Processes that can be embedded in Brownian motion
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(47)- Rate of convergence in the functional central limit theorem for semimartingales
- Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes
- Timing portfolio strategies with exponential Lévy processes
- Some properties of the one-dimensional subordinated stable model
- Stochastic distortion and its transformed copula
- Explicit form and robustness of martingale representations.
- \(p\)-variation of strong Markov processes.
- Inference for local distributions at high sampling frequencies: a bootstrap approach
- Patterns in random walks and Brownian motion
- Optimal learning with non-Gaussian rewards
- Processes that can be embedded in a geometric Brownian motion
- Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform
- Locally risk-neutral valuation of options in GARCH models based on variance-gamma process
- Inequalities for upcrossings of semimartingales via skorohod embedding
- Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
- Representacion de variables en el movimiento browniano con deriva
- A generalized normal mean-variance mixture for return processes in finance
- Probabilistic aspects of finance
- Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps
- Estimation of the activity of jumps in time-changed Lévy models
- Reviewing alternative characterizations of Meixner process
- Valuing Bermudan options when asset returns are Lévy processes
- A PARSIMONIOUS CONTINUOUS TIME MODEL OF EQUITY INDEX RETURNS: INFERRED FROM HIGH FREQUENCY DATA
- Statistical estimation of Lévy-type stochastic volatility models
- A risk model driven by Lévy processes
- Subdiffusive search with home returns via stochastic resetting: a subordination scheme approach
- Information flow dependence in financial markets
- Series representations for multivariate time-changed Lévy models
- The dependence structure of running maxima and minima: results and option pricing applications
- Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets
- Recovering a time-homogeneous stock price process from perpetual option prices
- Confined random motion with Laplace and Linnik statistics
- Maximal inequalities and some applications
- Statistical inference for time-changed Lévy processes via composite characteristic function estimation
- Multivariate asset-pricing model based on subordinated stable processes
- Regulating stochastic clocks§
- On fully nonlinear parabolic mean field games with nonlocal and local diffusions
- On generalization of quasidiffusions
- Realized Quantiles*
- Efficient sampling for realized variance estimation in time-changed diffusion models
- A welcome to the jungle of continuous-time multivariate non-Gaussian models based on Lévy processes applied to finance
- Crypto inverse-power options and fractional stochastic volatility
- Exponential utility maximization in small/large financial markets
- On minimal predictable intensity of point processes
- On the class of distributions of subordinated Lévy processes and bases
- Estimating quadratic variation when quoted prices change by a constant increment
- When is a stochastic integral a time change of a diffusion?
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