Pages that link to "Item:Q881412"
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The following pages link to Spectral calibration of exponential Lévy models (Q881412):
Displaying 47 items.
- Confidence sets in nonparametric calibration of exponential Lévy models (Q457186) (← links)
- On infinitely divisible distributions with polynomially decaying characteristic functions (Q466994) (← links)
- On the calibration of local jump-diffusion asset price models (Q484208) (← links)
- Quantile estimation for Lévy measures (Q491922) (← links)
- Nonparametric estimation for Lévy processes from low-frequency observations (Q605855) (← links)
- Nonparametric implied Lévy densities (Q666590) (← links)
- Efficient nonparametric inference for discretely observed compound Poisson processes (Q681527) (← links)
- Nonparametric estimation for a class of Lévy processes (Q736519) (← links)
- Spectral estimation of the fractional order of a Lévy process (Q847639) (← links)
- Spectral calibration of exponential Lévy models (Q881412) (← links)
- Statistical inference for generalized Ornstein-Uhlenbeck processes (Q887250) (← links)
- Information bounds for inverse problems with application to deconvolution and Lévy models (Q902884) (← links)
- Identification of the local speed function in a Lévy model for option pricing (Q935180) (← links)
- Polar sets for anisotropic Gaussian random fields (Q968471) (← links)
- Option pricing, maturity randomization and distributed computing (Q991134) (← links)
- Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes (Q1621717) (← links)
- Estimation of Lévy processes via stochastic programming and Kalman filtering (Q1694516) (← links)
- A Donsker theorem for Lévy measures (Q1762342) (← links)
- Lévy density estimation via information projection onto wavelet subspaces (Q1957156) (← links)
- Nonparametric jump variation measures from options (Q2171999) (← links)
- Testing and inference for fixed times of discontinuity in semimartingales (Q2203627) (← links)
- Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data (Q2209820) (← links)
- Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options (Q2239273) (← links)
- Nonparametric spot volatility from options (Q2299587) (← links)
- Bernstein-von Mises theorems for statistical inverse problems. II: Compound Poisson processes (Q2326066) (← links)
- Sparse covariance matrix estimation in high-dimensional deconvolution (Q2419664) (← links)
- Nonparametric inference for discretely sampled Lévy processes (Q2428954) (← links)
- A high-low based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns (Q2430251) (← links)
- Adaptive nonparametric estimation for Lévy processes observed at low frequency (Q2434500) (← links)
- Calibration of self-decomposable Lévy models (Q2444660) (← links)
- Testing the characteristics of a Lévy process (Q2447654) (← links)
- Adaptive asymptotically efficient estimation in heteroscedastic nonparametric regression (Q2510884) (← links)
- On a Heath-Jarrow-Morton approach for stock options (Q2516770) (← links)
- High-frequency Donsker theorems for Lévy measures (Q2634896) (← links)
- Estimation and Calibration of Lévy Models via Fourier Methods (Q2786961) (← links)
- <i>Z</i>-Transform and preconditioning techniques for option pricing (Q2873557) (← links)
- Reduction and reconstruction of stochastic differential equations via symmetries (Q2951770) (← links)
- A jump-diffusion Libor model and its robust calibration (Q3005814) (← links)
- MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES (Q3008483) (← links)
- An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations (Q3106437) (← links)
- Online Risk Monitoring Using Offline Simulation (Q3386770) (← links)
- Multiple stochastic volatility extension of the Libor market model and its implementation (Q3405598) (← links)
- Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process (Q3619662) (← links)
- CALIBRATION OF LÉVY PROCESSES USING OPTIMAL CONTROL OF KOLMOGOROV EQUATIONS WITH PERIODIC BOUNDARY CONDITIONS (Q4959400) (← links)
- ON THE CONSISTENCY OF REGRESSION‐BASED MONTE CARLO METHODS FOR PRICING BERMUDAN OPTIONS IN CASE OF ESTIMATED FINANCIAL MODELS (Q5247425) (← links)
- Non parametric estimation of the measure associated with the Lévy–Khintchine canonical representation (Q5860768) (← links)
- Estimation of the characteristics of a Lévy process observed at arbitrary frequency (Q6573273) (← links)
