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Applied Mathematical Finance
Brummelhuis, Raymond and Chan, R.T.L. (2014) An RBF scheme for option pricing in exponential Levy models. Applied Mathematical Finance 21 (3), pp. 238-269. ISSN 1466-4313.
Extremes
Brummelhuis, Raymond (2008) Serial dependence in ARCH-models as measured by tail dependence coefficients. Extremes 11 (2), pp. 167-201. ISSN 1386-1999.
Few-Body Systems
Brummelhuis, Raymond and Briet, P. and Duclos, P. (2009) Adiabatic spectrum for relativistic hydrogen in a strong homogeneous magnetic field. Few-Body Systems 45 (2-4), pp. 179-182. ISSN 0177-7963.
Journal of Computational and Applied Mathematics
Baxter, Brad J.C. and Brummelhuis, Raymond (2011) Functionals of exponential Brownian motion and divided differences. Journal of Computational and Applied Mathematics 236 (4), pp. 424-433. ISSN 0377-0427.
Journal of Financial Data Science
Brummelhuis, Raymond and Luo, Zhongmin (2019) CDS proxy construction via machine learning techniques part I: methodology and results. Journal of Financial Data Science 1 (2), pp. 111-127. ISSN 2640-3943.
Brummelhuis, Raymond and Luo, Zhongmin (2019) CDS proxy construction via machine learning techniques part II: parametrization, correlation, benchmarking. Journal of Financial Data Science 1 (2), pp. 128-151. ISSN 2640-3943.
Journal of Physics A: Mathematical and Theoretical
Beau, M. and Benguria, R. and Brummelhuis, Raymond and Duclos, P. (2010) H2 Molecule in Strong Magnetic Fields. Journal of Physics A: Mathematical and Theoretical 43 (47), pp. 474005-474021. ISSN 1751-8113.
SSRN Journal
Brummelhuis, Raymond and Luo, Zhongmin (2019) Bank net interest margin forecasting and capital adequacy stress testing by machine learning techniques. SSRN Journal , ISSN 1556-5068.
Brummelhuis, Raymond and Luo, Zhongmin (2018) Arbitrage opportunities in CDS term structure: theory and implications for OTC derivatives. SSRN Journal , ISSN 1556-5068.
Seminar on Stochastic Analysis, Random Fields and Applications VI
Brummelhuis, Raymond (2010) Auto-tail dependence coefficients for stationary solutions of linear stochastic recurrence equations and for GARCH(1,1). In: Dalang, R. and Dozzi, M. and Russo, F. (eds.) Seminar on Stochastic Analysis, Random Fields and Applications VI. Progress in Probability 63. Berlin, Germany: Springer, pp. 327-339. ISBN 9783034800204.