Martin O. Larsson, Ph.D.
Affiliations: | 2012 | Cornell University, Ithaca, NY, United States |
Area:
General Engineering, Finance, Applied MathematicsGoogle:
"Martin Larsson"Parents
Sign in to add mentor| Sidney Resnick | grad student | 2012 | Cornell | |
| (Essays on the mathematics of market efficiency.) | ||||
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Publications
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| Filipović D, Larsson M. (2020) Polynomial Jump-Diffusion Models Social Science Research Network. 10: 71-97 |
| Filipović D, Larsson M, Pulido S. (2020) Markov cubature rules for polynomial processes Stochastic Processes and Their Applications. 130: 1947-1971 |
| Cuchiero C, Larsson M, Svaluto-Ferro S. (2019) Probability measure-valued polynomial diffusions Electronic Journal of Probability. 24: 30 |
| Jaber EA, Larsson M, Pulido S. (2019) Affine Volterra processes Annals of Applied Probability. 29: 3155-3200 |
| Kleisinger-Yu X, Komaric V, Larsson M, et al. (2019) A multi-factor polynomial framework for long-term electricity forwards with delivery period Siam Journal On Financial Mathematics |
| Filipović D, Larsson M, Trolle AB. (2019) On the Relation between Linearity-Generating Processes and Linear-Rational Models Mathematical Finance. 29: 804-826 |
| Filipović D, Larsson M, Statti F. (2019) Unspanned Stochastic Volatility in the Multi-factor CIR Model Mathematical Finance. 29: 827-836 |
| Larsson M, Ruf J. (2019) Stochastic exponentials and logarithms on stochastic intervals — A survey Journal of Mathematical Analysis and Applications. 476: 2-12 |
| Krühner P, Larsson M. (2018) Affine processes with compact state space Electronic Journal of Probability. 23 |
| Jarrow RA, Larsson M. (2018) On aggregation and representative agent equilibria Journal of Mathematical Economics. 74: 119-127 |