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Found 218 Documents (Results 1–100)

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Barndorff-Nielsen, Ole E.

Gamma kernels and BSS/LSS processes. (English) Zbl 1369.60039

Kallsen, Jan (ed.) et al., Advanced modeling in mathematical finance. In honour of Ernst Eberlein on the occasion of his 70th birthday, Kiel, Germany, May 22–25, 2015. Cham: Springer (ISBN 978-3-319-45873-1/hbk; 978-3-319-45875-5/ebook). Springer Proceedings in Mathematics & Statistics 189, 41-61 (2016).
MSC:  60H05 60G51 60J65 60G10 60-02 91G70
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\textit{O. E. Barndorff-Nielsen}, Springer Proc. Math. Stat. 189, 41--61 (2016; Zbl 1369.60039)
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Barndorff-Nielsen, Ole E.; Hedevang, Emil; Schmiegel, Jürgen; Szozda, Benedykt

Some recent developments in ambit stochastics. (English) Zbl 1382.60003

Benth, Fred Espen (ed.) et al., Stochastics of environmental and financial economics. Centre of Advanced Study, Oslo, Norway, 2014–2015. Cham: Springer (ISBN 978-3-319-23424-3/hbk; 978-3-319-23425-0/ebook). Springer Proceedings in Mathematics & Statistics 138, 3-25 (2016).
MSC:  60-02 60G57 60G60 60H30 91B70 62M10 62P05
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\textit{O. E. Barndorff-Nielsen} et al., Springer Proc. Math. Stat. 138, 3--25 (2016; Zbl 1382.60003)
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Barndorff-Nielsen, Ole E.; Shiryaev, Albert

Change of time and change of measure. 2nd edition. (English) Zbl 1316.60004

Advanced Series on Statistical Science & Applied Probability 21. Hackensack, NJ: World Scientific (ISBN 978-981-4678-58-2/hbk; 978-981-4678-60-5/ebook). xviii, 344 p. (2015).
MSC:  60-02 60H05 60G10 60G18 60G44 60G48 60G52 60G55 60J65 62M10 91B70
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\textit{O. E. Barndorff-Nielsen} and \textit{A. Shiryaev}, Change of time and change of measure. 2nd edition. Hackensack, NJ: World Scientific (2015; Zbl 1316.60004)
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Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D.

Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency. (English) Zbl 1312.60063

Palczewski, Andrzej (ed.) et al., Advances in mathematics of finance. Selected papers of the 6th general AMaMeF and Banach Center Conference, Warsaw, Poland, June 10–15, 2013. Warszawa: Polish Academy of Sciences, Institute of Mathematics (ISBN 978-83-86806-27-0). Banach Center Publications 104, 25-60 (2015).
MSC:  60G60 60G10 60G51 60G57
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\textit{O. E. Barndorff-Nielsen} et al., Banach Cent. Publ. 104, 25--60 (2015; Zbl 1312.60063)
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Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Szozda, Benedykt

On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis. (English) Zbl 1291.60109

Infin. Dimens. Anal. Quantum Probab. Relat. Top. 17, No. 2, Article ID 1450011, 28 p. (2014).
MSC:  60H05 60H40 60H07 60G22
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\textit{O. E. Barndorff-Nielsen} et al., Infin. Dimens. Anal. Quantum Probab. Relat. Top. 17, No. 2, Article ID 1450011, 28 p. (2014; Zbl 1291.60109)
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Barndorff-Nielsen, Ole E.

