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Efficient nonparametric inference for discretely observed compound Poisson processes
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Efficient nonparametric inference for discretely observed compound Poisson processes (2017)Efficient nonparametric inference for dis…Lévy Matters IV (2014)Lévy Matters IVHigh-frequency Donsker theorems for Levy measures (2014)High-frequency Donsker theore…Confidence sets in nonparametric calibration of exponential Lévy models (2014)Confidence sets in nonparamet…Testing the characteristics of a Lévy process (2013)Testing the characteristics o…Density estimation for compound Poisson processes from discrete data (2013)Density estimation for compou…Nonparametric inference for discretely sampled Lévy processes (2012)Nonparametric inference for d…Nonparametric estimation for a class of Lévy processes (2010)Nonparametric estimation for …Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process (2009)Nonparametric estimation of t…Nonparametric estimation for Lévy processes from low-frequency observations (2009)Nonparametric estimation for …Spectral calibration of exponential Lévy models (2006)Spectral calibration of expon…Non-parametric calibration of jump–diffusion option pricing models (2004)Non-parametric calibration of…Decompounding: an estimation problem for Poisson random sums (2003)Decompounding: an estimation …Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach (2002)Calibration of Jump-Diffusion…Estimation of an Ergodic Diffusion from Discrete Observations (1997)Modelling Extremal Events (1997)High-frequency trading in a limit order book (2008)On Some Simple Estimates of an Exponent of Regular Variation (1982)A Practical Guide to Heavy Tails: Statistical Techniques and Applications (1999)Financial Modelling with Jump Processes (2003)Applied Probability and Queues (1987)Aspects of Risk Theory (1991)Applied Probability and Queues (2003)Inference for the limiting cluster size distribution of extreme values (2009)Notes on discrete compound Poisson model with applications to risk theory (2014)Option pricing when underlying stock returns are discontinuous (1976)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Option valuation using the fast Fourier transform (1999)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Exchange Options Under Jump-Diffusion Dynamics (2008)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Parametric and nonparametric models and methods in financial econometrics (2008)Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation (2014)Lévy processes : theory and applications (2001)Measuring the roughness of random paths by increment ratios (2011)Risk, Uncertainty and Profit (1921)Risk, Ambiguity, and the Savage Axioms (1961)Correlated Trades and Herd Behavior in the Stock Market (2012)Prices of State-Contingent Claims Implicit in Option Prices (1978)Constant Proportion Portfolio Insurance in Presence of Jumps in Asset Prices (2007)Spectral estimation of the fractional order of a Lévy process (2009)Nonparametric spot volatility from options (2019)Model Specification and Risk Premia: Evidence from Futures Options (2007)Partial Differential Equations (2010)Nonparametric estimation for pure jump Lévy processes based on high frequency data (2009)Nonparametric adaptive estimation for pure jump Lévy processes (2010)Efficient estimation of integrated volatility in presence of infinite variation jumps (2014)
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References

  • 2004Non-parametric calibration of jump–diffusion option pricing models212 cited
  • 2009Nonparametric estimation for Lévy processes from low-frequency observations121 cited
  • 2006Spectral calibration of exponential Lévy models75 cited
  • 2003Decompounding: an estimation problem for Poisson random sums75 cited
  • 2002Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach52 cited
  • 2009Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process43 cited
  • 2013Density estimation for compound Poisson processes from discrete data35 cited
  • 2012Nonparametric inference for discretely sampled Lévy processes29 cited
  • 2014Confidence sets in nonparametric calibration of exponential Lévy models22 cited
  • 2010Nonparametric estimation for a class of Lévy processes22 cited
  • 2014Lévy Matters IV21 cited
  • 2014High-frequency Donsker theorems for Levy measures20 cited
  • 2013Testing the characteristics of a Lévy process17 cited

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