63 citations · 205 across the 8 of their papers we have counts for
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math.ST2018
Efficient volatility estimation in a two-factor model
Olivier Féron, Pierre Gruet, Marc Hoffmann
We statistically analyse a multivariate HJM diffusion model with stochastic volatility. The volatility process of the first factor is left totally unspecified while the volatility…
math.ST2018
Estimating fast mean-reverting jumps in electricity market models
Deschatre Thomas, Féron Olivier, Hoffmann Marc
Based on empirical evidence of fast mean-reverting spikes, we model electricity price processes as the sum of a continuous Itô semimartingale and a a mean-reverting com…