UB Paderborn / Katalog / Suche / in CDI

Asymptotic theory for Brownian semi-stationary processes with application to turbulence

Stochastic processes and their applications, 2013-07, Vol.123 (7), p.2552-2574

2013

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Multipower variation for Brownian semistationary processes

Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability, 2011-11, Vol.17 (4), p.1159-1194

2011

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Power Variation of Some Integral Fractional Processes

Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability, 2006-08, Vol.12 (4), p.713-735

2006

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Kyle equilibrium under random price pressure

Decisions in economics and finance, 2019-06, Vol.42 (1), p.77-101

2019

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CoCos under short-term uncertainty

Stochastics (Abingdon, Eng. : 2005), 2017-01, Vol.89 (1), p.207-221

2017

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New Central Limit Theorems for Functionals of Gaussian Processes and their Applications

Methodology and computing in applied probability, 2012-09, Vol.14 (3), p.477-500

Corcuera, José Manuel

2012

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Implied Lévy volatility

Quantitative finance, 2009-06, Vol.9 (4), p.383-393

2009

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Close form pricing formulas for Coupon Cancellable CoCos

Journal of banking & finance, 2014-05, Vol.42, p.339-351

2014

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Power variation for Itô integrals with respect to α-stable processes

Statistica Neerlandica, 2010-08, Vol.64 (3), p.276-289

2010

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KYLE–BACK’S MODEL WITH A RANDOM HORIZON

International journal of theoretical and applied finance, 2018-03, Vol.21 (2), p.1850016

2018

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Power variation for Gaussian processes with stationary increments

Stochastic processes and their applications, 2009-06, Vol.119 (6), p.1845-1865

2009

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Asymptotics of weighted random sums

Communications in Applied and Industrial Mathematics, 2015, Vol.6 (1)

2015

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Optimal Investment in a Levy Market

Applied mathematics & optimization, 2006-05, Vol.53 (3), p.279-309

2006

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On the Optimal Investment

Advanced Modelling in Mathematical Finance, p.313-330

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Multivariate Prediction

Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability, 2006-02, Vol.12 (1), p.157-168

2006

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Bipower Variation for Gaussian Processes with Stationary Increments

Journal of applied probability, 2009-03, Vol.46 (1), p.132-150

2009

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Convergence of Certain Functionals of Integral Fractional Processes

Journal of theoretical probability, 2009-12, Vol.22 (4), p.856-870

2009

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PREFACE

International journal of theoretical and applied finance, 2018-03, Vol.21 (2), p.1802001

2018

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PREFACE

International journal of theoretical and applied finance, 2018-03, Vol.21 (2)

2018

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A Generalized Bayes Rule for Prediction

Scandinavian journal of statistics, 1999-06, Vol.26 (2), p.265-279

1999

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A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes

Stochastic analysis and applications, 2007-01, Vol.25 (1), p.169-186

2007

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Power variation for Itô integrals with respect to [alpha]-stable processes

Statistica Neerlandica, 2010-08, Vol.64 (3), p.276

2010

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Power variation for Itô integrals with respect to " "-stable processes

Statistica Neerlandica, 2010, Vol.64 (1), p.276-289

2010

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Power Variation Analysis of Some Integral Long-Memory Processes

Stochastic Analysis and Applications, p.219-234

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Ambit Processes, Their Volatility Determination and Their Applications

Modern Stochastics and Applications, p.245-265

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Asymptotic theory for Brownian semi-stationary processes with application to turbulence

Multipower variation for Brownian semistationary processes

Power Variation of Some Integral Fractional Processes

Kyle equilibrium under random price pressure

CoCos under short-term uncertainty

New Central Limit Theorems for Functionals of Gaussian Processes and their Applications

Implied Lévy volatility

Close form pricing formulas for Coupon Cancellable CoCos

Power variation for Itô integrals with respect to α-stable processes

KYLE–BACK’S MODEL WITH A RANDOM HORIZON

Power variation for Gaussian processes with stationary increments

Asymptotics of weighted random sums

Optimal Investment in a Levy Market

On the Optimal Investment

Multivariate Prediction

Bipower Variation for Gaussian Processes with Stationary Increments

Convergence of Certain Functionals of Integral Fractional Processes

PREFACE

PREFACE

A Generalized Bayes Rule for Prediction

A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes

Power variation for Itô integrals with respect to [alpha]-stable processes

Power variation for Itô integrals with respect to " "-stable processes

Power Variation Analysis of Some Integral Long-Memory Processes

Ambit Processes, Their Volatility Determination and Their Applications

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