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Rutger-Jan Lange

This is my academic homepage. I am currently a Post Doctoral researcher in Finance at the the VU University Amsterdam, using time-series econometrics. I work with Professor Lucas on GAS models to filter unobserved components, such as location, scale or association.  During 2013-2015, I worked on similar topics with Professor Harvey in Cambridge, where they are known as DCS models. I completed…

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Rutger-Jan Lange | rutgerjanlange.com Reviews
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This is my academic homepage. I am currently a Post Doctoral researcher in Finance at the the VU University Amsterdam, using time-series econometrics. I work with Professor Lucas on GAS models to filter unobserved components, such as location, scale or association.  During 2013-2015, I worked on similar topics with Professor Harvey in Cambridge, where they are known as DCS models. I completed…
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Rutger-Jan Lange | rutgerjanlange.com Reviews

https://rutgerjanlange.com

This is my academic homepage. I am currently a Post Doctoral researcher in Finance at the the VU University Amsterdam, using time-series econometrics. I work with Professor Lucas on GAS models to filter unobserved components, such as location, scale or association.  During 2013-2015, I worked on similar topics with Professor Harvey in Cambridge, where they are known as DCS models. I completed…

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PhD thesis | Rutger-Jan Lange

http://rutgerjanlange.com/phd-thesis

Skip to primary content. Brownian motion and multidimensional decision making. By clicking on the link above, you will be directed to the official website of the University of Cambridge, where you can download the entire thesis as pdf. This thesis consists of three self-contained parts (see below), each with its own abstract, body, references and page numbering. There are two reasons for this standalone structure:. Parts I, II and III are as follows:. Dimensional domain as a Feynman-Kac functional involv...

2

Teaching | Rutger-Jan Lange

http://rutgerjanlange.com/teaching

Skip to primary content. For four years, I was Teaching Assistant (TA) for the MBA course. At the Cambridge Judge Business School. I have also been TA for the Master of Finance (or MFin) course. Data Analysis and Modelling. Create a free website or blog at WordPress.com.

3

Short CV | Rutger-Jan Lange

http://rutgerjanlange.com/short-cv

Skip to primary content. 2015 VU University Amsterdam (NL). Research Associate (PostDoc) Finance with Professor Lucas. 2013 2015 University of Cambridge (UK). Research Associate (PostDoc) Econometrics with Professor Harvey. 2012 2013 Boston Consulting Group. 2007 2012 University of Cambridge (UK). PhD in Operations Research with applications to free-boundary problems and optimal stopping. 2008 2008 Boston Consulting Group. 2006 2007 University of Cambridge (UK). 2005 2006 University of Cambridge (UK).

4

Presentations | Rutger-Jan Lange

http://rutgerjanlange.com/presentations

Skip to primary content. This is a presentation. Given to the Electricity Policy Research Group. In Cambridge, on 23 January 2012. Some more presentations that I gave can be found on the ESRC. Create a free website or blog at WordPress.com.

5

Publications | Rutger-Jan Lange

http://rutgerjanlange.com/academic

Skip to primary content. Modeling the Interactions between Volatility and Returns. Andrew Harvey and Rutger-Jan Lange. Keywords: Asymmetric price transmission, cost pass-through, electricity markets, price theory, rockets and feathers. Volatility modelling with a generalized t-distribution. Andrew Harvey and Rutger-Jan Lange. The importance of inertia and adaptability: a simple model. Taylor and Francis (2014). Co-authored book chapter with Michael Grubb and Pablo Salas. To a greener energy system is cos...

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Rutger-Jan Lange

Skip to primary content. This is my academic homepage. I am currently a Post Doctoral researcher in Finance at the the VU University Amsterdam, using time-series econometrics. I work with Professor Lucas on GAS models. To filter unobserved components, such as location, scale or association. During 2013-2015, I worked on similar topics with Professor Harvey in Cambridge, where they are known as DCS models. My research interests stretch from the more pure to the more applied:. Previously: Electricity Polic...

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