Tina Hviid Rydberg's publications


Publications:

 Barndorff-Nielsen, O.E. & Rydberg, T.H. (1999), Infinite trees and inverse Gaussian random variables, Annales la Faculte des Sciences de Toulouse, VIII, 25-34.

  Rydberg, T.H. (1999), Generalized Hyperbolic Diffusions with Applications in Finance, Mathematical Finance, 9, 183-201.

  Bladt, M. & Rydberg, T. H. (1998), An actuarial approach to option pricing under the physical measure and without market assumptions, Insurance: Mathematics and Economics 22, 65-73.

 Rydberg, T.H. (1997), The Normal Inverse Gaussian Lévy Process: Simulation and Approximation, Communications in Statistics: Stochastic Models, 13, 887-910.

 Rydberg, T.H. (1997), A Note on the Existence of Unique Equivalent Martingale Measures in a Markovian Setting. Finance and Stochastics 1, 251-257.

 Barndorff-Nielsen, O.E. & Rydberg, T.H. (2000), Exact distributional results for random resistance trees. Scandinavian Journal of Statistics, 27, 129-141

Forthcoming Publications:

 Rydberg, T.H. & N. Shephard (1999), A modelling framework for the prices and times of trades made at the New York stock exchange, [PDF-version], [PS-version], Nuffield College, Oxford, working paper series 1999-W14. To appear in Nonlinear and nonstationary signal processing edited by W.J. Fitzgerald, R.L. Smith, A.T. Walden and P. C. Young. Cambridge University Press, 2000.

 Rydberg, T.H. (1999), Realistic Statistical Modelling of Financial Data, [PDF-version], [PS-version]. To appear in International Statistical Review.

Reports:

 Rydberg, T.H. & N. Shephard (1999), Modelling trade-by-trade price movements of multiple assets using multivariate compound Poisson processes, [PDF-version], [PS-version], Nuffield College, Oxford, working paper series 1999-W23.

 Rydberg, T.H. & N. Shephard (1998), Dynamics of trade-by-trade price movements: decomposition and models, [PDF-version], [PS-version], Nuffield College, Oxford, working paper series 1998-W19. Version: February 1999.

 Rydberg, T.H. (1998), Some Modelling Results in the Area of Interplay between Statistics, Mathematical Finance, Insurance and Econometrics, Memoir 14 (PhD.-thesis), Department of Theoretical Statistics, University of Aarhus.

 Barndorff-Nielsen, O.E. & Rydberg, T. H. (1997), Exact distributional results for random resistance trees, Research Report 379, Department of Theoretical Statistics, University of Aarhus.

 Rydberg, T.H. (1997), Why financial data are interesting to statisticians, Research Report 384, Department of Theoretical Statistics, Institute of Mathematics, University of Aarhus.

This page was created by Maxine Collett

Last updated 1 September 1999