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How to apply Tail Value at Risk over multiple time steps avoiding accumulation of conservatism and extra parameters, with J.M. Schumacher, extended abstract for the Bachelier Finance Society World Congress, London, July 2008.
Coherent Risk Minimization of Derivatives in Multiperiod Models, with J. Engwerda and J.M. Schumacher, extended abstract for Bachelier 2002.
Hedge performance in interval models, with J. Engwerda and J.M. Schumacher, presented at the 1st world congress of the Bachelier Finance Society, Paris, June 28-July 1 2000.
Hedging in an interval model, with J. Engwerda and J.M. Schumacher, proceedings of the 19-th Benelux Meeting on Systems and Control, Mierlo, the Netherlands, page 87, March 1-3, 2000.
Optimal Hankel-norm model reduction by truncation of trajectories, with S. Weiland, proceedings of the 14-th International Symposium of Mathematical Theory of Networks and Systems, Perpignan, France, June 19-23, 2000.
A behavioral approach to optimal model reduction, with S. Weiland, proceedings of the American Control Conference, San Diego, U.S.A, 4461-4465, June 2-4, 1999; also available as Report IR98 I/05, Eindhoven University of Technology.
An optimal model approximation scheme for linear time-invariant behaviors, with S. Weiland, proceedings European Control Conference, Karlsruhe, Germany, August 31-September 3, 1999; also available as Report IR99 I/02, Eindhoven University of Technology.
l2-optimal linear system identification: structured total least squares for siso systems, with B. de Moor. Proceedings of the 33th Conference on Decision and Control, Lake Buena Vista, Florida, pp. 2874-2879, December 1994.
Noise minimization in factor models, with C. Heij. Proceedings of the IFAC Identification SYSID'94 Conference, Copenhagen, Denmark, vol. 3 pp. 203-206, July 1994.
A behavioural approach to l2-approximation, with C. Heij. In Systems and Networks: Mathematical Theory and Applications, vol. 2, pp. 207-210. Akademie Verlag, 1993.
The l2-optimal approximate modelling problem, with C. Heij, proceedings of the 32nd Conference on Decision and Control, San Antonio, Texas, pp. 3649-3651, Dec. 1993.
On l2-optimal approximate modelling of vector time series, with C.Heij, proceedings of the 2nd European Control Conference, Groningen, The Netherlands, pp. 1219-1224, June 1993.
A modified canonical correlation approach to approximate state space modelling, with C. Heij, proceedings of the 30th Conference on Decision and Control, Brighton, England, pp. 1343-1348, Dec. 1991.