Johan Walden - Research
Networks in capital markets
The Limits of Diversification When Losses May Be Large (with Rustam Ibragimov), Journal of Banking and Finance, 2007,31(8), 2551-2569.
Portfolio Diversification Under Local, Moderate and Global Deviations From Power Laws (with Rustam Ibragimov), Insurance, Mathematics and Economics, 2008, 42(2), 594-599.
Nondiversification Traps in Catastrophe Insurance Markets (with Dwight Jaffee and Rustam Ibragimov), Review of Financial Studies, 2009, 22(3), 959-993.
Situational Awareness: Estimating the Size and Time of a Bioterror Attack (with Edward Kaplan), Emerging Infectious Diseases, 2004, 10(7), 1202-1205.
Heavy-Tailed Distributions and Robustness in Economics and Finance, (with Marat Ibragimov and Rustam Ibragimov), Lecture Notes in Statistics, Springer, 2015.
Comment on: The intended an unintended consequences of financial-market regulations, Journal of Monetary Economics, 2016, 81, 44-47.
Beauty is in the bid of the beholder: An empirical basis for style, (with Will Goetzmann, Peter Jones, and Mauro Maggioni), Research in Economics, 2016, 70(3), 388-402.
BENCHOP – The Benchmarking Project in Options Pricing, (with Lina von Sydow et al.), International Journal of Computer Mathematics, 2015, 92(12), 2361-2379.
Bounds for Path-Dependent Options, (with Rustam Ibragimov and Donald Brown), Annals of Finance, 2015, 11(3), 433-451
Analysis of The Direct Fourier Method for Computer Tomography, IEEE Transactions on Medical Imaging, 2000, 19(3), 211-222.
A General Adaptive Solver for Hyperbolic PDEs Based on Filter Bank Subdivisions, Applied Numerical Mathematics, 2000, 33(1-4), 317-325
Filter Bank Subdivisions of Bounded Domains, Applied Numerical Mathematics, 2000, 32(3), 331-357.
Filter Bank Methods for Hyperbolic PDEs, SIAM Journal on Numerical Analysis, 1999, 36(4), 1183-1233.
On the Approximation of Singular Source Terms in Differential Equations, Numerical Methods for Partial Differential Equations, 1999, 15(4), 503-520.
Adaptive Wavelet Methods for Hyperbolic PDE (with Mats Holmström), Journal of Scientific Computing, 1998, 13(1), 19-49.
Spectral Analysis of the Differential Operator in Wavelet Bases, Applied and Computational Harmonic Analysis, 1995, 2(4), 382-391
Situational Awareness in a bioterror attack via probability modeling, in Risk Assessment and Risk Communication Strategies in Bioterrorism Preparedness, (Green et. al. Eds.), Springer 2007.
Filter Banks, L-cycles and Hyperbolic PDE in Hackbusch W. and Wittum G. (Ed. by) Numerical Treatment of Multi-Scale Problems, Vieweg-Verlag (1999).
The Pseudopolar FFT and its Applications (with Amir Averbuch, Ronald Coifman, David Donoho, Moshe Israeli), Research Report DCS/RR-1178, Yale University, Dept. of Computer Science, New Haven CT, 1999
Fast Slant Stack: A Notion of Radon Transform for Data in a Cartesian Grid which is Rapidly Computable, Algebraically Exact, Geometrically Faithful and Invertible (with Amir Averbuch, Ronald Coifman, David Donoho, and Moshe Israeli), Stanford University, Department of Statistics, 2001.
Solving the Compressible Euler and Navier-Stokes Equations with the Filter Bank Method. Research Report DCS/RR-1184, Yale University, Dept. of Computer Science, New Haven CT, 1999.
Filter Bank Preconditioners for Finite Difference Discretizations of PDEs, Technical Report 198, Uppsala University, Department of Scientific Computing, 1997.