Confidence sets in nonparametric calibration of exponential Lévy models (Q457186): Difference between revisions

@@ Property / arXiv ID @@
+.6611
@@ Property / arXiv ID: 1202.6611 / rank @@
+Normal rank
@@ Property / cites work @@
+Spectral estimation of the fractional order of a Lévy process
+Normal rank
@@ Property / cites work @@
+Spectral calibration of exponential Lévy models
@@ Property / cites work: Spectral calibration of exponential Lévy models / rank @@
+Normal rank
@@ Property / cites work @@
+A jump-diffusion Libor model and its robust calibration
+Normal rank
@@ Property / cites work @@
+Asymptotic equivalence of nonparametric regression and white noise
+Normal rank
@@ Property / cites work @@
+MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
+Normal rank
@@ Property / cites work @@
+Nonparametric analysis of covariance.
@@ Property / cites work: Nonparametric analysis of covariance. / rank @@
+Normal rank
@@ Property / cites work @@
+Risk, Ambiguity, and the Savage Axioms
@@ Property / cites work: Risk, Ambiguity, and the Savage Axioms / rank @@
+Normal rank
@@ Property / cites work @@
+Q3354915
@@ Property / cites work: Q3354915 / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient estimation of conditional variance functions in stochastic regression
+Normal rank
@@ Property / cites work @@
+Sieve-based confidence intervals and bands for Lévy densities
+Normal rank
@@ Property / cites work @@
+Q3531572
@@ Property / cites work: Q3531572 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic equivalence for nonparametric regression
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3687398
@@ Property / cites work: Q3687398 / rank @@
+Normal rank
@@ Property / cites work @@
+Q2774021
@@ Property / cites work: Q2774021 / rank @@
+Normal rank
@@ Property / cites work @@
+On nonparametric confidence intervals
@@ Property / cites work: On nonparametric confidence intervals / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Nonparametric estimation for Lévy processes from low-frequency observations
+Normal rank
@@ Property / cites work @@
+Polar sets for anisotropic Gaussian random fields
@@ Property / cites work: Polar sets for anisotropic Gaussian random fields / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic normality of nonparametric kernel type deconvolution density estimators: crossing the Cauchy boundary
+Normal rank
@@ Property / cites work @@
+Adaptive confidence bands for Markov chains and diffusions: Estimating the invariant measure and the drift
+Normal rank
@@ Property / cites work @@
+Pricing and Hedging in Exponential Lévy Models: Review of Recent Results
+Normal rank
@@ Property / cites work @@
+Calibration of self-decomposable Lévy models
@@ Property / cites work: Calibration of self-decomposable Lévy models / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic Normality of Kernel-Type Deconvolution Estimators
+Normal rank