, United Kingdom)
Shyam Sunder (Yale University, United States)
Alexander Ludwig (Goethe University Frankfurt, Germany)
Charles Kahn (University of Illinois Urbana-Champaign, United States)
Vojtěch Bartoš (University of Milan, Italy)
Takuya Ura (UC Davis, United States)
Hakki Yazici (University of Bristol, United Kingdom)
Peter Koudijs
Luc Behaghel (Paris School of Economics, France)
Dimitrios Tsomocos (University of Oxford, United Kingdom)
George Loewenstein (Carnegie Mellon University, United States)