Publications

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Berent Å. S. Lunde, Tore S. Kleppe, Hans J. Skaug. Saddlepoint adjusted inversion of characteristic functions. In arXiv, 2018.

Preprint PDF Code Dataset

Berent Å. S. Lunde. Likelihood Estimation of Jump-Diffusions: Extensions from Diffusions to Jump-Diffusions, Implementation with Automatic Differentiation, and Applications. In BORA, 2016.

Preprint PDF Code Dataset Project