1 citations · 1 across the 3 of their papers we have counts for
3 papers
SINH-acceleration for B-spline projection with Option Pricing Applications
Svetlana Boyarchenko, Sergei Levendorskiĭ, J. Lars Kirkby +1
We clarify the relations among different Fourier-based approaches to option pricing, and improve the B-spline probability density projection method using the sinh-acceleration tech…
Maximum Likelihood Estimation of Diffusions by Continuous Time Markov Chain
J. L. Kirkby, Dang Nguyen, Duy Nguyen +1
In this paper we present a novel method for estimating the parameters of a parametric diffusion processes. Our approach is based on a closed-form Maximum Likelihood estimator for a…
Moments of Student's t-distribution: A Unified Approach
J. Lars Kirkby, Dang Nguyen, Duy Nguyen
In this note, we derive the closed form formulae for moments of Student's t-distribution in the one dimensional case as well as in higher dimensions through a unified probability f…