Papers in Mathematical Foundations
New families of distributions fitting L-moments
New families of distributions fitting L-moments for modeling financial data
New families of distributions fitting L-moments
A theoretical comparison between moments and L-moments
Stable distributions: A survey
Stable distribution: A survey on simulation and calibration methodologies
multivariate stable distribution via spherical harmonic analysis
Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis
multivariate stable distribution via spherical harmonic analysis
Nongaussian Multivariate Simulations in Mark-to-Future calculations
Harmonic Analysis in Value at Risk Calculations
Harmonic Analysis in Value at Risk Calculations
Modelling and Estimation of Financial Time Series
Modelling and Estimation of Financial Time Series
Extreme Value Theory techniques for scenario generation
Extreme Value Theory techniques for scenario generation
Gaussian Processes for Financial Time Series, a C++ Implementation
Gaussian Processes for Financial Time Series, a C++ Implementation
Mathematical Problems in the Theory of Incomplete Markets
Mathematical Problems in the Theory of Incomplete Markets
Applications of Optimization to Mathematical Finance
Applications of Optimization to Mathematical Finance
Distressed considerations in the construction of hedge fund portfolios
Distressed considerations in the construction of hedge fund portfolios
Portfolio Optimization when assets have the gaussian mixture distribution
Portfolio Optimization when assets have the gaussian mixture distribution
