16 citations · 17 across the 2 of their papers we have counts for
2 papers
q-fin.PR2017★ 1 cited
The Value of Timing Risk
Jiro Akahori, Flavia Barsotti, Yuri Imamura
The aim of this paper is to provide a mathematical contribution on the semi-static hedge of timing risk associated to positions in American-style options under a multi-dimensional…
math.ST2014★ 16 cited
Estimating the transition matrix of a Markov chain observed at random times
Flavia Barsotti, Yohann De Castro, Thibault Espinasse +1
In this paper we develop a statistical estimation technique to recover the transition kernel of a Markov chain in presence of censored data. We cons…