12 citations · 14 across the 3 of their papers we have counts for
6 papers
Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation
H. Peter Boswijk, Roger J. A. Laeven, Evgenii Vladimirov
We develop a novel filtering and estimation procedure for parametric option pricing models driven by general affine jump-diffusions. Our procedure is based on the comparison betwee…
Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes
Raviar Karim, Roger J. A. Laeven, Michel Mandjes
This paper considers population processes in which general, not necessarily Markovian, multivariate Hawkes processes dictate the stochastic arrivals. We establish results to determ…
Probability Premium and Attitude Towards Probability
Louis R. Eeckhoudt, Roger J. A. Laeven
Employing a generalized definition of Pratt (1964) and Arrow's (1965, 1971) probability premium, we introduce a new concept of attitude towards probability. We illustrate in a prob…
Systemic Risk: Conditional Distortion Risk Measures
Jan Dhaene, Roger J. A. Laeven, Yiying Zhang
In this paper, we introduce the rich classes of conditional distortion (CoD) risk measures and distortion risk contribution (CoD) measures as measures of systemic risk and analy…
Risk Apportionment: The Dual Story
Louis R. Eeckhoudt, Roger J. A. Laeven, Harris Schlesinger
By specifying model free preferences towards simple nested classes of lottery pairs, we develop the dual story to stand on equal footing with that of (primal) risk apportionment. T…
Asymptotically distribution-free goodness-of-fit testing for tail copulas
Sami Umut Can, John H. J. Einmahl, Estate V. Khmaladze +1
Let be an i.i.d. sample from a bivariate distribution function that lies in the max-domain of attraction of an extreme value distribution. The asymptot…