| Publication | Date of Publication | Type |
|---|
Fractional signature: a generalisation of the signature inspired by fractional calculus
Statistics & Probability Letters | 2025-12-18 | Paper |
Power variation for Itô integrals with respect to -stable processes
Statistica Neerlandica | 2024-07-16 | Paper |
Kyle equilibrium under random price pressure
Decisions in Economics and Finance | 2019-10-23 | Paper |
KYLE–BACK’S MODEL WITH A RANDOM HORIZON
International Journal of Theoretical and Applied Finance | 2018-04-11 | Paper |
On the optimal investment
Springer Proceedings in Mathematics & Statistics | 2017-07-31 | Paper |
CoCos under short-term uncertainty
Stochastics | 2017-04-11 | Paper |
CoCos with extension risk. A structural approach
The Fascination of Probability, Statistics and their Applications | 2017-01-16 | Paper |
Pricing CoCos with a market trigger
Stochastics of Environmental and Financial Economics | 2016-04-22 | Paper |
Asymptotics of weighted random sums
(available as arXiv preprint) | 2015-12-16 | Paper |
Ambit processes, their volatility determination and their applications
Modern Stochastics and Applications | 2015-09-16 | Paper |
| A continuous auction model with insiders and random time of information release | 2014-11-11 | Paper |
Asymptotic theory for Brownian semi-stationary processes with application to turbulence
Stochastic Processes and their Applications | 2014-04-28 | Paper |
Erratum
Seminar on Stochastic Analysis, Random Fields and Applications VII | 2014-02-19 | Paper |
A short rate model using ambit processes
Springer Proceedings in Mathematics & Statistics | 2013-07-30 | Paper |
Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
Springer Proceedings in Mathematics & Statistics | 2013-07-08 | Paper |
New central limit theorems for functionals of Gaussian processes and their applications
Methodology and Computing in Applied Probability | 2013-01-11 | Paper |
Completeness and hedging in a Lévy bond market
Stochastic Analysis with Financial Applications | 2012-09-07 | Paper |
Statistical inference and Malliavin calculus
Seminar on Stochastic Analysis, Random Fields and Applications VI | 2012-08-24 | Paper |
| Enlargements of filtrations and applications | 2012-01-27 | Paper |
Multipower variation for Brownian semistationary processes
Bernoulli | 2011-12-28 | Paper |
Dynamic complex hedging in additive markets
Quantitative Finance | 2011-04-29 | Paper |
Implied Lévy volatility
Quantitative Finance | 2010-02-05 | Paper |
Convergence of certain functionals of integral fractional processes
Journal of Theoretical Probability | 2010-01-04 | Paper |
Power variation for Gaussian processes with stationary increments
Stochastic Processes and their Applications | 2009-06-04 | Paper |
Bipower Variation for Gaussian Processes with Stationary Increments
Journal of Applied Probability | 2009-04-14 | Paper |
Approximate predictive pivots for autoregressive processes
Statistics & Probability Letters | 2008-11-14 | Paper |
| Power variation analysis of some integral long-memory processes | 2008-01-17 | Paper |
A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes
Stochastic Analysis and Applications | 2007-02-15 | Paper |
Power variation of some integral fractional processes
Bernoulli | 2006-11-06 | Paper |
Multivariate prediction
Bernoulli | 2006-11-06 | Paper |
Optimal investment in a Lévy market
Applied Mathematics and Optimization | 2006-06-28 | Paper |
Additional utility of insiders with imperfect dynamical information
Finance and Stochastics | 2005-05-20 | Paper |
Completion of a Lévy market by power-jump assets
Finance and Stochastics | 2005-05-20 | Paper |
A Generalized Bayes Rule for Prediction
Scandinavian Journal of Statistics | 2000-03-01 | Paper |
Riemannian barycentres and geodesic convexity
Mathematical Proceedings of the Cambridge Philosophical Society | 2000-02-01 | Paper |
A characterization of monotone and regular divergences
Annals of the Institute of Statistical Mathematics | 1999-10-17 | Paper |
On the relationship between \(\alpha\) connections and the asymptotic properties of predictive distributions
Bernoulli | 1999-07-04 | Paper |
