Publications
Preprints
Unifying incidence and prevalence under a time-varying general branching process
In collaboration with
Xenia Miscouridou,
Tresnia Berah,
Swapnil Mishra,
Thomas A. Mellan
and
Samir Bhatt.
January 2022, 29 pages.
» e-print:
arXiv:2107.05579
Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes
In collaboration with
Yuan Li and
Almut E. D. Veraart.
November 2021, 35 pages.
» e-print:
arXiv:2111.02366
πVAE: Encoding stochastic process priors with variational autoencoders
In collaboration with
Swapnil Mishra,
Seth Flaxman,
Tresnia Berah,
Harrison Zhu
and
Samir Bhatt.
August 2021, 17 pages.
» e-print:
arXiv:2002.06873
Roughness in spot variance? A GMM approach for estimation of fractional
log-normal stochastic volatility models using realized measures
In collaboration with
Anine E. Bolko,
Kim Christensen and
Bezirgen Veliyev.
July 2021, 42 pages.
» e-print:
arXiv:2010.04610
Feasible inference for stochastic volatility in Brownian semistationary processes
In collaboration with
Phillip Murray,
Riccardo Passeggeri and
Almut E. D. Veraart.
June 2021, 21 pages.
» e-print:
arXiv:2007.06357, code:
CRAN
Articles in refereed journals
Deep hedging: Learning to remove the drift under trading frictions with minimal equivalent near-martingale measures
In collaboration with
Hans Buehler,
Phillip Murray and
Ben Wood.
Risk, to appear.
» e-print:
arXiv:2111.07844 (extended version)
State-dependent Hawkes processes and their application to limit order book modelling
In collaboration with Maxime Morariu-Patrichi.
Quantitative Finance, to appear.
»
article:
doi:10.1080/14697688.2021.1983199,
e-print:
arXiv:1809.08060, code:
GitHub
Decoupling the short- and long-term behavior of stochastic volatility
In collaboration with
Mikkel Bennedsen
and
Asger Lunde.
Journal of Financial Econometrics, to appear.
»
article:
doi:10.1093/jjfinec/nbaa049,
e-print:
arXiv:1610.00332
Limit theorems for trawl processes
In collaboration with
Riccardo Passeggeri,
Orimar Sauri and
Almut E. D. Veraart.
Electronic Journal of Probability 26, article no. 116, 36 pp., 2021.
»
article:
doi:10.1214/21-EJP652,
e-print:
arXiv:2009.10698
Hybrid simulation scheme for volatility modulated moving average fields
In collaboration with
Claudio Heinrich and
Almut E. D. Veraart.
Mathematics and Computers in Simulation 166, 224–244, 2019.
»
article:
doi:10.1016/j.matcom.2019.04.006,
e-print:
arXiv:1709.01310
The local fractional bootstrap
In collaboration with
Mikkel Bennedsen,
Ulrich Hounyo
and
Asger Lunde.
Scandinavian Journal of Statistics 46(1), 329–359, 2019.
»
article:
doi:10.1111/sjos.12355,
e-print:
arXiv:1605.00868
Hybrid marked point processes: characterisation, existence and uniqueness
In collaboration with Maxime Morariu-Patrichi.
Market Microstructure and Liquidity 4(3&4), 1950007, 55 pp., 2018.
»
article:
doi:10.1142/S2382626619500072,
e-print:
arXiv:1707.06970
Pathwise large deviations for the rough Bergomi model
In collaboration with
Antoine Jacquier
and Henry Stone.
Journal of Applied Probability 55(4), 1078–1092, 2018.
» article:
doi:10.1017/jpr.2018.72,
e-print:
arXiv:1706.05291
» erratum:
doi:10.1017/jpr.2020.109
(with
Stefan Gerhold and Thomas Wagenhofer)
Turbocharging Monte Carlo pricing for the rough Bergomi model
In collaboration with Ryan McCrickerd.
Quantitative Finance 18(11), 1877–1886, 2018.
»
article:
doi:10.1080/14697688.2018.1459812,
e-print:
arXiv:1708.02563, code:
GitHub
Hybrid scheme for Brownian semistationary processes
In collaboration with
Mikkel Bennedsen
and
Asger Lunde.
Finance and Stochastics 21(4), 931–965, 2017.
» article:
doi:10.1007/s00780-017-0335-5,
e-print:
arXiv:1507.03004
Arbitrage without borrowing or short selling?
In collaboration with
Jani Lukkarinen.
Mathematics and Financial Economics 11(3), 263–274, 2017.
