38 citations · 51 across the 12 of their papers we have counts for
12 papers
Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts
Gareth W. Peters, Mark Briers, Pavel V. Shevchenko +1
We examine a general multi-factor model for commodity spot prices and futures valuation. We extend the multi-factor long-short model in Schwartz and Smith (2000) and Yan (2002) in…
Parameter Estimation for Hidden Markov Models with Intractable Likelihoods
Thomas A. Dean, Sumeetpal S. Singh, Ajay Jasra +1
Approximate Bayesian computation (ABC) is a popular technique for approximating likelihoods and is often used in parameter estimation when the likelihood functions are analytically…
Analytic Loss Distributional Approach Model for Operational Risk from the alpha-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation
Gareth W. Peters, Pavel Shevchenko, Mark Young +1
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital…
Gaussian Process Techniques for Wireless Communications
Mr. Chong Han, Dr. Ido Nevat, Dr. Gareth Peters +1
Bayesian filtering is a general framework for recursively estimating the state of a dynamical system. Classical solutions such that Kalman filter and Particle filter are introduced…
Impact of Insurance for Operational Risk: Is it worthwhile to insure or be insured for severe losses?
Gareth W. Peters, Aaron D. Byrnes, Pavel V. Shevchenko
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach allows a provision for reduction of capital as a result of insurance mitigation of up to 2…
Discussion of "Riemann manifold Langevin and Hamiltonian Monte Carlo methods'' by M. Girolami and B. Calderhead
Luke Bornn, Julien Cornebise, Gareth W. Peters
This technical report is the union of two contributions to the discussion of the Read Paper "Riemann manifold Langevin and Hamiltonian Monte Carlo methods" by B. Calderhead and M.…