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Results 1-10 of 15
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Issue DateTitleAuthor(s)
22-Jan-2014Limit theorems for power variations of ambit fields driven by white noisePakkanen, MS
1-Jun-2015Sticky continuous processes have consistent price systemsBender, C; Pakkanen, MS; Sayit, H
5-Jul-2016On the conditional small ball property of multivariate Lévy-driven moving average processesPakkanen, MS; Sottinen, T; Yazigi, A;
27-Sep-2016Arbitrage without borrowing or short selling?Lukkarinen, J; Pakkanen, MS;
9-Dec-2013On the Existence of Consistent Price SystemsBayraktar, E; Pakkanen, MS; Sayit, H
Dec-2018Pathwise large deviations for the rough Bergomi modelJacquier, A; Pakkanen, MS; Stone, H
Mar-2019The local fractional bootstrapBennedsen, M; Hounyo, U; Lunde, A; Pakkanen, MS;
30-Apr-2018Turbocharging Monte Carlo pricing for the rough Bergomi modelMcCrickerd, R; Pakkanen, MS
Dec-2019Hybrid simulation scheme for volatility modulated moving average fieldsHeinrich, C; Pakkanen, MS; Veraart, AED;
1-Oct-2017Hybrid scheme for Brownian semistationary processesBennedsen, M; Lunde, A; Pakkanen, MS