| Publication | Date of Publication | Type |
|---|
On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
Communications in Statistics. Simulation and Computation | 2022-07-05 | Paper |
Rate-efficient asymptotic normality for the Fourier estimator of the leverage process
Statistics and Its Interface | 2022-02-02 | Paper |
A fractional model for the COVID-19 pandemic: Application to Italian data
Stochastic Analysis and Applications | 2021-11-18 | Paper |
Is the variance swap rate affine in the spot variance? Evidence from S\&P500 data
Applied Mathematical Finance | 2021-06-17 | Paper |
Volatility and volatility-linked derivatives: estimation, modeling, and pricing
Decisions in Economics and Finance | 2020-01-31 | Paper |
Asymptotic results for the Fourier estimator of the integrated quarticity
Decisions in Economics and Finance | 2020-01-31 | Paper |
High-frequency volatility of volatility estimation free from spot volatility estimates
Quantitative Finance | 2019-02-06 | Paper |
Fourier-Malliavin Volatility Estimation
SpringerBriefs in Quantitative Finance | 2017-01-06 | Paper |
Switching tax structure and payouts in endogenous bankruptcy models
Stochastics | 2016-05-04 | Paper |
Estimation of quarticity with high-frequency data
Quantitative Finance | 2014-01-17 | Paper |
Fourier estimation method applied to forward interest rates
JSIAM Letters | 2013-08-09 | Paper |
Fourier volatility forecasting with high-frequency data and microstructure noise
Quantitative Finance | 2012-06-26 | Paper |
| Capital structure with firm's net cash payouts | 2012-05-30 | Paper |
Computation of volatility in stochastic volatility models with high frequency data
International Journal of Theoretical and Applied Finance | 2010-09-16 | Paper |
Optimal strategies in a risky debt context
Stochastics | 2009-09-16 | Paper |
A Fourier transform method for nonparametric estimation of multivariate volatility
The Annals of Statistics | 2009-07-22 | Paper |
Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
Computational Statistics and Data Analysis | 2009-06-12 | Paper |
A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics
Japanese Journal of Mathematics. 3rd Series | 2009-02-06 | Paper |
A TAYLOR FORMULA TO PRICE AND HEDGE EUROPEAN CONTINGENT CLAIMS
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications
Stochastic Processes and Applications to Mathematical Finance | 2006-09-18 | Paper |
| Nonlinear feedback effects by hedging strategies | 2006-09-11 | Paper |
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis
Applied Mathematical Finance | 2005-09-01 | Paper |
A comparison result for FBSDE with applications to decisions theory
Mathematical Methods of Operations Research | 2003-07-16 | Paper |
The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
Mathematical Finance | 2003-01-01 | Paper |
Fourier series method for measurement of multivariate volatilities
Finance and Stochastics | 2002-11-21 | Paper |
Asset pricing with endogeneous aspirations
Decisions in Economics and Finance | 2002-10-21 | Paper |
Instantaneous liquidity rate, its econometric measurement by volatility feedback
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2002-01-01 | Paper |
Some results of stable convergence for exchangeable random variables in Hilbert spaces
Theory of Probability and its Applications | 2001-10-22 | Paper |
Asset pricing with a forward--backward stochastic differential utility
Economics Letters | 2001-08-20 | Paper |
DIFFUSION PROCESSES WITH RESPECT TO FREE BROWNIAN MOTION
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2001-08-02 | Paper |
| scientific article; zbMATH DE number 1441312 (Why is no real title available?) | 2001-03-07 | Paper |
Dilatation vector fields on the loop group
Journal of Functional Analysis | 1999-09-22 | Paper |
| scientific article; zbMATH DE number 1047465 (Why is no real title available?) | 1998-03-16 | Paper |
| scientific article; zbMATH DE number 1047465 (Why is no real title available?) | 1998-03-16 | Paper |
Quantum stochastic differential equations driven by free noises and dilations of Markovian semigroups
Rendiconti del Seminario Matematico della Università di Padova | 1995-01-03 | Paper |
Quantum stochastic differential equations driven by free noises and dilations of Markovian semigroups
Rendiconti del Seminario Matematico della Università di Padova | 1995-01-03 | Paper |
