27 citations · 49 across the 5 of their papers we have counts for
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q-fin.PR2017
Gibbs sampler with jump diffusion model: application in European call option and annuity
Kein Joe Lau, Yong Kheng Goh, An-Chow Lai
In this paper, we are presenting a method for estimation of market parameters modeled by jump diffusion process. The method proposed is based on Gibbs sampler, while the market par…
stat.ME2017★ 12 cited
Inference of forex and stock-index financial networks based on the normalised mutual information rate
Yong K. Goh, Haslifah M. Hasim, Chris G. Antonopoulos
In this paper we study data from financial markets using an information-theory tool that we call the normalised Mutual Information Rate and show how to use it to infer the underlyi…