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Monte Carlo derivative pricing with partial information in a class of doubly stochastic poisson processes with marks
Centanni, Silvia; Minozzo, Marco - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10009624500
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Modeling ultra-high-frequency data : the S&P 500 index future
Minozzo, Marco; Centanni, Silvia - In: Mathematical and statistical methods in insurance and …, (pp. 165-172). 2008
Persistent link: https://www.econbiz.de/10003838556
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A Monte Carlo approach to filtering for a class of marked doubly stochastic Poisson processes
Centanni, Silvia; Minozzo, Marco - In: Journal of the American Statistical Association : JASA 101 (2006), pp. 1582-1597
Persistent link: https://www.econbiz.de/10003406810