no code implementations • 30 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.
no code implementations • 22 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.
no code implementations • 14 Aug 2021 • Matteo Michielon, Asma Khedher, Peter Spreij
Risk-neutral default probabilities can be implied from credit default swap (CDS) market quotes.
no code implementations • 30 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.
1 code implementation • 15 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.
4 code implementations • 10 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)
1 code implementation • 30 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)