Information and exponential families in statistical theory. Reprint of the 1978 edition. (English) Zbl 1288.62007

Wiley Series in Probability and Statistics. Hoboken, NJ: John Wiley & Sons (ISBN 978-1-118-85750-2/hbk; 978-1-118-85728-1/ebook). ix, 238 p. (2014).
MSC:  62-02 01A75 62B10
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\textit{O. E. Barndorff-Nielsen}, Information and exponential families in statistical theory. Reprint of the 1978 edition. Hoboken, NJ: John Wiley \& Sons (2014; Zbl 1288.62007)
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Barndorff-Nielsen, Ole E.; Corcuera, José Manuel; Podolskij, Mark

Limit theorems for functionals of higher order differences of Brownian semi-stationary processes. (English) Zbl 1273.60021

Shiryaev, Albert N. (ed.) et al., Prokhorov and contemporary probability theory. In honor of Yuri V. Prokhorov on the occasion of his 80th birthday. Berlin: Springer (ISBN 978-3-642-33548-8/hbk; 978-3-642-33549-5/ebook). Springer Proceedings in Mathematics & Statistics 33, 69-96 (2013).
MSC:  60F05 60G15
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\textit{O. E. Barndorff-Nielsen} et al., Springer Proc. Math. Stat. 33, 69--96 (2013; Zbl 1273.60021)
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Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D.

Ambit processes and stochastic partial differential equations. (English) Zbl 1239.91188

Di Nunno, Giulia (ed.) et al., Advanced mathematical methods for finance. Berlin: Springer (ISBN 978-3-642-18411-6/hbk; 978-3-642-18412-3/ebook). 35-74 (2011).
Reviewer: Gong Guanglu (Beijing)
MSC:  91G80 60H05 60H15 60H40 60G57 60G60
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\textit{O. E. Barndorff-Nielsen} et al., in: Advanced mathematical methods for finance. Berlin: Springer. 35--74 (2011; Zbl 1239.91188)
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Barndorff-Nielsen, Ole E.; Kinnebrock, Silja; Shephard, Neil

Measuring downside risk – realized semivariance. (English) Zbl 1229.91154

Bollerslev, Tim (ed.) et al., Volatility and time series econometrics. Essays in honor of Robert F. Engle. Oxford: Oxford University Press (ISBN 978-0-19-954949-8/hbk). Advanced Texts in Econometrics, 117-136 (2010).
MSC:  91B30 62P05
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\textit{O. E. Barndorff-Nielsen} et al., in: Volatility and time series econometrics. Essays in honor of Robert F. Engle. Oxford: Oxford University Press. 117--136 (2010; Zbl 1229.91154)
Barndorff-Nielsen, Ole; Shiryaev, Albert

Change of time and change of measure. (English) Zbl 1234.60003

Advanced Series on Statistical Science & Applied Probability 13. Hackensack, NJ: World Scientific (ISBN 978-981-4324-47-2/hbk; 978-981-4343-54-1/ebook). xvi, 305 p. (2010).
Reviewer: Pavel Gapeev (London)
MSC:  60-02 60H05 60G10 60G18 60G44 60G48 60G52 60G55 60J65 62M10 91B70
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\textit{O. Barndorff-Nielsen} and \textit{A. Shiryaev}, Change of time and change of measure. Hackensack, NJ: World Scientific (2010; Zbl 1234.60003)
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Barndorff-Nielsen, Ole E. (ed.); Bertoin, Jean (ed.); Jacod, Jean (ed.); Klüppelberg, Claudia (ed.)

Lévy matters I. Recent progress in theory and applications: foundations, trees and numerical issues in finance. With a short biography of Paul Lévy by Jean Jacod. (English) Zbl 1197.60001

Lecture Notes in Mathematics 2001. Lévy Matters. Berlin: Springer (ISBN 978-3-642-14006-8/pbk; 978-3-642-14007-5/ebook). xiv, 198 p. (2010).
MSC:  60-06 60G51 01A70 60K30 00B15
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\textit{O. E. Barndorff-Nielsen} (ed.) et al., Lévy matters I. Recent progress in theory and applications: foundations, trees and numerical issues in finance. With a short biography of Paul Lévy by Jean Jacod. Berlin: Springer (2010; Zbl 1197.60001)
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Barndorff-Nielsen, Ole E.; Schmiegel, Jürgen

