Research Reports 2012

2012-06 (December 2012)
Portfolio Management with Stochastic Interest Rates and Inflation Ambiguity
by Claus Munk and Alexey Rubtsov
2012-05 (December 2012)
Classification error of the thresholded independence rule
by Britta Anker Bak, Morten Fenger-Grøn and Jens Ledet Jensen
2012-04 (December 2012)
The Itô formula for a new stochastic integral
by Hui-Hsiung Kuo, Anuwat Sae-Tang and Benedykt Szozda
2012-03 (May 2012)
Notes on the gamma kernel
by Ole E. Barndorff-Nielsen
2012-02 (May 2012)
On Exceedance Times for Some Processes with Dependent Increments
by Søren Asmussen and Sergey Foss
2012-01 (May 2012)
On error rates in rare event simulation with heavy tails
by Søren Asmussen and Dominik Kortschak

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Revised 24.09.2018