Co-author Network
Co-researcher Network
sample of publications
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articles
- Sample dependence of risk premiums. Journal of Operational Risk. 14:21-37. 2019
- Calibration of short rate term structure models from bid-ask coupon bond prices. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS. 492:1456-1472. 2018
- Maxentropic Solutions to a Convex Interpolation Problem Motivated by Utility Theory. Entropy. 19:153-171. 2017
- Loss data analysis: Analysis of the sample dependence in density reconstruction by maxentropic methods. INSURANCE MATHEMATICS & ECONOMICS. 71:145-153. 2016
- Determination of zero-coupon and spot rates from treasury data by maximum entropy methods. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS. 456:38-50. 2016
- A maximum entropy approach to the loss data aggregation problem. Journal of Operational Risk. 11:49-70. 2016
- Maxentropic approach to decompound aggregate risk losses. INSURANCE MATHEMATICS & ECONOMICS. 64:326-326. 2015
- Quote inefficiency in options markets. JOURNAL OF BANKING & FINANCE. 55:23-36. 2015
- Two maxentropic approaches to determine the probability density of compound risk losses. INSURANCE MATHEMATICS & ECONOMICS. 62:42-53. 2015
- Density Reconstructions with Errors in the Data. Entropy. 16:3257-3272. 2014
- Density Reconstructions with Errors in the Data. Entropy. 6:3257-3272. 2014
- Contingent Claim Pricing Using a Normal Inverse Gaussian Probability Distortion Operator. JOURNAL OF RISK AND INSURANCE. 79:841-866. 2012
- Determination of the probability distribution measures from market option prices using the method of maximum entropy in mean. Applied Mathematical Finance. 19:299-312. 2012
- A Method for Determining Risk Aversion Functions from Uncertain Market Prices of Risk. INSURANCE MATHEMATICS & ECONOMICS. 47:84-89. 2010
- Data-Driven Smooth Tests for the Martingale Difference Hypothesis. COMPUTATIONAL STATISTICS & DATA ANALYSIS. 54:1983-1998. 2010
- Properties of Distortion Risk Measures. METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY. 11:385-399. 2009
- Portfolio Choice and Optimal Hedging with General Risk functions: A Simplex-like Algorithm. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH. 192:603-620. 2009
- Corporation as Crucial Ally Against Corruption. JOURNAL OF BUSINESS ETHICS. 87:319-332. 2009
- Determination of Risk Pricing Measures from Market Prices of Risk. INSURANCE MATHEMATICS & ECONOMICS. 43:437-443. 2008
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book chapters
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books
- Loss Data Analysis: the Maximum Entropy Approach. DE GRUYTER. 2018
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conference contributions