LSE creators

Number of items: 7.
None
  • Kristensen, Dennis, 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), 390-415. https://doi.org/10.1016/j.jfineco.2011.05.007
  • Linton, Oliver, Kristensen, Dennis (2006). A closed-form estimator for the GARCH(1,1)-Model. Econometric Theory, 22(2), 323-337. https://doi.org/10.1017/S0266466606060142
  • Jeffrey, Andrew, Kristensen, Dennis, Linton, Oliver, Nguyen, Thong, Phillips, Peter C. B. (2004). Non-parametric estimation of multi-factor Heath Jarrow Morton term structure models. Journal of Financial Econometrics, 2(2), 251-289. https://doi.org/10.1093/jjfinec/nbh010
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  • Kristensen, Dennis (2004). Estimation in two classes of semiparametric diffusion models. (Financial Markets Group Discussion Papers 500). Financial Markets Group, The London School of Economics and Political Science.
  • Kristensen, Dennis (2004). A semiparametric single-factor model of the term structure. (Financial Markets Group Discussion Papers 501). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Kristensen, Dennis (2004). Estimation of partial differential equations with applications in finance. (Financial Markets Group Discussion Papers 499). Financial Markets Group, The London School of Economics and Political Science.
  • Kristensen, Dennis (2004). Semiparametric estimation of diffusion models with applications in finance [Doctoral thesis]. London School of Economics and Political Science. picture_as_pdf