F. Viens

activity

20062026

most citedBayesian approach to model-based extrapolation of nuclear observables

203 citations · 730 across the 42 of their papers we have counts for

collaborators

Showing 2023Show all

3 papers · 1 filter

math.PR2023

The isometry of symmetric-Stratonovich integrals w.r.t. Fractional Brownian motion $H < \frac{1}{2}$

Alberto Ohashi, Francesco Russo, Frederi Viens

In this work, we present a detailed analysis on the exact expression of the $L^{2}$ -norm of the symmetric-Stratonovich stochastic integral driven by a multi-dimensional fractional Br…

math.PR2023★ 1 cited

Irregularity scales for Gaussian processes: Hausdorff dimensions and hitting probabilities

Youssef Hakiki, Frederi Viens

Let $X$ be a $d$ -dimensional Gaussian process in $[0, 1]$ , where the component are independent copies of a scalar Gaussian process $X_{0}$ on $[0, 1]$ with a given general variance fun…

q-fin.PR2023★ 1 cited

Pricing basket options with the first three moments of the basket: log-normal models and beyond

Dongdong Hu, Hasanjan Sayit, Frederi Viens

Options on baskets (linear combinations) of assets are notoriously challenging to price using even the simplest log-normal continuous-time stochastic models for the individual asse…

The isometry of symmetric-Stratonovich integrals w.r.t. Fractional Brownian motion H<21​

Irregularity scales for Gaussian processes: Hausdorff dimensions and hitting probabilities

Pricing basket options with the first three moments of the basket: log-normal models and beyond

The isometry of symmetric-Stratonovich integrals w.r.t. Fractional Brownian motion $H < \frac{1}{2}$