1 citations · 1 across the 3 of their papers we have counts for
4 papers
Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix
Jirô Akahori, Nien-Lin Liu, Maria Elvira Mancino +2
In this paper we propose an estimator of spot covariance matrix which ensure symmetric positive semi-definite estimations. The proposed estimator relies on a suitable modification…
Most-likely-path in Asian option pricing under local volatility models
Louis-Pierre Arguin, Nien-Lin Liu, Tai-Ho Wang
This article addresses the problem of approximating the price of options on discrete and continuous arithmetic average of the underlying, i.e. discretely and continuously monitored…
The Fourier estimation method with positive semi-definite estimators
Jirô Akahori, Nien-Lin Liu, Maria Elvira Mancino +1
In this paper we present a slight modification of the Fourier estimation method of the spot volatility (matrix) process of a continuous Itô semimartingale where the estimators are…
Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis
Nien-Lin Liu, Hoang-Long Ngo
In order to study the geometry of interest rates market dynamics, Malliavin, Mancino and Recchioni [A non-parametric calibration of the HJM geometry: an application of Itô calculus…