2.3k citations · 2.7k across the 51 of their papers we have counts for
4 papers · 1 filter
The pricing of contingent claims and optimal positions in asymptotically complete markets
Michail Anthropelos, Scott Robertson, Konstantinos Spiliopoulos
We study utility indifference prices and optimal purchasing quantities for a contingent claim, in an incomplete semi-martingale market, in the presence of vanishing hedging errors…
Sequential Monte Carlo for fractional Stochastic Volatility Models
Alexandra Chronopoulou, Konstantinos Spiliopoulos
In this paper we consider a fractional stochastic volatility model, that is a model in which the volatility may exhibit a long-range dependent or a rough/antipersistent behavior. W…
Hypoelliptic multiscale Langevin diffusions: Large deviations, invariant measures and small mass asymptotics
Wenqing Hu, Konstantinos Spiliopoulos
We consider a general class of non-gradient hypoelliptic Langevin diffusions and study two related questions. The first one is large deviations for hypoelliptic multiscale diffusio…
Statistical Inference for Perturbed Multiscale Dynamical Systems
Siragan Gailus, Konstantinos Spiliopoulos
We study statistical inference for small-noise-perturbed multiscale dynamical systems. We prove consistency, asymptotic normality, and convergence of all scaled moments of an appro…