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Spot volatility estimation using delta sequences
Mancini, Cecilia; Mattiussi, Vanessa; Renò, Roberto - In: Finance and stochastics 19 (2015) 2, pp. 261-293
Persistent link: https://www.econbiz.de/10011417938
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Confidence sets in nonparametric calibration of exponential Lévy models
Söhl, Jakob - In: Finance and stochastics 18 (2014) 3, pp. 617-649
Persistent link: https://www.econbiz.de/10010395982
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Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
Marie, Nicolas - In: Finance and stochastics 27 (2023) 1, pp. 97-126
Persistent link: https://www.econbiz.de/10013489500
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On optimal portfolio diversification with respect to extreme risks
Mainik, Georg; Rüschendorf, Ludger - In: Finance and stochastics 14 (2010) 4, pp. 593-623
Persistent link: https://www.econbiz.de/10008823689
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Nonparametric estimation for a stochastic volatility model
Comte, Fabienne; Genon-Catalot, Valentine; Rozenholc, Y. - In: Finance and stochastics 14 (2010) 1, pp. 49-80
Persistent link: https://www.econbiz.de/10003924782
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Pricing Bermudan options by nonparametric regression : optimal rates of convergence for lower estimates
Belomestny, Denis - In: Finance and stochastics 15 (2011) 4, pp. 655-683
Persistent link: https://www.econbiz.de/10009423289
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Semimartingale representation of fractional Riesz-Bessel motion
Anh, V. V.; Nguyen, C. N. - In: Finance and stochastics 5 (2001) 1, pp. 83-101
Persistent link: https://www.econbiz.de/10001553052
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Discrete time option pricing with flexible volatility estimation
Härdle, Wolfgang; Hafner, Christian M. - In: Finance and stochastics 4 (2000) 2, pp. 189-207
Persistent link: https://www.econbiz.de/10001486714
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Arbitrage bounds for the term structure of interest rates
Jaschke, Stefan R. - In: Finance and stochastics 2 (1998) 1, pp. 29-40
Persistent link: https://www.econbiz.de/10001230161
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Spectral calibration of exponential Lévy models
Belomestny, Denis; Reiß, Markus - In: Finance and stochastics 10 (2006) 4, pp. 449-474
Persistent link: https://www.econbiz.de/10003405638