Erik Lindström

Professor
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  1. 2020
  2. Hyperparameter Optimization for Portfolio Selection

    Peter Nystrup, Erik Lindström & Madsen Henrik, 2020 Jun 18, In : The Journal of Financial Data Science. 2, 2

    Research output: Contribution to journalArticle

  3. Learning hidden Markov models with persistent states by penalizing jumps

    Peter Nystrup, Erik Lindström & Henrik Madsen, 2020, In : Expert Systems with Applications. 150, 113307.

    Research output: Contribution to journalArticle

  4. Temporal hierarchies with autocorrelation for load forecasting

    Peter Nystrup, Erik Lindström, Pierre Pinson & Henrik Madsen, 2020, In : European Journal of Operational Research. 280, 3, p. 876-888

    Research output: Contribution to journalArticle

  5. 2019
  6. Fourier Method for Valuation of Options under Parameter and State Uncertainty

    Erik Lindström, 2019 Nov 29, In : Journal of Derivatives. 27, 2, p. 62-80

    Research output: Contribution to journalArticle

  7. Temporal hierarchies with autocorrelation for load forecasting

    Peter Nystrup, Erik Lindström, Henrik Madsen & Pierre Pinson, 2019 Jun 17.

    Research output: Contribution to conferenceAbstract

  8. LPJ-GM 1.0: Simulating migration efficiently in a dynamic vegetation model

    Veiko Lehsten, Michael Mischurow, Erik Lindström, Dorte Lehsten & Heike Lischke, 2019 Mar 8, In : Geoscientific Model Development. 12, 3, p. 893-908 16 p.

    Research output: Contribution to journalArticle

  9. Multi-period portfolio selection with drawdown control

    Peter Nystrup, Stephen Boyd, Erik Lindström & Henrik Madsen, 2019, In : Annals of Operations Research. 282, 1-2, p. 245-271

    Research output: Contribution to journalArticle

  10. 2018
  11. A Diffusion Bridge Sampler for Drift- and Diffusion Dominated Models

    Erik Lindström & Daniel Damberg, 2018 Jul 16, (Accepted/In press).

    Research output: Contribution to conferencePaper, not in proceeding

  12. Practical Applications of Dynamic Allocation or Diversification: A Regime-Based Approach to Multiple Assets

    Peter Nystrup, Bo William Hansen, Henrik Olejasz Larsen, Henrik Madsen & Erik Lindström, 2018 Apr 30, In : Practical Applications. 5, 4, 5 p.

    Research output: Contribution to journalArticle

  13. Intelligent, Flexible production in an Energy System Dominated by Renewables.

    Erik Lindström, 2018 Jan 22, Symposium i anvendt statistik : 22.-24. januar 2018. Copenhagen, p. 23-31

    Research output: Chapter in Book/Report/Conference proceedingBook chapter

  14. Dynamic portfolio optimization across hidden market regimes

    Peter Nystrup, Henrik Madsen & Erik Lindström, 2018 Jan, In : Quantitative Finance. 18, 1, p. 83-95

    Research output: Contribution to journalArticle

  15. Optimal adaptive sequential calibration of option models

    Erik Lindström & Carl Åkerlindh, 2018, International Series in Operations Research and Management Science. Springer, Vol. 257. p. 165-181 17 p. (International Series in Operations Research and Management Science; vol. 257).

    Research output: Chapter in Book/Report/Conference proceedingBook chapter

  16. Unbiased Adaptive LASSO parameter estimation for diffusion processes

    Erik Lindström & Lars Josef Höök, 2018, 18th IFAC Symposium on System Identification SYSID 2018. Elsevier, p. 257-262 (IFAC-PapersOnLine; vol. 51, no. 15).

    Research output: Chapter in Book/Report/Conference proceedingPaper in conference proceeding

  17. 2017
  18. Long Memory of Financial Time Series and Hidden Markov Models with Time-Varying Parameters

    Peter Nystrup, Henrik Madsen & Erik Lindström, 2017 Dec, In : Journal of Forecasting. 36, 8, p. 989-1002

    Research output: Contribution to journalArticle

  19. Spatial Statistical Modeling of Insurance Risk An epidemiologist approach to car insurance

    Oscar Tufvesson, Johan Lindström & Erik Lindström, 2017 Oct 4.

