Related papers: Estimating time-changes in noisy L\'evy models
This paper considers stochastic population dynamics driven by Levy noise. The contributions of this paper lie in that (a) Using Khasminskii-Mao theorem, we show that the stochastic differential equation associated with the model has a…
We consider nonparametric statistical inference for L\'evy processes sampled irregularly, at low frequency. The estimation of the jump dynamics as well as the estimation of the distributional density are investigated. Non-asymptotic risk…
This paper focuses on the pricing of the variance swap in an incomplete market where the stochastic interest rate and the price of the stock are respectively driven by Cox-Ingersoll-Ross model and Heston model with simultaneous L\'{e}vy…
We show how pre-averaging can be applied to the problem of measuring the ex-post covariance of financial asset returns under microstructure noise and non-synchronous trading. A pre-averaged realised covariance is proposed, and we present an…
Volatility estimation is a central problem in financial econometrics, but becomes particularly challenging when jump activity is high, a phenomenon observed empirically in highly traded financial securities. In this paper, we revisit the…
We develop a new model selection method for the adaptive robust efficient nonparametric signal estimation observed with impulse noise which is defined by the general non Gaussian L\'evy processes. On the basis of the developed method, we…
This article deals with adaptive nonparametric estimation for L\'evy processes observed at low frequency. For general linear functionals of the L\'evy measure, we construct kernel estimators, provide upper risk bounds and derive rates of…
We develop generic and efficient importance sampling estimators for Monte Carlo evaluation of prices of single- and multi-asset European and path-dependent options in asset price models driven by L\'evy processes, extending earlier works…
In this paper we propose a general derivative pricing framework which employs decoupled time-changed (DTC) L\'evy processes to model the underlying asset of contingent claims. A DTC L\'evy process is a generalized time-changed L\'evy…
We introduce solvable stochastic dealer models, which can reproduce basic empirical laws of financial markets such as the power law of price change. Starting from the simplest model that is almost equivalent to a Poisson random noise…
In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the financial returns are described by a weighted indexed…
Consider the sum $Y=B+B(H)$ of a Brownian motion $B$ and an independent fractional Brownian motion $B(H)$ with Hurst parameter $H\in(0,1)$. Even though $B(H)$ is not a semimartingale, it was shown in [\textit{Bernoulli} \textbf{7} (2001)…
We consider a process $X_t$, which is observed on a finite time interval $[0,T]$, at discrete times $0,\Delta_n,2\Delta_n,\ldots.$ This process is an It\^{o} semimartingale with stochastic volatility $\sigma_t^2$. Assuming that $X$ has…
This paper presents a novel approach to stochastic volatility (SV) modeling by utilizing nonparametric techniques that enhance our ability to capture the volatility of financial time series data, with a particular emphasis on the…
In this paper we develop the James - Stein improved estimation method for a nonparametric periodic function observed with the Levy noises in continuous time. An adaptive model selection procedure based on the improved weighted least square…
The usage of a spot volatility estimate based on a volatility decomposition in a time-changed price-model according to the trading times is investigated. In this model clock-time volatility splits up into the product of tick-time volatility…
Given the univariate marginals of a real-valued, continuous-time martingale, (respectively, a family of measures parameterised by $t \in [0,T]$ which is increasing in convex order, or a double continuum of call prices) we construct a family…
We introduce time-inhomogeneous stochastic volatility models, in which the volatility is described by a nonnegative function of a Volterra type continuous Gaussian process that may have very rough sample paths. The main results obtained in…
We propose a new estimator for the integrated covariance of two Ito semimartingales observed at a high-frequency. This new estimator, which we call the pre-averaged truncated Hayashi-Yoshida estimator, enables us to separate the sum of the…
We derive integral tests for the existence and absence of arbitrage in a financial market with one risky asset which is either modeled as stochastic exponential of an Ito process or a positive diffusion with Markov switching. In particular,…