2 citations · 8 across the 11 of their papers we have counts for
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math.ST2022
A direct extension of Azadkia & Chatterjee's rank correlation to multi-response vectors
Jonathan Ansari, Sebastian Fuchs
Recently, Chatterjee (2023) recognized the lack of a direct generalization of his rank correlation in Azadkia and Chatterjee (2021) to a multi-dimensional response vector. As a…
q-fin.MF2022★ 2 cited
Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information
Jonathan Ansari, Eva Lütkebohmert, Ariel Neufeld +1
We show how inter-asset dependence information derived from market prices of options can lead to improved model-free price bounds for multi-asset derivatives. Depending on the type…
math.PR2022★ 2 cited
On a version of a multivariate integration by parts formula for Lebesgue integrals
Jonathan Ansari
Multidimensional integration by parts formulas apply under the standard assumption that one of the functions is continuous and the other has bounded Hardy-Krause variation. Motivat…