Brownian semistationary processes and volatility/intermittency. (English) Zbl 1195.60053

Albrecher, Hansjörg (ed.) et al., Advanced financial modelling. Berlin: Walter de Gruyter (ISBN 978-3-11-021313-3/hbk; 978-3-11-021314-0/ebook). Radon Series on Computational and Applied Mathematics 8, 1-25 (2009).
Reviewer: Nikolai N. Leonenko (Cardiff)
MSC:  60G10 60J65 60G44 60G60 62F10
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\textit{O. E. Barndorff-Nielsen} and \textit{J. Schmiegel}, Radon Ser. Comput. Appl. Math. 8, 1--25 (2009; Zbl 1195.60053)
Barndorff-Nielsen, Ole E.; Schmiegel, Jürgen

Time change, volatility, and turbulence. (English) Zbl 1157.60043

Sarychev, Andrey (ed.) et al., Mathematical control theory and finance. Proceedings of the workshop, Lisbon, April 10–14, 2007. Berlin: Springer (ISBN 978-3-540-69531-8/hbk). 29-53 (2008).
Reviewer: Antonis Papapantoleon (Wien)
MSC:  60G51 91G10 76F10
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\textit{O. E. Barndorff-Nielsen} and \textit{J. Schmiegel}, in: Mathematical control theory and finance. Proceedings of the workshop, Lisbon, April 10--14, 2007. Berlin: Springer. 29--53 (2008; Zbl 1157.60043)
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Barndorff-Nielsen, Ole E.; Shephard, Neil

Variation, jumps and high-frequency data in financial econometrics. (English) Zbl 1157.91017

Blundell, Richard (ed.) et al., Advances in economics and econometrics. Theory and applications, ninth world congress. Vol. III. Cambridge: Cambridge University Press (ISBN 978-0-521-69210-6/pbk; 978-0-521-87154-9/hbk). Econometric Society Monographs 43, 328-372 (2007).
Reviewer: Vladimir Gorbunov (Ul’yanovsk)
MSC:  91B70 91G70 60G48 62G05
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\textit{O. E. Barndorff-Nielsen} and \textit{N. Shephard}, Econom. Soc. Monogr. 43, 328--372 (2007; Zbl 1157.91017)
Barndorff-Nielsen, Ole E.; Schmiegel, Jürgen

Ambit processes; with applications to turbulence and tumour growth. (English) Zbl 1155.92020

Benth, Fred Espen (ed.) et al., Stochastic analysis and applications. The Abel symposium 2005. Proceedings of the second Abel symposium, Oslo, Norway, July 29 – August 4, 2005, held in honor of Kiyosi Itô. Berlin: Springer (ISBN 978-3-540-70846-9/hbk). Abel Symposia 2, 93-124 (2007).
Reviewer: R. E. Maiboroda (Kyïv)
MSC:  92C50 60G60 76F55
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\textit{O. E. Barndorff-Nielsen} and \textit{J. Schmiegel}, Abel Symp. 2, 93--124 (2007; Zbl 1155.92020)
Jensen, Eva B. Vedel; Jónsdóttir, Kristjana Ýr; Schmiegel, Jürgen; Barndorff-Nielsen, Ole E.

Spatio-temporal modelling – with a view to biological growth. (English) Zbl 1122.62080

Finkenstädt, Bärbel (ed.) et al., Statistical methods for spatio-temporal systems. Selected invited papers based on the presentations at the 6th séminaire Européen de statistique SemStat held as a summer school of the European Mathematical Society (EMS), Bernried, Germany, December 12–18, 2004. Boca Raton, FL: Chapman & Hall/CRC (ISBN 1-58488-593-9/hbk). Monographs on Statistics and Applied Probability 107, 47-75 (2007).
MSC:  62M30 60G55 60G51 62P10
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\textit{E. B. V. Jensen} et al., Monogr. Stat. Appl. Probab. 107, 47--75 (2007; Zbl 1122.62080)
Barndorff-Nielsen, Ole E.; Shephard, Neil

