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Testing the local volatility assumption : a statistical approach

Podolskij, Mark; Rosenbaum, Mathieu - In: Annals of finance 8 (2012) 1, pp. 31-48

Persistent link: https://www.econbiz.de/10009510584

Testing the local volatility assumption : a statistical approach

Podolskij, Mark; Rosenbaum, Mathieu - 2011

Persistent link: https://www.econbiz.de/10008807427

Comment on: limit of random measures associated with the increments of a Brownian Semimartingale : asymptotic behavior of local times related statistics for fractional Brownian motion

Podolskij, Mark; Rosenbaum, Mathieu - In: Journal of financial econometrics : official journal of … 16 (2018) 4, pp. 588-598

Persistent link: https://www.econbiz.de/10011987969

Forests, Cumulants, Martingales

Friz, Peter - 2020

This work is concerned with forest and cumulant type expansions of general random variables on a filtered probability spaces. We establish a “broken exponential martingale” expansion that generalizes and unifies the exponentiation result of Alòs, Gatheral, and Radoičić ́ (SSRN'17; [AGR20])...

Persistent link: https://www.econbiz.de/10012832037