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Showing math.PRShow all
3 papers · 1 filter
math.PR2016
Moderate deviations for bipower variation of general function and Hayashi-Yoshida estimators
Hacène Djellout, Arnaud Guillin, Hui Jiang +1
We consider the moderate deviations behaviors for two (co-) volatility estima-tors: generalised bipower variation, Hayashi-Yoshida estimator. The results are obtained by using a ne…
math.PR2008
From Black-Scholes and Dupire formulae to last passage times of local martingales. Part B : The finite time horizon
Amel Bentata, Marc Yor
These notes are the second half of the contents of the course given by the second author at the Bachelier Seminar (8-15-22 February 2008) at IHP. They also correspond to topics stu…
math.PR2008
Renewal series and square-root boundaries for Bessel processes
Nathanael Enriquez, Christophe Sabot, Marc Yor
We show how a description of Brownian exponential functionals as a renewal series gives access to the law of the hitting time of a square-root boundary by a Bessel process. This ex…