| Publication | Date of Publication | Type |
|---|
| Efficient integrated volatility estimation in the presence of infinite variation jumps via debiased truncated realized variations | 2024-10-08 | Paper |
| Adaptive optimal market making strategies with inventory liquidation cost | 2024-08-12 | Paper |
| Estimation of tempered stable Lévy models of infinite variation | 2022-07-07 | Paper |
| Optimal iterative threshold-kernel estimation of jump diffusion processes | 2021-05-03 | Paper |
| Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise | 2021-01-19 | Paper |
| Optimal kernel estimation of spot volatility of stochastic differential equations | 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 | 2019-10-23 | Paper |
| Optimum thresholding using mean and conditional mean squared error | 2019-04-26 | Paper |
| Change-point detection for Lévy processes | 2019-04-24 | Paper |
| Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity | 2018-12-10 | Paper |
| Short-time expansions for call options on leveraged ETFs under exponential Lévy models with local volatility | 2018-04-16 | Paper |
| Third-order short-time expansions for close-to-the-money option prices under the CGMY model | 2018-04-06 | Paper |
| Estimation of a noisy subordinated Brownian motion via two-scales power variations | 2017-10-13 | Paper |
| A one-level limit order book model with memory and variable spread | 2017-06-30 | Paper |
| Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps | 2016-10-27 | Paper |
| High-order short-time expansions for ATM option prices of exponential Lévy models | 2016-07-15 | Paper |
| Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility | 2016-03-29 | Paper |
| Dynamic credit investment in partially observed markets | 2015-11-09 | Paper |
| Statistical estimation of Lévy-type stochastic volatility models | 2014-11-12 | Paper |
| Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias | 2014-08-08 | Paper |
| Small-time expansions for local jump-diffusion models with infinite jump activity | 2014-08-08 | Paper |
| Dynamic portfolio optimization with a defaultable security and regime-switching | 2014-05-14 | Paper |
| Pricing and semimartingale representations of vulnerable contingent claims in regime-switching markets | 2014-05-14 | Paper |
| Optimally thresholded realized power variations for Lévy jump diffusion models | 2014-04-28 | Paper |
| Nonparametric regression with rescaled time series errors | 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 | 2013-01-25 | Paper |
| Sieve-based confidence intervals and bands for Lévy densities | 2012-09-19 | Paper |
| Central limit theorems for the non-parametric estimation of time-changed Lévy models | 2012-09-01 | Paper |
| Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps | 2012-06-01 | Paper |
| Jump-Diffusion Models Driven by Lévy Processes | 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 | 2010-12-20 | Paper |
| Nonparametric estimation of time-changed Lévy models under high-frequency data | 2010-05-11 | Paper |
| Optimal portfolios in Lévy markets under state-dependent bounded utility functions | 2010-04-26 | Paper |
| Small-time expansions for the transition distributions of Lévy processes | 2009-11-27 | Paper |
| Small-time moment asymptotics for Lévy processes | 2008-12-10 | Paper |
| Risk bounds for the non-parametric estimation of Lévy processes | 2007-09-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4779045 | 2002-11-24 | Paper |