    Research output: Contribution to conferencePaper, not in proceeding

  20. Multi-Period Portfolio Selection with Drawdown Control

    Nystrup Peter, Madsen Henrik, Stephen Boyd & Erik Lindström, 2017 Jun 28.

    Research output: Contribution to conferencePaper, not in proceeding

  21. Dynamic Allocation or Diversification: A Regime-Based Approach to Multiple Assets

    Peter Nystrup, Bo William Hansen, Henrik Olejasz Larsen, Henrik Madsen & Erik Lindström, 2017, In : Journal of Portfolio Management. 44, 2, p. 62-73 12 p.

    Research output: Contribution to journalArticle

  22. 2016
  23. Dynamic Portfolio Optimization Across Hidden Market Regimes

    Peter Nystrup, Henrik Madsen & Erik Lindström, 2016 Nov 19.

    Research output: Contribution to conferencePaper, not in proceeding

  24. Parameter Estimation in Finance Using Radial Basis Function Methods

    Elisabeth Larsson, Lars Josef Höök, Erik Lindström & Lina von Sydow, 2016 Nov 19.

    Research output: Contribution to conferencePaper, not in proceeding

  25. Efficient computation of the quasi likelihood function for discretely observed diffusion processes

    Lars Josef Höök & Erik Lindström, 2016 Nov, In : Computational Statistics & Data Analysis. 103, p. 426-437 12 p.

    Research output: Contribution to journalArticle

  26. Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation

    Peter Nystrup, Bo William Hansson, Henrik Madsen & Erik Lindström, 2016 Sep, In : Journal of Asset Management. 17, 5, p. 361-374

    Research output: Contribution to journalArticle

  27. Practical Applications Summary: Regime-Based versus Static Asset Allocation: Letting the Data Speak

    Nystrup Peter, Hansson Bo William, Henrik Madsen & Erik Lindström, 2016, In : Journal of Portfolio Management. 42, 1, p. 103-109 7 p.

    Research output: Contribution to journalArticle

  28. 2015
  29. A Stability Analysis of the Nord Pool system using hourly spot price data.

    Erik Lindström & Vicke Norén, 2015, In : Journal of Energy Challenges and Mechanics. 2, 3, p. 85-90

    Research output: Contribution to journalArticle

  30. BENCHOP—The BENCHmarking project in Option Pricing

    Lina von Sydow, Lars Josef Höök, Elisabeth Larsson, Erik Lindström, Slobodan Milovanović, Jonas Persson, Victor Shcherbakov, Yuri Shpolyanskiy, Samuel Sirén, Jari Toivanen, Johan Waldén, Magnus Wiktorsson, Jeremy Jeremy Levesley, Juxi Li, Cornelis W. Oosterlee, Maria J. Ruijter, Alexander Toropov & Yangzhang Zhao, 2015, In : International Journal of Computer Mathematics. 92, 12, p. 2361-2379

    Research output: Contribution to journalArticle

  31. Consumption management in the Nord Pool region: A stability analysis

    Erik Lindström, Vicke Noren & Henrik Madsen, 2015, In : Applied Energy. 146, p. 239-246

    Research output: Contribution to journalArticle

  32. Kernel-based Estimate of the Insulin Action of Rapid-Acting Insulin in Home-Monitored Data

    Fredrik Ståhl, Erik Lindström, Mona Landin-Olsson & Rolf Johansson, 2015, IFAC-PapersOnLine. 28 ed. IFAC, Vol. 48. p. 715-720 5 p.

    Research output: Chapter in Book/Report/Conference proceedingPaper in conference proceeding

  33. Regime-Based Versus Static Asset Allocation: Letting the Data Speak

    Nystrup Peter, Hansson Bo William, Madsen Henrik & Erik Lindström, 2015, In : Journal of Portfolio Management. 42, 1, p. 103-109

    Research output: Contribution to journalArticle

  34. Statistics for Finance

    Erik Lindström, Henrik Madsen & Jan Nygaard Nielsen, 2015, (Accepted/In press) Chapman and Hall. 384 p. (Chapman & Hall/CRC Texts in Statistical Science)

    Research output: Book/ReportBook

  35. Stylised facts of financial time series and hidden Markov models in continuous time

    Nystrup Peter, Madsen Henrik & Erik Lindström, 2015, In : Quantitative Finance. 15, 9, p. 1531-1541

    Research output: Contribution to journalArticle

  36. Stylized Facts of Financial Time Series and Hidden Markov Models with Time-Varying Parameters

    Peter Nystrup, Henrik Madsen & Erik Lindström, 2015.

