1.8k citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- University of ViennaAT14 papers
- Sapienza University of RomeIT12 papers
- Complexity Science HubAT11 papers
- University of SalzburgAT9 papers
- Johannes Kepler University of LinzAT8 papers
- Humboldt-Universität zu BerlinDE7 papers
- The University of MelbourneAU7 papers
- TU WienAT7 papers
- ETH ZurichCH6 papers
- Queensland University of TechnologyAU5 papers
- University College DublinIE5 papers
- University of AmsterdamNL5 papers
13 papers · 1 filter
Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient
Gunther Leobacher, Michaela Szölgyenyi
We prove strong convergence of order for arbitrarily small of the Euler-Maruyama method for multidimensional stochastic differential equations (SDEs) with discontinuo…
Solving DC programs with a polyhedral component utilizing a multiple objective linear programming solver
Andreas Löhne, Andrea Wagner
A class of non-convex optimization problems with DC objective function is studied, where DC stands for being representable as the difference of two convex functions and…
Sparse Bayesian time-varying covariance estimation in many dimensions
Gregor Kastner
We address the curse of dimensionality in dynamic covariance estimation by modeling the underlying co-volatility dynamics of a time series vector through latent time-varying stocha…
Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models
Florian Huber, Gregor Kastner, Martin Feldkircher
This paper proposes a straightforward algorithm to carry out inference in large time-varying parameter vector autoregressions (TVP-VARs) with mixture innovation components for each…
Dual representations for systemic risk measures
Çağın Ararat, Birgit Rudloff
The financial crisis showed the importance of measuring, allocating and regulating systemic risk. Recently, the systemic risk measures that can be decomposed into an aggregation fu…
Optimal Bayesian estimators for latent variable cluster models
Riccardo Rastelli, Nial Friel
In cluster analysis interest lies in probabilistically capturing partitions of individuals, items or observations into groups, such that those belonging to the same group share sim…
Utility Indifference Pricing of Insurance Catastrophe Derivatives
Andreas Eichler, Gunther Leobacher, Michaela Szölgyenyi
We propose a model for an insurance loss index and the claims process of a single insurance company holding a fraction of the total number of contracts that captures both ordinary…
Model-based clustering based on sparse finite Gaussian mixtures
Gertraud Malsiner-Walli, Sylvia Frühwirth-Schnatter, Bettina Grün
In the framework of Bayesian model-based clustering based on a finite mixture of Gaussian distributions, we present a joint approach to estimate the number of mixture components an…
Optimal Liquidation under Partial Information with Price Impact
Katia Colaneri, Zehra Eksi, Rüdiger Frey +1
We study the optimal liquidation problem in a market model where the bid price follows a geometric pure jump process whose local characteristics are driven by an unobservable finit…
Inter-Paradigm Translation of Process Models using Simulation and Mining
Lars Ackermann, Stefan Schönig, Stefan Jablonski
Process modeling is usually done using imperative modeling languages like BPMN or EPCs. In order to cope with the complexity of human-centric and flexible business processes severa…
Dividend maximization in a hidden Markov switching model
Michaela Szölgyenyi
In this paper we study the valuation problem of an insurance company by maximizing the expected discounted future dividend payments in a model with partial information that allows…
Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models
Gregor Kastner, Sylvia Frühwirth-Schnatter, Hedibert Freitas Lopes
We discuss efficient Bayesian estimation of dynamic covariance matrices in multivariate time series through a factor stochastic volatility model. In particular, we propose two inte…
Optimal Control of an Energy Storage Facility Under a Changing Economic Environment and Partial Information
Anton A. Shardin, Michaela Szölgyenyi
In this paper we consider an energy storage optimization problem in finite time in a model with partial information that allows for a changing economic environment. The state proce…