Cristian Pasarica

Barclays Investment Bank

5 The North Colonnade

London, Canary Wharf E14 4BB

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

123

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (2)

1.

Adaptively Scaling the Metropolis Algorithm Using Expected Squared Jumped Distance

Number of pages: 27 Posted: 11 Sep 2007
Andrew Gelman and Cristian Pasarica
Columbia University - Department of Statistics and Department of Political Science and Barclays Investment Bank
Downloads 65 (344,954)

Abstract:

Loading...

acceptance rates, autocorrelation, Bayesian computation, iterative simulation, Markov chain Monte Carlo, Metropolis algorithm, multiple importance sampling

2.

A Study About the Existence of the Leverage Effect in Stochastic Volatility Models

Physica A, 388(4), Feb. 2009, 419-432
Number of pages: 25 Posted: 26 May 2012 Last Revised: 23 Mar 2018
Ionut Florescu and Cristian Pasarica
Stevens Institute of Technology and Barclays Investment Bank
Downloads 58 (365,275)

Abstract:

Loading...