25 citations · 37 across the 8 of their papers we have counts for
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stat.AP2016
Direct semi-parametric estimation of the state price density implied in option prices
Gianluca Frasso, Paul H. C. Eilers
We present a model for direct semi-parametric estimation of the State Price Density (SPD) implied in quoted option prices. We treat the observed prices as expected values of possib…
stat.AP2016
Improved Dynamic Predictions from Joint Models of Longitudinal and Survival Data with Time-Varying Effects using P-splines
Eleni-Rosalina Andrinopoulou, Paul H. C. Eilers, Johanna J. M. Takkenberg +1
In the field of cardio-thoracic surgery, valve function is monitored over time after surgery. The motivation for our research comes from a study which includes patients who receive…