3 papers
econ.EM2026
The realized copula of volatility
Kim Christensen, Wenjing Liu, Zhi Liu +1
We study a new measure of codependency in the second moment of a continuous-time multivariate asset price process, which we name the realized copula of volatility. The statistic is…
math.PR2024
Non-explicit formula of boundary crossing probabilities by the Girsanov theorem
Yoann Potiron
This paper derives several formulae for the probability that a Wiener process, which has a stochastic drift and random variance, crosses a one-sided stochastic boundary within a fi…
math.PR2024
Explicit formula of boundary crossing probabilities for continuous local martingales to constant boundary
Yoann Potiron
An explicit formula for the probability that a continuous local martingale crosses a one or two-sided random constant boundary in a finite time interval is derived. We obtain that…