-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book … applications used in many areas like risk evaluation, option pricing or portfolio construction. The statistical tools used to … and continues to be engaged in research on many topics in finance. His primary areas of interest are volatility, ARCH …

Volatilities -- Extensions of the Black-Scholes theory to other types of options (futures options, currency options … volatilities in capital markets. Furthermore, he illustrates how to apply and extend the Black-Scholes theory to several fields in …