Multipower variation and stochastic volatility. (English) Zbl 1144.60314

Grosshinho, Maria do Rosário (ed.) et al., Stochastic finance. Selected papers based on the presentations at the international conference on stochastic finance 2004, Lisbon, Portugal, September 26–30, 2004. New York, NY: Springer (ISBN 0-387-28262-9/hbk). 73-82 (2006).
MSC:  60H30 91G70 60H10
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\textit{O. E. Barndorff-Nielsen} and \textit{N. Shephard}, in: Stochastic finance. Selected papers based on the presentations at the international conference on stochastic finance 2004, Lisbon, Portugal, September 26--30, 2004. New York, NY: Springer. 73--82 (2006; Zbl 1144.60314)
Barndorff-Nielsen, Ole E.; Thorbjørnsen, Steen

Classical and free infinite divisibility and Lévy processes. (English) Zbl 1130.81044

Schürmann, Michael (ed.) et al., Quantum independent increment processes. II: Structure of quantum Lévy processes, classical probability, and physics. Lectures given at the school ‘Quantum independent increment processes: Structure and applications to physics’, Greifswald, Germany, March 9–22, 2003. Berlin: Springer (ISBN 3-540-24407-7/pbk). Lecture Notes in Mathematics 1866, 33-159 (2006).
Reviewer: Michael Skeide (Campobasso)
MSC:  81S25 46L53 60G51 46L54 46L55
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\textit{O. E. Barndorff-Nielsen} and \textit{S. Thorbjørnsen}, Lect. Notes Math. 1866, 33--159 (2006; Zbl 1130.81044)
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Podolskij, Mark; Shephard, Neil

A central limit theorem for realised power and bipower variation of continuous semimartingales. (English) Zbl 1106.60037

Kabanov, Yuri (ed.) et al., From stochastic calculus to mathematical finance. The Shiryaev Festschrift. Allmost all papers based on the presentation at the second Bachelier colloquium on stochastic calculus and probability, Meatbief, France, January 9–15, 2005. Berlin: Springer (ISBN 3-540-30782-6/hbk). 33-68 (2006).
Reviewer: Kestutis Kubilius (Vilnius)
MSC:  60F17 60G44
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\textit{O. E. Barndorff-Nielsen} et al., in: From stochastic calculus to mathematical finance. The Shiryaev Festschrift. Almost all papers based on the presentation at the second Bachelier colloquium on stochastic calculus and probability, Meatbief, France, January 9--15, 2005. Berlin: Springer. 33--68 (2006; Zbl 1106.60037)
Barndorff-Nielsen, Ole E.; Shephard, Neil

How accurate is the asymptotic approximation to the distribution of realised variance? (English) Zbl 1121.62018

Andrews, Donald W. K. (ed.) et al., Identification and inference for econometric models. Essays in honor of Thomas Rothenberg. Cambridge: Cambridge University Press (ISBN 0-521-84441-X/hbk). 306-331 (2005).
MSC:  62E20 62P05
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\textit{O. E. Barndorff-Nielsen} and \textit{N. Shephard}, in: Identification and inference for econometric models. Essays in honor of Thomas Rothenberg. Cambridge: Cambridge University Press. 306--331 (2005; Zbl 1121.62018)
Barndorff-Nielsen, Ole Eiler

On some concepts of infinite divisibility and their roles in turbulence, finance and quantum stochastics. (English) Zbl 1270.60055

Davison, Anthony C. (ed.) et al., Celebrating statistics. Papers in honour of Sir David Cox on the occasion of his 80th birthday. Invited papers presented at the conference, Neuchâtel, Switzerland, July 14–17, 2004. Oxford: Oxford University Press (ISBN 0-19-856654-9/hbk). Oxford Statistical Science Series 33, 233-256 (2005).
MSC:  60G51 60E07 76F55 81S25
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\textit{O. E. Barndorff-Nielsen}, Oxf. Stat. Sci. Ser. 33, 233--256 (2005; Zbl 1270.60055)
Barndorff-Nielsen, Ole E.; Shephard, Neil

