Characteristic function-based factor modelling of affine jump diffusions using options
Niels Marijnen
- Econometrics Seminars and Workshop Series
Niels Marijnen
Joaquim Vidiella
Anna Baiardi
Ana Scekic (Erasmus University Rotterdam)
Wiljan van den Berge (Utrecht University)
Johan Segers (Université catholique de Louvain, Belgium) and Umut Can (University of Amsterdam)
Georgios Petropoulos (MIT and Stanford University, United States)
Martin Hackmann (University of California, Los Angeles, United States)
David Frazier (Monash University, Australia)
Barend Spanjers , Barend Spanjers
Sam Hoey
Ana Figueiredo
Pauline Rossi (École Polytechnique-CREST, France)
Leonardo Menezes Bravo Alvo Nunes , Leonardo Nunes
Yun Xiao
Martha J. Bailey (University of California at Los Angeles, United States)
Martha J. Bailey (University of California at Los Angeles, United States)
Abel Brodeur (University of Ottawa, Canada)
Sander Barendse (University of Amsterdam)
Yuta Takahashi (Hitotsubashi University, Japan)