GB-London WC2A 2AE
London School of Economics & Political Science (LSE) - Department of Mathematics
in Total Papers Downloads
in Total Papers Citations
interbank network, systemic risk, bailout, bank mergers
Stochastic volatility, volatility of volatility, stochastic correlation, leverage effect, Jacobi process, Ornstei-Uhlenbeck process, square root diffusion, Lévy process, Heston
Unknown interbank liabilities, systemic risk, Gibbs sampler
optimal investment, power-utility, parameter uncertainty, risk aversion, L1-norm constraint, sparse portfolio
Bayesian methods, random graphs, matrix balancing, systemic risk
systemic risk, multiple maturities, clearing, financial networks
optimal investment, continuous time, estimation effects, lasso, shrinkage, vast portfolios
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