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Jump processes in finance : modeling, simulation, inference and...

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Jump processes in finance : modeling, simulation, inference and pricing. by Viktor Todorov. Year of publication: Authors: Todorov, Viktor.

Time Series Analysis: Methods and Applications - Google Books

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The field of statistics not only affects all areas of scientific activity, but also many other matters such as public policy. It is branching rapidly into so...

Stochastic Methods in Asset Pricing - Andrew Lyasoff - Google Books

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Andersen, Torben, Oleg Bondarenko, Viktor Todorov, and George Tauchen The fine structure of equity-index option dynamics. Journal of Econometrics ...

Swords: A Visual History - DK - Google Books

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The ultimate record of swords through the ages, in e-book formatFrom knives and daggers to bayonets and axes, a cutting-edge guide to over 300 of the most...

The Fascination of Probability, Statistics and their Applications: In...

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Collecting together twenty-three self-contained articles, this volume presents the current research of a number of renowned scientists in both probability...

Econophysics and Capital Asset Pricing: Splitting the Atom ...

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1–45 (2011); Viktor Todorov, Variance Risk Premium Dynamics: The Role of Jumps, 23 REV. FIN. STUD. 345–383 (2010). See Tim Bollerslev & Viktor Todorov, ...

High-Frequency Statistics with Asynchronous and Irregular Data

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[32] Jean Jacod and Viktor Todorov. Testing for common arrivals of jumps for discretely observed multidimensional processes. The Annals of Statistics, ...

Econophysics and Capital Asset Pricing: Splitting the Atom of...

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This book rehabilitates beta as a definition of systemic risk by using particle physics to evaluate discrete components of financial risk. Much of the...

Recent Advances in Theory and Methods for the Analysis of ...

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Bollerslev, Tim, Viktor Todorov, and Lai Xu Tail risk premia and return predictability. Journal of Financial Economics 118: 113–34.

Recent Advances in Theory and Methods for the Analysis of High...

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Recently, considerable attention has been placed on the development and application of tools useful for the analysis of the high-dimensional and/or...

Stochastic Methods in Asset Pricing

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Andersen, Torben, Oleg Bondarenko, Viktor Todorov, and George Tauchen The fine structure of equity-index option dynamics.

The Fascination of Probability, Statistics and their ...

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Jean Jacod and Viktor Todorov Abstract In a recent paper [6], we derived a rate efficient (and in some cases variance efficient) estimator for the ...

Time Series Analysis: Methods and Applications

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Figure 1 shows the realized daily volatility (kindly supplied by Viktor Todorov) of the Deutsche Mark/U S dollar exchange rate from December 1, 1986, ...

Jump Processes in Finance: Modeling, Simulation, Inference and...

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Chapter 4 of the dissertation analyzes the pricing of jump risk and its implication for the variance risk premium. I use data on the VIX index to recover the...

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Bücher Viktor Todorov