74 citations · 120 across the 41 of their papers we have counts for
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q-fin.CP2017
Optimal Stochastic Decensoring and Applications to Calibration of Market Models
Anastasis Kratsios
Typically flat filling, linear or polynomial interpolation methods to generate missing historical data. We introduce a novel optimal method for recreating data generated by a diffu…
q-fin.MF2017
Non-Euclidean Conditional Expectation and Filtering
Anastasis Kratsios, Cody B. Hyndman
A non-Euclidean generalization of conditional expectation is introduced and characterized as the minimizer of expected intrinsic squared-distance from a manifold-valued target. The…