Study of some problems of statistical estimation in finance.

MaRDI QIDQ3550814zbMATH OpenFDO

Authors Mathieu Rosenbaum

Publication date 6 April 2010

Full work available at URL http://pastel.paristech.org/3765/

zbMATH Keywords

adaptive estimation of quadratic functionalsBesov spacescontinuous time stochastic processesdiscrete samplingfirst order dyadic \(p\)-variationfractional Brownian motionhigh frequency datascaling exponentstochastic volatility modelswavelet methods

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Statistical methods; risk measures (91G70)

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