Search Results for author: Peter Spreij

Found 7 papers, 3 papers with code

Polynomial Approximation of Discounted Moments

no code implementations30 Oct 2021 Chenyu Zhao, Misha van Beek, Peter Spreij, Makhtar Ba

We introduce an approximation strategy for the discounted moments of a stochastic process that can, for a large class of problems, approximate the true moments.

Liquidity-free implied volatilities: an approach using conic finance

no code implementations22 Oct 2021 Matteo Michielon, Asma Khedher, Peter Spreij

We consider the problem of calculating risk-neutral implied volatilities of European options without relying on option mid prices but solely on bid and ask prices.

On Capital Allocation for a Risk Measure Derived from Ruin Theory

no code implementations30 Mar 2021 Guusje Delsing, Michel Mandjes, Peter Spreij, Erik Winands

We introduce an intuitively appealing, novel allocation method, with a focus on its application to capital reserves which are determined through the dynamic value-at-risk (VaR) measure.

Nonparametric Bayesian volatility learning under microstructure noise

1 code implementation15 May 2018 Shota Gugushvili, Frank van der Meulen, Moritz Schauer, Peter Spreij

In this work, we study the problem of learning the volatility under market microstructure noise.

Fast and scalable non-parametric Bayesian inference for Poisson point processes

4 code implementations10 Apr 2018 Shota Gugushvili, Frank van der Meulen, Moritz Schauer, Peter Spreij

The observations are assumed to be $n$ independent realisations of a Poisson point process on the interval $[0, T]$.

Methodology 62G20 (Primary) 62M30 (Secondary)

Nonparametric Bayesian volatility estimation

1 code implementation30 Jan 2018 Shota Gugushvili, Frank van der Meulen, Moritz Schauer, Peter Spreij

Given discrete time observations over a fixed time interval, we study a nonparametric Bayesian approach to estimation of the volatility coefficient of a stochastic differential equation.

Methodology Statistics Theory Statistical Finance Statistics Theory 62G20 (Primary), 62M05 (Secondary)

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