Alexandra Chronopoulou

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Optimal Sampling for Estimation of Fractional Brownian Motion	2023-04-15	Paper
Delta-hedging in fractional volatility models Annals of Finance	2023-04-04	Paper
Sequential Monte Carlo for fractional stochastic volatility models Quantitative Finance	2018-11-14	Paper
Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes Communications on Stochastic Analysis	2016-03-04	Paper
Estimation and pricing under long-memory stochastic volatility Annals of Finance	2014-11-12	Paper
Stochastic volatility and option pricing with long-memory in discrete and continuous time Quantitative Finance	2014-01-17	Paper
Maximum likelihood estimation for small noise multiscale diffusions Statistical Inference for Stochastic Processes	2013-11-19	Paper
Variations and Hurst index estimation for a Rosenblatt process using longer filters Electronic Journal of Statistics	2013-05-27	Paper
Variations and Hurst index estimation for a Rosenblatt process using longer filters Electronic Journal of Statistics	2013-05-27	Paper
Optimal sequential change detection for fractional diffusion-type processes Journal of Applied Probability	2013-04-25	Paper
Optimal sequential change detection for fractional diffusion-type processes Journal of Applied Probability	2013-04-25	Paper
On inference for fractional differential equations Statistical Inference for Stochastic Processes	2013-04-03	Paper
Hurst index estimation for self-similar processes with long-memory	2010-09-02	Paper
Self-similarity/memory-length parameter estimation for non-Gaussian Hermite processes via chaos expansion	2010-02-05	Paper
Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian proc\-esses Comptes Rendus. Mathématique. Académie des Sciences, Paris	2009-06-10	Paper

Research outcomes over time

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