23 citations · 87 across the 9 of their papers we have counts for
4 papers · 1 filter
Polar sets of anisotropic Gaussian random fields
Jakob Söhl
This paper studies polar sets of anisotropic Gaussian random fields, i.e. sets which a Gaussian random field does not hit almost surely. The main assumptions are that the eigenvalu…
A uniform central limit theorem and efficiency for deconvolution estimators
Jakob Söhl, Mathias Trabs
We estimate linear functionals in the classical deconvolution problem by kernel estimators. We obtain a uniform central limit theorem with -rate on the assumption that th…
Confidence sets in nonparametric calibration of exponential Lévy models
Jakob Söhl
Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential Lévy models based on prices of European options. To this end, we sho…
Option calibration of exponential Lévy models: Confidence intervals and empirical results
Jakob Söhl, Mathias Trabs
Observing prices of European put and call options, we calibrate exponential Lévy models nonparametrically. We discuss the efficient implementation of the spectral estimation proced…