57 citations · 223 across the 23 of their papers we have counts for
3 papers · 1 filter
Nonparametric Bayesian volatility learning under microstructure noise
Shota Gugushvili, Frank van der Meulen, Moritz Schauer +1
In this work, we study the problem of learning the volatility under market microstructure noise. Specifically, we consider noisy discrete time observations from a stochastic differ…
Nonparametric Bayesian volatility estimation
Shota Gugushvili, Frank van der Meulen, Moritz Schauer +1
Given discrete time observations over a fixed time interval, we study a nonparametric Bayesian approach to estimation of the volatility coefficient of a stochastic differential equ…
Bayesian estimation of incompletely observed diffusions
Frank van der Meulen, Moritz Schauer
We present a general framework for Bayesian estimation of incompletely observed multivariate diffusion processes. Observations are assumed to be discrete in time, noisy and incompl…