2 papers
q-fin.PR2018
Asymptotic Static Hedge via Symmetrization
Jiro Akahori, Flavia Barsotti, Yuri Imamura
This paper is a continuation of Akahori-Barsotti-Imamura (2017) and where the authors i) showed that a payment at a random time, which we call timing risk, is decomposed into an in…
math.ST2015
Hypothesis testing for markovian models with random time observations
Flavia Barsotti, Anne Philippe, Paul Rochet
The aim of this paper is to propose a methodology for testing general hypothesis in a Markovian setting with random sampling. A discrete Markov chain X is observed at random time i…