A. E. Brockwell

Carnegie Mellon University - Department of Statistics

Pittsburgh, PA 15213-3890

United States

SCHOLARLY PAPERS

3

DOWNLOADS

88

CITATIONS

3

Scholarly Papers (3)

1.

Sequential Monte Carlo Pricing of American-Style Options under Stochastic Volatility Models

The Annals of Applied Statistics, 4(1), 222-265 (2010)
Number of pages: 43 Posted: 25 Jul 2013
Bhojnarine Rambharat and A. E. Brockwell
Office of the Comptroller of the Currency and Carnegie Mellon University - Department of Statistics
Downloads 41 (415,463)
Citation 6

Abstract:

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Arbitrage, Risk-neutral, Dynamic programming, Optimal stopping, Decision, Latent volatility, Volatility risk premium; Grid; Sequential, Monte Carlo, MCMC

2.

Likelihood-Based Analysis of a Class of Generalized Long-Memory Time Series Models

Journal of Time Series Analysis, Vol. 28, No. 3, pp. 386-407, May 2007
Number of pages: 22 Posted: 02 May 2007
A. E. Brockwell
Carnegie Mellon University - Department of Statistics
Downloads 28 (471,410)
Citation 4
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3.

A Threshold Autoregressive Model for Wholesale Electricity Prices

Journal of the Royal Statistical Society (Series C, Applied Statistics), 54(3), 1-13 (2005)
Number of pages: 15 Posted: 25 Jul 2013
Bhojnarine Rambharat, A. E. Brockwell and Duane J. Seppi
Office of the Comptroller of the Currency, Carnegie Mellon University - Department of Statistics and Carnegie Mellon University - David A. Tepper School of Business
Downloads 19 (521,212)
Citation 4

Abstract:

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Threshold autoregressive model, Eelectricity prices, Spikes, Markov chain Monte Carlo