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Malliavin Calculus in finance
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Malliavin Calculus in finance (2006)Malliavin Calculus in financeAn infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility (2013)An infinite dimensional convo…Martingale expansion in mixed normal limit (2012)Martingale expansion in mixed…A contrast estimator for completely or partially observed hypoelliptic diffusion (2012)A contrast estimator for comp…Multipower Variation for Brownian Semistationary Processes (2009)Multipower Variation for Brow…Continuous Martingales and Brownian Motion (1991)The law of the Euler scheme for stochastic differential equations (1996)The Malliavin Calculus and Related Topics (2006)Estimation of an Ergodic Diffusion from Discrete Observations (1997)Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (2009)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Discretization of Processes (2011)Estimation of Volatility Functionals: The Case of a $$\sqrt{n}$$ Window (2015)Functional stable limit theorems for quasi-efficient spectral covolatility estimators (2015)Microstructure noise in the continuous case: Approximate efficiency of the adaptive pre-averaging method (2015)
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  • 2012A contrast estimator for completely or partially observed hypoelliptic diffusion38 cited
  • 2013An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility28 cited
  • 2012Martingale expansion in mixed normal limit22 cited
  • 2009Multipower Variation for Brownian Semistationary Processes19 cited

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