Peter Spreij

Universiteit van Amsterdam, Korteweg-de Vries Institute for Mathematics

PO Box 94248

Amsterdam, 1090GE

Netherlands

http://https://staff.fnwi.uva.nl/p.j.c.spreij/

SCHOLARLY PAPERS

4

DOWNLOADS

107

SSRN CITATIONS

0

CROSSREF CITATIONS

5

Scholarly Papers (4)

Accounting Noise and the Pricing of Cocos

Tinbergen Institute Discussion Paper 2018-037/VI
Number of pages: 44 Posted: 02 May 2018
University of Amsterdam - Korteweg-de Vries Institute for Mathematics, Universiteit van Amsterdam, Korteweg-de Vries Institute for Mathematics and Universiteit van Amsterdam
Downloads 49 (398,428)

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Contingent Capital Pricing, Accounting Noise, Coco Triggers, Coco Design, Risk Taking Incentives, Investment Incentives

Accounting Noise and the Pricing of CoCos

CEPR Discussion Paper No. DP12869
Number of pages: 45 Posted: 16 Apr 2018
University of Amsterdam - Korteweg-de Vries Institute for Mathematics, Universiteit van Amsterdam, Korteweg-de Vries Institute for Mathematics and Universiteit van Amsterdam
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accounting noise, Coco design, Coco triggers, Contingent capital pricing, Investment incentives, risk taking incentives

2.

Nonparametric Bayesian Volatility Estimation

Gugushvili S., der Meulen F.., Schauer M., Spreij P. (2019). Nonparametric Bayesian Volatility Estimation. In: Wood D., de Gier J., Praeger C., Tao T. (eds), 2017 MATRIX Annals, pages 279-302. MATRIX Book Series, vol 2. Springer, Cham
Number of pages: 21 Posted: 08 Feb 2018 Last Revised: 31 Mar 2019
Wageningen University & Research, Delft University of Technology - Delft Institute of Applied Mathematics (DIAM), Leiden University and Universiteit van Amsterdam, Korteweg-de Vries Institute for Mathematics
Downloads 34 (449,078)
Citation 2

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Diffusion coefficient, Dispersion coefficient, Gaussian likelihood, Gibbs sampler, Independent inverse Gamma prior, Inverse Gamma Markov chain prior, MCMC, Metropolis-within-Gibbs, Nonparametric Bayesian estimation, Pseudo-likelihood, Stochastic differential equation, Volatility

3.

Nonparametric Bayesian Volatility Learning Under Microstructure Noise

Number of pages: 14 Posted: 25 May 2018
Wageningen University & Research, Delft University of Technology - Delft Institute of Applied Mathematics (DIAM), Leiden University and Universiteit van Amsterdam, Korteweg-de Vries Institute for Mathematics
Downloads 12 (569,900)
Citation 2

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Forward Filtering Backward Simulation, Gibbs sampler, High frequency data, Inverse Gamma Markov chain, Microstructure noise, State-space model, Volatility

4.

Nonparametric Bayesian Estimation of a Hölder Continuous Diffusion Coefficient

Number of pages: 46 Posted: 27 Dec 2017 Last Revised: 29 Jul 2018
Wageningen University & Research, Delft University of Technology - Delft Institute of Applied Mathematics (DIAM), Leiden University and Universiteit van Amsterdam, Korteweg-de Vries Institute for Mathematics
Downloads 12 (569,900)
Citation 2

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Diffusion Coefficient, Gaussian Likelihood, Non-Parametric Bayesian Estimation, Pseudo-likelihood, Posterior Contraction Rate, Stochastic Differential Equation, Volatility