Econometric analysis of realized volatility and its use in estimating stochastic volatility models. (English) Zbl 1126.91357

Shephard, Neil (ed.), Stochastic volatility. Selected readings. Oxford: Oxford University Press (ISBN 0-19-925720-5/pbk; 0-19-925719-1/hbk). Advanced Texts in Econometrics, 480-514 (2005).
MSC:  91G70 62P20
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\textit{O. E. Barndorff-Nielsen} and \textit{N. Shephard}, in: Stochastic volatility. Selected readings. Oxford: Oxford University Press. 480--514 (2005; Zbl 1126.91357)
Barndorff-Nielsen, Ole E.; Nielsen, Bent; Shephard, Neil; Ysusi, Carla

Measuring and forecasting financial variability using realised variance. (English) Zbl 05280147

Harvey, Andrew (ed.) et al., State space and unobserved component models. Theory and applications. Selected papers from the conference, Amsterdam, The Netherlands, August 29 – September 3, 2002. Cambridge: Cambridge University Press. 205-235 (2004).
MSC:  62-XX
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\textit{O. E. Barndorff-Nielsen} et al., in: State space and unobserved component models. Theory and applications. Selected papers from the conference, Amsterdam, The Netherlands, August 29 -- September 3, 2002. Cambridge: Cambridge University Press. 205--235 (2004; Zbl 05280147)
Barndorff-Nielsen, O. E.; Schmiegel, J.

Lévy-based spatial-temporal modelling, with applications to turbulence. (English. Russian original) Zbl 1062.60039

Russ. Math. Surv. 59, No. 1, 65-90 (2004); translation from Usp. Mat. Nauk 59, No. 1, 63-90 (2004).
Reviewer: Aurel Spătaru (Bucureşti)
MSC:  60G35 76F55 62P05 91B28 60E07 60G51
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\textit{O. E. Barndorff-Nielsen} and \textit{J. Schmiegel}, Russ. Math. Surv. 59, No. 1, 65--90 (2003; Zbl 1062.60039); translation from Usp. Mat. Nauk 59, No. 1, 63--90 (2004)
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Barndorff-Nielsen, O. E.; Benth, F. E.; Jensen, J. L.

Light, atoms, and singularities. (English) Zbl 1031.60075

Dalang, Robert C. (ed.) et al., Seminar on stochastic analysis, random fields and applications III. Proceedings of the 3rd seminar, Ascona, Switzerland, September 20-24, 1999. Basel: Birkhäuser. Prog. Probab. 52, 1-18 (2002).
Reviewer: Nicolas Privault (La Rochelle)
MSC:  60J75 60K05 81V80 37N20
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\textit{O. E. Barndorff-Nielsen} et al., Prog. Probab. 52, 1--18 (2002; Zbl 1031.60075)
Barndorff-Nielsen, O. E.; Benth, F. E.

Laser cooling and stochastics. (English) Zbl 1371.82072

de Gunst, Mathisca (ed.) et al., State of the art in probability and statistics. Festschrift for Willem R. van Zwet. Papers from the symposium, Leiden, Netherlands, March 23–26, 1999. Beachwood, OH: IMS, Institute of Mathematical Statistics (ISBN 0-940600-50-1). IMS Lect. Notes, Monogr. Ser. 36, 50-71 (2001).
MSC:  82C31 81V80 60E07 60J25 60K05 78A60
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\textit{O. E. Barndorff-Nielsen} and \textit{F. E. Benth}, IMS Lect. Notes, Monogr. Ser. 36, 50--71 (2001; Zbl 1371.82072)
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