» article:
doi:10.1007/s11579-016-0180-x, e-print:
arXiv:1604.07690
On the conditional small ball property of multivariate Lévy-driven moving average processes
In collaboration with
Tommi Sottinen
and Adil Yazigi.
Stochastic Processes and their Applications 127(3), 749–782, 2017.
» article:
doi:10.1016/j.spa.2016.06.025, e-print:
arXiv:1601.03698
Functional limit theorems for generalized variations of the fractional Brownian sheet
In collaboration with
Anthony Réveillac.
Bernoulli 22(3), 1671–1708, 2016.
» article:
doi:10.3150/15-BEJ707, e-print:
arXiv:1404.2822
Sticky continuous processes have consistent price systems
In collaboration with
Christian Bender
and Hasanjan Sayit.
Journal of Applied Probability 52(2), 586–594, 2015.
» article:
doi:10.1239/jap/1437658617, e-print:
arXiv:1310.7857
Assessing relative volatility/intermittency/energy dissipation
In collaboration with
Ole E. Barndorff-Nielsen
and
Jürgen Schmiegel.
Electronic Journal of Statistics 8(2), 1996–2021, 2014.
» article:
doi:10.1214/14-EJS942, e-print:
arXiv:1304.6683
Limit theorems for power variations of ambit fields driven by white noise
Stochastic Processes and their Applications 124(5), 1942–1973, 2014.
» article:
doi:10.1016/j.spa.2014.01.005, e-print:
arXiv:1301.2107
On the existence of consistent price systems
In collaboration with
Erhan Bayraktar and Hasanjan Sayit.
Stochastic Analysis and Applications 32(1), 152–162, 2014
» article:
doi:10.1080/07362994.2014.858535, e-print:
arXiv:0911.3789
Asymptotic theory for Brownian semi-stationary processes with application to turbulence
In collaboration with
José Manuel Corcuera,
Emil Hedevang
and
Mark Podolskij.
Stochastic Processes and their Applications 123(7), 2552–2574, 2013.
» article:
doi:10.1016/j.spa.2013.03.011,
e-print:
arXiv:1211.4221
On the positivity of Riemann-Stieltjes integrals
In collaboration with
Jani Lukkarinen.
Bulletin of the Australian Mathematical Society 87(3), 400–405, 2013.
» article:
doi:10.1017/S0004972712000639,
e-print:
arXiv:1203.5276
» erratum:
doi:10.1017/S0004972713000713 (included in the arXiv version)
Brownian semistationary processes and conditional full support
International Journal of Theoretical and Applied Finance 14(4), 579–586, 2011.
» article:
doi:10.1142/S0219024911006747, e-print:
arXiv:1002.4774
Stochastic integrals and conditional full support
Journal of Applied Probability 47(3), 650–667, 2010.
» article:
doi:10.1239/jap/1285335401, e-print:
arXiv:0811.1847
Microfoundations for diffusion price processes
Mathematics and Financial Economics 3(2), 89–114, 2010.
» article:
doi:10.1007/s11579-010-0029-7,
e-print:
PDF
Articles in refereed conference proceedings
An approximative method of simulating a duel
In collaboration with Esa Lappi and Bernt Åkesson.
Proceedings of the 2012 Winter Simulation Conference (Berlin, Germany, 9–12 December 2012), pp. 2330–2339.
» article:
doi:10.1109/WSC.2012.6465044
Book reviews
Review of Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization by X. Guo, T. L. Lai, H. Shek and S. P. Wong
The American Statistician 72(1), 112–113, 2018.
» article:
doi:10.1080/00031305.2018.1444855
Miscellanea
Deep hedging: Learning risk-neutral implied volatility dynamics
In collaboration with
Hans Buehler,
Phillip Murray and
Ben Wood.
Technical report, July 2021, 18 pages.
» e-print:
arXiv:2103.11948
Discretization of Lévy semistationary processes with application to estimation
In collaboration with
Mikkel Bennedsen
and
Asger Lunde.
Technical report, July 2014, 28 pages.
» e-print:
arXiv:1407.2754
Mathematical aspects of financial markets with frictions
PhD dissertation in Applied Mathematics, under the supervision of
Tommi Sottinen and Esa Nummelin.
Department of Mathematics and Statistics,
University of Helsinki, October 2010.
» introduction available from:
E-thesis
Jatkuvat semimartingaalit ja filtraation alkulaajennus
in Finnish, translated title: "Continuous semimartingales and the initial enlargement of a filtration"
MSc thesis in Mathematics, under the supervision of
Tommi Sottinen.
Department of Mathematics and Statistics,
University of Helsinki, October 2006.
» full text available from:
E-thesis
