| Publication | Date of Publication | Type |
|---|
Efficient integrated volatility estimation in the presence of infinite variation jumps via debiased truncated realized variations
Stochastic Processes and their Applications | 2024-10-08 | Paper |
Adaptive optimal market making strategies with inventory liquidation cost
SIAM Journal on Financial Mathematics | 2024-08-12 | Paper |
Estimation of tempered stable Lévy models of infinite variation
Methodology and Computing in Applied Probability | 2022-07-07 | Paper |
Optimal iterative threshold-kernel estimation of jump diffusion processes
Statistical Inference for Stochastic Processes | 2021-05-03 | Paper |
Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise
Electronic Journal of Statistics | 2021-01-19 | Paper |
Optimal kernel estimation of spot volatility of stochastic differential equations
Stochastic Processes and their Applications | 2020-06-09 | Paper |
Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging
| 2020-04-04 | Paper |
Second-order properties of thresholded realized power variations of FJA additive processes
Statistical Inference for Stochastic Processes | 2019-10-23 | Paper |
Optimum thresholding using mean and conditional mean squared error
Journal of Econometrics | 2019-04-26 | Paper |
Change-point detection for Lévy processes
The Annals of Applied Probability | 2019-04-24 | Paper |
Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity
Stochastic Processes and their Applications | 2018-12-10 | Paper |
Short-time expansions for call options on leveraged ETFs under exponential Lévy models with local volatility
SIAM Journal on Financial Mathematics | 2018-04-16 | Paper |
Third-order short-time expansions for close-to-the-money option prices under the CGMY model
Applied Mathematical Finance | 2018-04-06 | Paper |
Estimation of a noisy subordinated Brownian motion via two-scales power variations
Journal of Statistical Planning and Inference | 2017-10-13 | Paper |
A one-level limit order book model with memory and variable spread
Stochastic Processes and their Applications | 2017-06-30 | Paper |
Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
Finance and Stochastics | 2016-10-27 | Paper |
High-order short-time expansions for ATM option prices of exponential Lévy models
Mathematical Finance | 2016-07-15 | Paper |
Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
Finance and Stochastics | 2016-03-29 | Paper |
Dynamic credit investment in partially observed markets
Finance and Stochastics | 2015-11-09 | Paper |
Statistical estimation of Lévy-type stochastic volatility models
Annals of Finance | 2014-11-12 | Paper |
Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias
Bernoulli | 2014-08-08 | Paper |
Small-time expansions for local jump-diffusion models with infinite jump activity
Bernoulli | 2014-08-08 | Paper |
Dynamic portfolio optimization with a defaultable security and regime-switching
Mathematical Finance | 2014-05-14 | Paper |
Pricing and semimartingale representations of vulnerable contingent claims in regime-switching markets
Mathematical Finance | 2014-05-14 | Paper |
Optimally thresholded realized power variations for Lévy jump diffusion models
Stochastic Processes and their Applications | 2014-04-28 | Paper |
Nonparametric regression with rescaled time series errors
Journal of Time Series Analysis | 2013-10-09 | Paper |
Nonparametric estimation for Lévy models based on discrete-sampling
| 2013-09-03 | Paper |
The small-maturity smile for exponential Lévy models
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
Sieve-based confidence intervals and bands for Lévy densities
Bernoulli | 2012-09-19 | Paper |
Central limit theorems for the non-parametric estimation of time-changed Lévy models
Scandinavian Journal of Statistics | 2012-09-01 | Paper |
Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps
Stochastic Processes and their Applications | 2012-06-01 | Paper |
Jump-Diffusion Models Driven by Lévy Processes
Handbook of Computational Finance | 2012-01-10 | Paper |
High-order short-time expansions for ATM option prices under the CGMY model
| 2011-12-13 | Paper |
Approximations for the distributions of bounded variation Lévy processes
Statistics & Probability Letters | 2010-12-20 | Paper |
Nonparametric estimation of time-changed Lévy models under high-frequency data
Advances in Applied Probability | 2010-05-11 | Paper |
Optimal portfolios in Lévy markets under state-dependent bounded utility functions
International Journal of Stochastic Analysis | 2010-04-26 | Paper |
Small-time expansions for the transition distributions of Lévy processes
Stochastic Processes and their Applications | 2009-11-27 | Paper |
Small-time moment asymptotics for Lévy processes
Statistics & Probability Letters | 2008-12-10 | Paper |
Risk bounds for the non-parametric estimation of Lévy processes
High Dimensional Probability | 2007-09-12 | Paper |
scientific article; zbMATH DE number 1834320 (Why is no real title available?)
| 2002-11-24 | Paper |
