425 citations · 478 across the 5 of their papers we have counts for
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Arbitrage free cointegrated models in gas and oil future markets
Grégory Benmenzer, Emmanuel Gobet, Céline Jérusalem
In this article we present a continuous time model for natural gas and crude oil future prices. Its main feature is the possibility to link both energies in the long term and in th…
Smart expansion and fast calibration for jump diffusion
Eric Benhamou, Emmanuel Gobet, Mohammed Miri
Using Malliavin calculus techniques, we derive an analytical formula for the price of European options, for any model including local volatility and Poisson jump process. We show t…
LAMN property for hidden processes: the case of integrated diffusions
Arnaud Gloter, Emmanuel Gobet
In this paper we prove the Local Asymptotic Mixed Normality (LAMN) property for the statistical model given by the observation of local means of a diffusion process . Our data a…