Antoine Lejay | DeepAI

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Featured Co-authors

Paolo Pigato
5 publications
Sara Mazzonetto
4 publications

research

∙ 02/06/2023

Maximum likelihood estimator for skew Brownian motion: the convergence rate

We give a thorough description of the asymptotic property of the maximum...

0 Antoine Lejay, et al. ∙

research

∙ 07/28/2022

Beyond the delta method

We give an asymptotic development of the maximum likelihood estimator (M...

0 Antoine Lejay, et al. ∙

research

∙ 03/14/2018

Maximum likelihood drift estimation for a threshold diffusion

We study the maximum likelihood estimator of the drift parameters of a s...

0 Antoine Lejay, et al. ∙

research

∙ 12/22/2017

A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data

In financial markets, low prices are generally associated with high vola...

0 Antoine Lejay, et al. ∙