7 citations · 20 across the 21 of their papers we have counts for
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stat.ME2008★ 1 cited
Estimation of Ambiguity Functions With Limited Spread
Heidi Hindberg, Sofia C. Olhede
This paper proposes a new estimation procedure for the ambiguity function of a non-stationary time series. The stochastic properties of the empirical ambiguity function calculated…
stat.ME2008★ 5 cited
Multiscale Inference for High-Frequency Data
Sofia Olhede, Adam Sykulski, Grigorios Pavliotis
This paper proposes a novel multiscale estimator for the integrated volatility of an Ito process, in the presence of market microstructure noise (observation error). The multiscale…
q-fin.PM2008
Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market
Wing Yan Yip, Sofia Olhede, David Stephens
This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different…