| Publication | Date of Publication | Type |
|---|
Estimation and inference for multivariate continuous-time autoregressive processes
The Annals of Applied Probability | 2026-03-10 | Paper |
Price Impact Without Averaging
Applied Mathematical Finance | 2024-04-23 | Paper |
Unifying incidence and prevalence under a time-varying general branching process
Journal of Mathematical Biology | 2023-08-07 | Paper |
A GMM approach to estimate the roughness of stochastic volatility
Journal of Econometrics | 2023-06-29 | Paper |
\(\pi\) VAE: a stochastic process prior for Bayesian deep learning with MCMC
Statistics and Computing | 2022-12-09 | Paper |
| Intrinsic Randomness in Epidemic Modelling Beyond Statistical Uncertainty | 2022-10-25 | Paper |
State-dependent Hawkes processes and their application to limit order book modelling
Quantitative Finance | 2022-05-05 | Paper |
Limit theorems for trawl processes
Electronic Journal of Probability | 2021-11-11 | Paper |
Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes
(available as arXiv preprint) | 2021-11-03 | Paper |
Corrigendum to: ``Pathwise large deviations for the rough Bergomi model''
Journal of Applied Probability | 2021-09-24 | Paper |
Hybrid simulation scheme for volatility modulated moving average fields
Mathematics and Computers in Simulation | 2021-03-02 | Paper |
The local fractional bootstrap
Scandinavian Journal of Statistics | 2019-03-21 | Paper |
The local fractional bootstrap
Scandinavian Journal of Statistics | 2019-03-21 | Paper |
Turbocharging Monte Carlo pricing for the rough Bergomi model
Quantitative Finance | 2019-02-06 | Paper |
Turbocharging Monte Carlo pricing for the rough Bergomi model
Quantitative Finance | 2019-02-06 | Paper |
Pathwise large deviations for the rough Bergomi model
Journal of Applied Probability | 2019-01-17 | Paper |
Pathwise large deviations for the rough Bergomi model
Journal of Applied Probability | 2019-01-17 | Paper |
Arbitrage without borrowing or short selling?
Mathematics and Financial Economics | 2017-11-09 | Paper |
Hybrid scheme for Brownian semistationary processes
Finance and Stochastics | 2017-10-23 | Paper |
Hybrid simulation scheme for volatility modulated moving average fields
(available as arXiv preprint) | 2017-09-05 | Paper |
| Hybrid marked point processes: characterisation, existence and uniqueness | 2017-07-21 | Paper |
On the conditional small ball property of multivariate Lévy-driven moving average processes
Stochastic Processes and their Applications | 2017-02-14 | Paper |
Functional limit theorems for generalized variations of the fractional Brownian sheet
Bernoulli | 2016-05-12 | Paper |
Functional limit theorems for generalized variations of the fractional Brownian sheet
Bernoulli | 2016-05-12 | Paper |
Sticky Continuous Processes have Consistent Price Systems
Journal of Applied Probability | 2015-10-02 | Paper |
Sticky Continuous Processes have Consistent Price Systems
Journal of Applied Probability | 2015-10-02 | Paper |
Assessing relative volatility/ intermittency/energy dissipation
Electronic Journal of Statistics | 2014-11-12 | Paper |
Assessing relative volatility/ intermittency/energy dissipation
Electronic Journal of Statistics | 2014-11-12 | Paper |
Limit theorems for power variations of ambit fields driven by white noise
Stochastic Processes and their Applications | 2014-08-27 | Paper |
‘ON THE POSITIVITY OF RIEMANN–STIELTJES INTEGRALS’
Bulletin of the Australian Mathematical Society | 2014-06-06 | Paper |
On the existence of consistent price systems
Stochastic Analysis and Applications | 2014-05-15 | Paper |
Asymptotic theory for Brownian semi-stationary processes with application to turbulence
Stochastic Processes and their Applications | 2014-04-28 | Paper |
On the positivity of Riemann-Stieltjes integrals
Bulletin of the Australian Mathematical Society | 2013-06-18 | Paper |
Microfoundations for diffusion price processes
Mathematics and Financial Economics | 2013-01-20 | Paper |
BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT
International Journal of Theoretical and Applied Finance | 2011-08-10 | Paper |
Stochastic integrals and conditional full support
Journal of Applied Probability | 2010-10-12 | Paper |
