Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
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- Nonparametric estimation of fractional option pricing model
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- Inferring time non-homogeneous Ornstein Uhlenbeck type stochastic process
- Stochastic model reduction for slow-fast systems with moderate time scale separation
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- Least squares estimation for path-distribution dependent stochastic differential equations
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- Goodness-of-fit test for interest rate models: an approach based on empirical processes
- Quantile regression estimation for discretely observed SDE models with compound Poisson jumps
- Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme
- On Gaussian HJM framework for Eurodollar futures
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- Realised volatility and parametric estimation of Heston SDEs
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- A closed-form expansion approach for pricing discretely monitored variance swaps
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- Effect of vitamin A deficiency on respiratory infection: causal inference for a discretely observed continuous time non-stationary Markov process
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- Maximum likelihood estimation of drift and diffusion functions
- Projective and coarse projective integration for problems with continuous symmetries
- Parametric estimation of discretely sampled Gamma-OU processes
- Estimation of 1-dimensional nonlinear stochastic differential equations based on higher-order partial differential equation numerical scheme and its application
- Maximum likelihood estimation for integrated diffusion processes
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