Forschung
- Statistical properties of SDEs used to model the price evolution of financial assets
- Modelling / simulation of (high frequency) financial data via SDEs
- Spot volatility estimation via high frequency data in the context of SVJD models
- Parametric estimation of SVDJ models via high frequency data
- Nonparametric estimation of higher (return) moments via high frequent data
- Modelling of nonparametric higher moments estimators