17 citations · 22 across the 10 of their papers we have counts for
Showing 2008Show all
3 papers · 1 filter
q-fin.ST2008★ 3 cited
Estimation of the instantaneous volatility
A. Alvarez, F. Panloup, M. Pontier +1
This paper is concerned with the estimation of the volatility process in a stochastic volatility model of the following form: , where denotes the log-price…
math.PR2008★ 17 cited
Upper bounds on Rubinstein distances on configuration spaces and applications
Laurent Decreusefond, Aldéric Joulin, Nicolas Savy
In this paper, we provide upper bounds on several Rubinstein-type distances on the configuration space equipped with the Poisson measure. Our inequalities involve the two well-know…
math.PR2008
Sharp large deviations for the fractional Ornstein-Uhlenbeck process
Bernard Bercu, Laure Coutin, Nicolas Savy
We investigate the sharp large deviation properties of the energy and the maximum likelihood estimator for the Ornstein-Uhlenbeck process driven by a fractional Brownian motion wit…