Economy – Quantitative Finance – Computational Finance
Scientist
Economy
Quantitative Finance
Computational Finance
Scientist
Technical University of Vienna
A convergent series representation for the density of the supremum of a stable process
A general proof of the Dybvig-Ingersoll-Ross-Theorem: Long forward rates can never fall
Asymptotic analysis for a simple explicit estimator in Barndorff-Nielsen and Shephard stochastic volatility models
Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models
Old and new examples of scale functions for spectrally negative Levy processes
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