5 papers
Universal portfolios in continuous time: an approach in pathwise Itô calculus
Xiyue Han, Alexander Schied
We provide a simple and straightforward approach to a continuous-time version of Cover's universal portfolio strategies within the model-free context of Föllmer's pathwise Itô ca…
Estimating the roughness exponent of stochastic volatility from discrete observations of the integrated variance
Xiyue Han, Alexander Schied
We consider the problem of estimating the roughness of the volatility process in a stochastic volatility model that arises as a nonlinear function of fractional Brownian motion wit…
On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models
Xiyue Han, Alexander Schied
In [Han \& Schied, 2023, \textit{arXiv 2307.02582}], an easily computable scale-invariant estimator was constructed to estimate the Hurst parameter of t…
A criterion for absolute continuity relative to the law of fractional Brownian motion
Xiyue Han, Alexander Schied
Let be the sum of a fractional Brownian motion with Hurst parameter and an absolutely continuous and adapted drift process. We establish a simple criterion that guarantees…
Robust Faber--Schauder approximation based on discrete observations of an antiderivative
Xiyue Han, Alexander Schied
We study the problem of reconstructing the Faber--Schauder coefficients of a continuous function from discrete observations of its antiderivative . For instance, this questi…