| Publication | Date of Publication | Type |
|---|
Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
Algorithmic Finance | 2024-09-03 | Paper |
On the sieve estimator for fractional SPDEs from discrete observations
Markov Processes and Related Fields | 2024-05-17 | Paper |
Le Cam-Stratonovich-Boole theory for Itô diffusions
Random Operators and Stochastic Equations | 2023-07-07 | Paper |
Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates
Monte Carlo Methods and Applications | 2022-06-03 | Paper |
| Parameter estimation in stochastic volatility models | 2022-05-19 | Paper |
| Bernstein-von Mises theorem and small noise asymptotes of Bayes estimators for parabolic stochastic partial differential equations | 2019-06-19 | Paper |
Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: continuous and discrete sampling
Fractional Calculus & Applied Analysis | 2013-10-21 | Paper |
Sufficiency and Rao-Blackwellization of Vasicek model
Theory of Stochastic Processes | 2012-07-16 | Paper |
Financial extremes: a short review
Advances and Applications in Statistics | 2012-05-21 | Paper |
Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
Journal of Statistical Planning and Inference | 2012-05-04 | Paper |
Stochastic moment problem and hedging of generalized Black-Scholes options
Applied Numerical Mathematics | 2011-12-08 | Paper |
| Berry-Esseen inequalities for the discretely observed Ornstein-Uhlenbeck-gamma process | 2011-12-01 | Paper |
Sequential Monte Carlo methods for stochastic volatility models: a review
Journal of Interdisciplinary Mathematics | 2011-06-22 | Paper |
| scientific article; zbMATH DE number 5903629 (Why is no real title available?) | 2011-06-03 | Paper |
| scientific article; zbMATH DE number 5855938 (Why is no real title available?) | 2011-02-22 | Paper |
Uniform rate of weak convergence of the minimum contrast estimator in the Ornstein-Uhlenbeck process
Methodology and Computing in Applied Probability | 2010-10-14 | Paper |
Maximum likelihood estimation in Skorohod stochastic differential equations
Proceedings of the American Mathematical Society | 2010-04-13 | Paper |
Berry-Esseen inequalities for discretely observed diffusions
Monte Carlo Methods and Applications | 2010-01-06 | Paper |
| scientific article; zbMATH DE number 5372264 (Why is no real title available?) | 2008-11-24 | Paper |
Large deviations in testing fractional Ornstein-Uhlenbeck models
Statistics & Probability Letters | 2008-06-11 | Paper |
A new estimating function for discretely sampled diffusions
Random Operators and Stochastic Equations | 2007-12-16 | Paper |
Parameter estimation in stochastic differential equations.
Lecture Notes in Mathematics | 2007-10-19 | Paper |
Rates of weak convergence of approximate minimum contrast estimators for the discretely observed Ornstein-Uhlenbeck process
Statistics & Probability Letters | 2006-08-04 | Paper |
Maximum Likelihood Estimation in Partially Observed Stochastic Differential System Driven by a Fractional Brownian Motion
Stochastic Analysis and Applications | 2003-08-27 | Paper |
The Bernstein-von Mises theorem and spectral asymptotics of Bayes estimators for parabolic SPDEs
Journal of the Australian Mathematical Society | 2002-10-23 | Paper |
Accuracy of normal approximation for the maximum likelihood estimator and Bayes estimators in the Ornstein-Uhlenbeck process using random normings
Statistics & Probability Letters | 2002-07-02 | Paper |
Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process
Computers & Mathematics with Applications | 2001-11-12 | Paper |
Sharp Berry-Esseen bound for the maximum likelihood estimator in the Ornstein-Uhlenbeck process
Sankhyā. Series A. Methods and Techniques | 2001-09-11 | Paper |
Rates of convergence of the posterior distributions and the Bayes estimations in the Ornstein-Uhlenbeck process
Random Operators and Stochastic Equations | 2000-10-11 | Paper |
Large deviations inequalities for the maximum likelihood estimator and the Bayes estimators in nonlinear stochastic differential equations
Statistics & Probability Letters | 2000-05-25 | Paper |
Speed of Convergence of the Maximum Likelihood Estimator in the Ornstein-Uhlenbeck Process
Calcutta Statistical Association Bulletin | 1999-04-26 | Paper |
Approximate maximum likelihood estimation for diffusion processes from discrete observations
Stochastics and Stochastic Reports | 1997-06-03 | Paper |
