38 citations · 55 across the 12 of their papers we have counts for
3 papers · 1 filter
A GMM approach to estimate the roughness of stochastic volatility
Anine E. Bolko, Kim Christensen, Mikko S. Pakkanen +1
We develop a GMM approach for estimation of log-normal stochastic volatility models driven by a fractional Brownian motion with unrestricted Hurst exponent. We show that a paramete…
Treatment recommendation with distributional targets
Anders Bredahl Kock, David Preinerstorfer, Bezirgen Veliyev
We study the problem of a decision maker who must provide the best possible treatment recommendation based on an experiment. The desirability of the outcome distribution resulting…
Functional Sequential Treatment Allocation with Covariates
Anders Bredahl Kock, David Preinerstorfer, Bezirgen Veliyev
We consider a multi-armed bandit problem with covariates. Given a realization of the covariate vector, instead of targeting the treatment with highest conditional expectation, the…