KTH Mathematics  

Jens Svensson
Jens Svensson

Publications and Preprints
Hult, H. and Svensson, J. (2009), Efficient Calculation of Risk Measures by Importance Sampling - the Heavy-Tailed Case. arXiv:math/0909.3335v1 [math:PR]
Hult, H. and Svensson, J. (2009), On Importance Sampling with Mixtures for Random Walks with Heavy Tails. arXiv:math/0909.3333v1 [math:PR]
Svensson, J. and Djehiche, B. (2009), Large Deviations for Heavy-Tailed Factor Models, Statistics and Probability Letters 79, pp. 304-311.
Svensson, J. (2007), The Asymptotic Spectrum of the
EWMA Covariance Estimator, Physica A 385, pp. 621-630. doi:10.1016/j.physa.2007.07.030


Mathematical Statistics

Mathematical Statistics Faculty

E-mail: jenssve@math.kth.se
Jens Svensson