79 citations · 131 across the 21 of their papers we have counts for
4 papers · 1 filter
A Noisy Principal Component Analysis for Forward Rate Curves
Marcio Laurini, Alberto Ohashi
Principal Component Analysis (PCA) is the most common nonparametric method for estimating the volatility structure of Gaussian interest rate models. One major difficulty in the est…
A Maximal Inequality of the 2D Young Integral based on Bivariations
Alberto Ohashi, Alexandre B. Simas
In this note, we establish a novel maximal inequality of the 2D Young integral in terms of the -bivariation norms of the section functions $x\mapsto F…
A Note on the sharp -Covergence rate of Upcrossings to the Brownian local time
Alberto Ohashi, Alexandre B. Simas
In this note, we prove a sharp -rate of convergence of the number of upcrossings to the local time of the Brownian motion. In particular, it provides novel -variation estim…
Weak Functional Itô Calculus and Applications
Alberto Ohashi, Dorival Leão, Alexandre B. Simas
We introduce a variational theory for processes adapted to the multi-dimensional Brownian motion filtration. The theory provides a differential structure which describes the infini…