2 citations · 5 across the 3 of their papers we have counts for
3 papers
q-fin.MF2014★ 2 cited
Option Pricing Accuracy for Estimated Heston Models
Robert Azencott, Yutheeka Gadhyan, Roland Glowinski
We consider assets for which price and squared volatility are jointly driven by Heston joint stochastic differential equations (SDEs). When the parameters of these SDEs…
math.PR2014★ 2 cited
Accuracy of Maximum Likelihood Parameter Estimators for Heston volatility SDE
Robert Azencott, Yutheeka Gadhyan
We study approximate maximum likelihood estimators (MLEs) for the parameters of the widely used Heston stock and volatility stochastic differential equations (SDEs). We compute exp…
q-fin.TR2013★ 1 cited
Realtime market microstructure analysis: online Transaction Cost Analysis
Robert Azencott, Arjun Beri, Yutheeka Gadhyan +3
Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discov…