We study the problem of estimating the time dependent diffusion coefficient of a diffusion process in a nonparametric setting, when the sample path is observed at discrete times. We look at global Lp-error loss over a wide range of function spaces (namely, Besov spaces). We exhibit the minimax...

We estimate the mean function and the conditional variance (the volatility function) of a nonlinear first-order autoregressive model nonparametrically. Minimax rates of convergence are established over a scale of Besov bodies Bspq and a range of global Lp' error measurements, for...

We consider the following hidden Markov chain problem: estimate the finite-dimensional parameter [theta] in the equation when we observe discrete data Xi/n at times i=0,...,n from the diffusion . The processes (Wt)t[set membership, variant][0,1] and (Bt)t[set membership, variant][0,1] are two...

We study the nonparametric estimation of the coefficients of a 1-dimensional diffusion process from discrete observations. Different asymptotic frameworks are considered. Minimax rates of convergence are studied over a wide range of Besov smoothness classes. We construct estimators based on...

A wide class of hybrid products are evaluated with a model where one of the underlying price follows a local volatility diffusion and the other asset value a log-normal process. Because of the generality for the local volatility function, the numerical pricing is usually much time consuming....

In the context of an asset paying affine-type discrete dividends, we present closed analytical approximations for the pricing of European vanilla options in the Black--Scholes model with time-dependent parameters. They are obtained using a stochastic Taylor expansion around a shifted lognormal...

We relate the Lp-variation, 2≤p∞, of a solution of a backward stochastic differential equation with a path-dependent terminal condition to a generalized notion of fractional smoothness. This concept of fractional smoothness takes into account the quantitative propagation of singularities in...

For a stopped diffusion process in a multidimensional time-dependent domain , we propose and analyse a new procedure consisting in simulating the process with an Euler scheme with step size [Delta] and stopping it at discrete times in a modified domain, whose boundary has been appropriately...