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)
Sander Barendse (University of Amsterdam)
Yoshiyasu Rai (University of Mannheim, Germany)
Bertille Antoine (Simon Fraser University, Canada)
Abhishek Ananth (Cornell University, United States)
Denis Kojevnikov (Tilburg University)
Nestor Parolya (TU Delft)
Yacine Ait-Sahalia (Princeton University, United States)
Irene Botosaru (University of Bristol, United Kingdom) and Chris Muris (University of Bristol, United Kingdom)
Jean-Paul Renne (University of Lausanne, Switzerland)
Cristina Gualdani (Université Capitole Toulouse 1, France)
Catherine Doz (Paris School of Economics)
James Hamilton (University of California at San Diego, United States)