Characteristic function-based factor modelling of affine jump diffusions using options
Niels Marijnen
- Econometrics Seminars and Workshop Series
Niels Marijnen
Ana Scekic (Erasmus University Rotterdam)
Nicolas Padilla (London Business School, United Kingdom) and Koen Pauwels (Northeastern University)
Johan Segers (Université catholique de Louvain, Belgium) and Umut Can (University of Amsterdam)
David Frazier (Monash University, Australia)
Katrijn Gielens (UNC Kenan Flagler, United States)
Sander Barendse (University of Amsterdam)
Michiel van Crombrugge (Erasmus University Rotterdam) and Dennis Herhausen (Vrije Universiteit Amsterdam)
Gijs Overgoor (University of Rochester) and Bill Rand (North Carolina State University, United States)
Marco Gregori
Toni Ahnert (ECB, Germany)
Michiel van Crombrugge
Nick Berente (University of Notre Dame, United States)
Steven Ongena (University of Zurich, Switzerland)
Luuk van Maasakkers
Yoshiyasu Rai (University of Mannheim, Germany)
Hong Deng
Claire Célérier (University of Toronto, Canada)
Yadi Yang
Bertille Antoine (Simon Fraser University, Canada)