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By far, the most popular test for spatial correlation is the one based on Moran’s (1950) I test statistic. Despite this, the available results in the literature concerning the large sample distributio...
The development of a general inferential theory for nonlinear models with cross-sectionally or spatially dependent data has been hampered by a lack of appropriate limit theorems. To facilitate a gener...
This is the value of the control rule which would be used if one treated ,d as known with certainty and equal to the least squares estimate. We call this rule the least squares certainty equivalence...
The goal of this paper is to prove a result conjectured in F¨ollmer and Schachermayer [FS07], even in slightly more general form. Suppose that Sis a continuous semimartingale and satisfies a large dev...
This paper resolves a question proposed in Kardaras and Robertson (2011): how to invest in a robust growth-optimal way in a market where precise knowledge of the covariance structure of the underlying...
Abstract: The purpose of this paper is to provide a sharp analysis on the asymptotic behavior of the Durbin-Watson statistic. We focus our attention on the first-order autoregressive process where the...
The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions. The asymptotic...
The asymptotic behavior of the implied volatility associated with a general call pricing function has been extensively studied in the last decade. The main topics discussed in this paper are Lee's mom...
This paper addresses the question of how to invest in an extremely robust growth-optimal way in a market where the instantaneous expected return of the underlying process is unknown. The optimal inves...
The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions. The asymptotic...
In this paper we discuss the basket options valuation for a jump-diffusion model. The underlying asset prices follow some correlated local volatility diffusion processes with systematic jumps. We deri...
The basic model for high-frequency data in finance is considered, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model is in Le Cam's sens...
In this paper, we give a numerical method for pricing long maturity,path dependent options by using the Markov property for each underlying asset. This enables us to approximate a path dependent optio...
In this paper we prove an approximate formula expressed in terms of elementary functions for the implied volatility in the Heston model. The formula consists of the constant and first order terms in t...
We provide a general method to compute a Taylor expansion in time of implied volatility for stochastic volatility models, using a heat kernel expansion. Beyond the order 0 implied volatility which is...

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