84 citations · 531 across the 26 of their papers we have counts for
35 papers
A statistical approach for simulating the density solution of a McKean-Vlasov equation
Marc Hoffmann, Yating Liu
We prove optimal convergence results of a stochastic particle method for computing the classical solution of a multivariate McKean-Vlasov equation, when the measure variable is in…
Nonparametric Bayesian estimation in a multidimensional diffusion model with high frequency data
Marc Hoffmann, Kolyan Ray
We consider nonparametric Bayesian inference in a multidimensional diffusion model with reflecting boundary conditions based on discrete high-frequency observations. We prove a gen…
Statistical inference for rough volatility: Central limit theorems
Carsten Chong, Marc Hoffmann, Yanghui Liu +2
In recent years, there has been a substantive interest in rough volatility models. In this class of models, the local behavior of stochastic volatility is much more irregular than…
Statistical inference for rough volatility: Minimax Theory
Carsten Chong, Marc Hoffmann, Yanghui Liu +2
Rough volatility models have gained considerable interest in the quantitative finance community in recent years. In this paradigm, the volatility of the asset price is driven by a…
The LAN property for McKean-Vlasov models in a mean-field regime
Laetitia Della Maestra, Marc Hoffmann
We establish the local asymptotic normality (LAN) property for estimating a multidimensional parameter in the drift of a system of interacting particles observed over a fixed t…
A continuous multiple hypothesis testing framework for optimal exoplanet detection
Nathan C. Hara, Thibault de Poyferré, Jean-Baptiste Delisle +1
When searching for exoplanets, one wants to count how many planets orbit a given star, and to determine what their characteristics are. If the estimated planet characteristics are…