179 citations · 335 across the 13 of their papers we have counts for
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math.PR2017
Sensitivity of rough differential equations: an approach through the Omega lemma
Laure Coutin, Antoine Lejay
The It{ô} map assigns the solution of a Rough Differential Equation, a generalization of an Ordinary Differential Equation driven by an irregular path, when existence and uniquenes…
q-fin.CP2017
A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
Antoine Lejay, Paolo Pigato
In financial markets, low prices are generally associated with high volatilities and vice-versa, this well known stylized fact usually being referred to as leverage effect. We prop…
math.PR2017★ 1 cited
Statistical estimation of the Oscillating Brownian Motion
Antoine Lejay, Paolo Pigato
We study the asymptotic behavior of estimators of a two-valued, discontinuous diffusion coefficient in a Stochastic Differential Equation, called an Oscillating Brownian Motion. Us…