Imperial College London

Professor Grigorios A. Pavliotis

Faculty of Natural SciencesDepartment of Mathematics

Professor of Applied Mathematics
 
 
 
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Contact

 

+44 (0)20 7594 8564g.pavliotis Website

 
 
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Location

 

736aHuxley BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Olhede:2009:10.1137/090756363,
author = {Olhede, SC and Sykulski, AM and Pavliotis, GA},
doi = {10.1137/090756363},
journal = {MULTISCALE MODELING & SIMULATION},
pages = {393--427},
title = {FREQUENCY DOMAIN ESTIMATION OF INTEGRATED VOLATILITY FOR ITO PROCESSES IN THE PRESENCE OF MARKET-MICROSTRUCTURE NOISE},
url = {http://dx.doi.org/10.1137/090756363},
volume = {8},
year = {2009}
}

RIS format (EndNote, RefMan)

TY  - JOUR
AU - Olhede,SC
AU - Sykulski,AM
AU - Pavliotis,GA
DO - 10.1137/090756363
EP - 427
PY - 2009///
SN - 1540-3459
SP - 393
TI - FREQUENCY DOMAIN ESTIMATION OF INTEGRATED VOLATILITY FOR ITO PROCESSES IN THE PRESENCE OF MARKET-MICROSTRUCTURE NOISE
T2 - MULTISCALE MODELING & SIMULATION
UR - http://dx.doi.org/10.1137/090756363
UR - http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000277582900003&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
VL - 8
ER -