Cookies?
Library Header Image
LSE Research Online LSE Library Services

Items where Author is "Kristensen, Dennis"

Up a level
Export as [feed] Atom [feed] RSS 1.0 [feed] RSS 2.0
Group by: Item Type | No Grouping
Number of items: 6.

Kristensen, Dennis and Mele, Antonio (2011) Adding and subtracting Black-Scholes: a new approach to approximating derivative prices in continuous-time models. Journal of Financial Economics, 102 (2). pp. 390-415. ISSN 0304-405X

Linton, Oliver and Kristensen, Dennis (2006) A closed-form estimator for the GARCH(1,1)-Model. Econometric Theory, 22 (2). pp. 323-337. ISSN 0266-4666

Kristensen, Dennis (2004) Estimation in two classes of semiparametric diffusion models. Discussion paper (500). Financial Markets Group, London School of Economics and Political Science, London, UK.

Kristensen, Dennis (2004) A semiparametric single-factor model of the term structure. Discussion paper (501). Financial Markets Group, London School of Economics and Political Science, London, UK.

Kristensen, Dennis (2004) Estimation of partial differential equations with applications in finance. Discussion paper (499). Financial Markets Group, London School of Economics and Political Science, London, UK.

Jeffrey, Andrew, Kristensen, Dennis, Linton, Oliver, Nguyen, Thong and Phillips, Peter C. B. (2004) Non-parametric estimation of multi-factor Heath Jarrow Morton term structure models. Journal of Financial Econometrics, 2 (2). pp. 251-289. ISSN 1479-8409

This list was generated on Sat May 25 05:03:21 2019 BST.