papers
Publications (7)
q-fin.MF2018
Machine Learning for Yield Curve Feature Extraction: Application to Illiquid Corporate Bonds (Preliminary Draft)
Greg Kirczenow, Ali Fathi, Matt Davison
stat.ME2017
Estimation of multiple change points under a generalised Ornstein-Uhlenbeck framework
Fuqi Chen, Rogemar Mamon, Matt Davison
nlin.AO2000
Response to Comments on "Simple Measure for Complexity"
JS Shiner, Matt Davison, PT Landsberg
q-fin.ST2018
Machine Learning for Yield Curve Feature Extraction: Application to Illiquid Corporate Bonds
Greg Kirczenow, Masoud Hashemi, Ali Fathi +1
q-fin.GN2009
Utility Function and Optimum Consumption in the models with Habit Formation and Catching up with the Joneses
Roman Naryshkin, Matt Davison
math.PR2005
Choquet expectation and Peng's g-expectation
Zengjing Chen, Tao Chen, Matt Davison
q-fin.PM2008
Portfolio Optimization under Habit Formation
Roman Naryshkin, Matt Davison