Current Ph.D. Students

  • Peter McGlaughlin
  • Reza Yousefi Maragheh


Publications

Journal Publications

  1. Maximum likelihood estimation for small noise multiscale diffusions. To appear in Statistical Inference for Stochastic Processes, 2013. Joint work with Konstantinos Spiliopoulos.
  2. On inference for fractional differential equations. Statistical Inference for Stochastic Processes, 16(1), 2013. Joint work with Samy Tindel.
  3. Optimal sequential change detection for fractional diffusion-type processes. Journal of Applied Probability, 50(1), 2013. Joint work with Georgios Fellouris.
  4. Stochastic volatility models with long-memory in discrete and continuous time. Quantitative Finance, 12(4), 2012. Special Issue: High Frequency Data Analysis. Joint work with Frederi G. Viens.
  5. Estimation and Pricing under long-memory stochastic volatility. Annals of Finance (8), 2012. Joint work with Frederi G. Viens.
  6. Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes. Communications on Stochastic Analysis, 5, 2011. Joint work with  C. Tudor, Frederi G. Viens.
  7. Variations and Hurst index estimation for a Rosenblatt process using longer filters. Electronic Journal of Statistics, 3, 2009. Joint work with  C. Tudor, Frederi G. Viens.
  8. Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian processes. Comptes Rendus - Mathématique, 347 (11-12), 2009. Joint work with  C. Tudor and Frederi G. Viens.
  9. Hurst index estimation for self-similar processes with long-memory. Recent Advances in Stochastic Dynamics and Stochastic Analysis. Editors: J. Duan, S. Luo and C. Wang, Publisher: World Scientific Publishing Co Pte Ltd. Joint work with Frederi G. Viens.


Books

  • “Elements of Stochastic Finance.” with Frederi G. Viens and Jose E. Figueroa-Lopez. In Preparation. World Scientific Publishing Co.


Conference Publications

  1. Parameter estimation & calibration for long-memory stochastic volatility models. To be published in the "Handbook of Modeling High Frequency Data in Finance", Editors: I. Florescu, C. Mariani and F. Viens, Publisher: World Scientific Publishing Co Pte Ltd, 2010.
  2. Memory-length parameter estimation for non-Gaussian Hermite processes via chaos expansion. (Selected among 218 papers). "Topics on Chaotic Systems: Selected Papers from CHAOS 2008 International Conference", Editors: Ch. H. Skiadas, I. Dimotikalis and Ch. Skiadas, Publisher: World Scientific Publishing Co Pte Ltd, 2008.