    Research output: Contribution to conferencePaper, not in proceeding

  37. Stylized facts of financial time series hidden Markov models with time varying parameters

    Peter Nystrup, Henrik Madsen & Erik Lindström, 2015.

    Research output: Contribution to conferencePaper, not in proceeding

  38. 2014
  39. A fast adjoint-based quasi-likelihood parameter estimation method for diffusion processes

    Josef Höök & Erik Lindström, 2014, In : [Publication information missing].

    Research output: Contribution to journalPublished meeting abstract

  40. Fast Valuation of Options Under Parameter Uncertainty

    Erik Lindström & Hanna Wu, 2014.

    Research output: Contribution to conferencePaper, not in proceeding

  41. Filtering and Parameter Estimation of Partially Observed Diffusion Processes Using Gaussian RBFs

    Josef Höök, Elisabeth Larsson, Erik Lindström & Lina von Sydow, 2014, In : [Publication information missing].

    Research output: Contribution to journalPublished meeting abstract

  42. Tuned Sequential Calibration of Options

    Erik Lindström & Carl Åkerlindh, 2014, (Unpublished).

    Research output: Contribution to conferencePaper, not in proceeding

  43. 2013
  44. Semiparametric lag dependent functions

    Erik Lindström, 2013, In : Applied Mathematical Sciences. 7, 12, p. 551-566

    Research output: Contribution to journalArticle

  45. Simultaneous Calibration and Quadratic Hedging of Options

    Erik Lindström & Guo Jingyi, 2013, [Host publication title missing]. BMRC-QASS

    Research output: Chapter in Book/Report/Conference proceedingPaper in conference proceeding

  46. Tuned iterated filtering

    Erik Lindström, 2013, In : Statistics and Probability Letters. 83, 9, p. 2077-2080

    Research output: Contribution to journalArticle

  47. 2012
  48. A regularized bridge sampler for sparsely sampled diffusions

    Erik Lindström, 2012, In : Statistics and Computing. 22, 2, p. 615-623

    Research output: Contribution to journalArticle

  49. Efficient Iterated Filtering

    Erik Lindström, Edward Ionides, Jan Frydendall & Henrik Madsen, 2012, IFAC-PapersOnLine (System Identification, Volume 16). IFAC & Elsevier Ltd., p. 1785-1790 6 p.

    Research output: Chapter in Book/Report/Conference proceedingPaper in conference proceeding

  50. Independent Spike Models: Estimation and Validation

    Fredrik Regland & Erik Lindström, 2012, In : Finance a Úver. 62, 2, p. 180-196

    Research output: Contribution to journalArticle

  51. Inference for Non-linear Diffusions and Jump-Diffusions: A Monte Carlo EM approach

    Erik Lindström, 2012, Recent Researches in Automatic Control and Electronics, Proceedings of the 14th International Conference on Automatic Control, Modelling & Simulation (ACMOS '12). Nola, V., Kadoch, M. & Zemilak, A. (eds.). WSEAS Press, p. 110-115 6 p.

    Research output: Chapter in Book/Report/Conference proceedingPaper in conference proceeding

  52. Modeling extreme dependence between European electricity markets

    Erik Lindström & Fredrik Regland, 2012, In : Energy Economics. 34, 4, p. 899-904

    Research output: Contribution to journalArticle

  53. Model uncertainty, Model selection and Option Valuation

    Erik Lindström & Johan Strålfors, 2012, Symposium i anvendt statistik 2012. Linde, P. (ed.). Danmarks Statistik & Copenhagen Business School, p. 229-238 10 p.

    Research output: Chapter in Book/Report/Conference proceedingPaper in conference proceeding

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