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立命館大学ーファイナンス研究センター
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Fukasawa, M. (2008). "Edgeworth Expansion for Ergodic Diffusions,"
Probab. Theory Relat. Fields 142, 1-20. minor typo.
Fukasawa, M. (2010). "Central limit theorem for the realized volatility
based on tick time sampling," Finance Stoch. 14, 209-233.
Fukasawa, M. (2010). "Realized Volatility with Stochastic Sampling," Stochastic Process. Appl. 120, 829-852.
Fukasawa, M. (2009). "Asymptotic Analysis for Stochastic Volatility: Martingale Expansion," to appear in Finance Stoch.
深澤正彰(2009). 「実現ボラティリティの漸近分布について」 [On asymptotic distribution of realized
volatility], Proc. Inst. Stat. Math. 57, no.1, 3-16.
深澤正彰(2009). 「離散ヘッジ戦略の漸近有効性」 [Asymptotic efficiency for discrete hedging
strategies], selected by FTRI (2009), available here.
Fukasawa, M. (2009). "Discretization Error of Stochastic Integrals," submitted for publication
Fukasawa, M. (2009). "Asymptotically Efficient Discrete Hedging,"
submitted for publication. [working paper version]
Fukasawa, M. (2008). "Asymptotic Analysis for Stochastic Volatility: Edgeworth Expansion," submitted for publication. [working paper version]
Fukasawa, M. (2010). "Normalization for Implied Volatility,"
submitted for publication.
Shimizu, Y. (2010). "Threshold selection in jump-discriminant filter
for discretely observed jump processes," [doi]
Statist. Methods and Appl., forthcomming (available online).
Uchida, M. and N. Yoshida (forthcom.). "Estimation for misspecified
ergodic diffusion processes from discrete observations," to appear
in European Series in Applied and Industrial Mathematics: Probability and
Statistics. [working paper version]
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