189 citations · 697 across the 47 of their papers we have counts for
4 papers · 1 filter
An -Regularization Approach to High-Dimensional Errors-in-variables Models
Alexandre Belloni, Mathieu Rosenbaum, Alexandre B. Tsybakov
Several new estimation methods have been recently proposed for the linear regression model with observation error in the design. Different assumptions on the data generating proces…
Volatility is rough
Jim Gatheral, Thibault Jaisson, Mathieu Rosenbaum
Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process. Our main result is that log-volatility behaves essential…
Linear and Conic Programming Estimators in High-Dimensional Errors-in-variables Models
Alexandre Belloni, Mathieu Rosenbaum, Alexandre Tsybakov
We consider the linear regression model with observation error in the design. In this setting, we allow the number of covariates to be much larger than the sample size. Several new…
Optimal discretization of hedging strategies with directional views
Jiatu Cai, Masaaki Fukasawa, Mathieu Rosenbaum +1
We consider the hedging error of a derivative due to discrete trading in the presence of a drift in the dynamics of the underlying asset. We suppose that the trader wishes to find…