3 citations · 3 across the 3 of their papers we have counts for
3 papers
stat.AP2023
eSSVI Surface Calibration
Leo Pasquazzi
In this work I test two calibration algorithms for the eSSVI volatility surface. The two algorithms are (i) the robust calibration algorithm proposed in Corbetta et al. (2019) and…
math.ST2019
Functional central limit theorems for conditional Poisson sampling
Leo Pasquazzi
This paper provides refined versions of some known functional central limit theorems for conditional Poisson sampling which are more suitable for applications. The theorems present…
math.ST2019★ 3 cited
Weak convergence theory for Poisson sampling designs
Leo Pasquazzi
This work provides some general theorems about unconditional and conditional weak convergence of empirical processes in the case of Poisson sampling designs. The theorems presented…