Ostap Okhrin
Technische Universität Dresden
Ostap Okhrin is tenured professor at the Technische Universität Dresden running a chair on Statistics and Econometrics esp. in Transport Sector. His research is divided into various strands. In one he focuses on applications of econometrics on finance with an interest in the modeling of time series processes and applications of copulas for the multivariate setting. Another stand is devoted to machine learning techniques and in particular reinforcement learning methods.
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Articles by Ostap Okhrin
Simulating the Cox–Ingersoll–Ross and Heston processes: matching the first four moments
This paper investigates various techniques for the CIR and Heston models.