Frederi G. Viens

Finance · 2003–2018

A researcher in the Science corpus: 14 papers; trusts 59 researchers and is trusted by 19 researchers here, as inferred from the citation graph.

Subfields

• Finance — 113 citations into it; #1,766 of 10,518 by trust here, #1,924 by citations
• Economics and Econometrics — 53 citations into it; #4,501 of 23,481 by trust here, #6,687 by citations
• Management Science and Operations Research — 27 citations into it
• Mathematical Physics — 25 citations into it; #7,078 of 8,562 by trust here, #3,664 by citations
• Demography — 21 citations into it; #3,317 of 4,236 by trust here, #2,065 by citations
• Statistics and Probability — 21 citations into it; #7,652 of 12,932 by trust here, #9,714 by citations
• Applied Mathematics — 8 citations into it; #4,538 of 7,620 by trust here, #5,443 by citations

Whom Frederi G. Viens trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. David Nualart
2. Ivan Nourdin
3. Ciprian A. Tudor
4. Giovanni Peccati
5. Rama Cont
6. Patrick Cheridito
7. Yaozhong Hu
8. Ibrahim Ekren
9. Bruno Dupire
10. Marina L. Kleptsyna

Who trusts Frederi G. Viens overall

1. Ivan Nourdin
2. Alexandra Chronopoulou
3. T. T. Diu Tran
4. Ciprian A. Tudor
5. Mohamed El Machkouri
6. Khalifa Es-Sebaiy
7. Victor Chernozhukov
8. Yaozhong Hu
9. Andreas Neuenkirch
10. Jianfeng Zhang

Papers from Frederi G. Viens's perspective

Ordered by how strongly the researchers Frederi G. Viens trusts endorse each paper. Same corpus, a different order for every researcher.

1. Central limit theorems for multiple stochastic integrals and Malliavin calculus
2. Integration questions related to fractional Brownian motion
3. The Malliavin Calculus and Related Topics
4. Stein’s method on Wiener chaos
5. Renormalized self-intersection local time for fractional Brownian motion
6. Tanaka formula for the fractional Brownian motion
7. Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process
8. Parameter estimation for fractional Ornstein–Uhlenbeck processes
9. Arbitrage with fractional Brownian motion
10. Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter H∈(0,12)

Their papers

• Density Formula and Concentration Inequalities with Malliavin Calculus (2009) — 130 citations
• Variations and estimators for selfsimilarity parameters via Malliavin calculus (2009) — 94 citations
• Statistical aspects of the fractional stochastic calculus (2006) — 172 citations
• Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013) — 158 citations
• Skorohod integration and stochastic calculus beyond the fractional Brownian scale (2005) — 59 citations
• Variations and Hurst index estimation for a Rosenblatt process using longer filters (2009) — 51 citations
• Estimation and pricing under long-memory stochastic volatility (2012) — 116 citations
• Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes (2008) — 49 citations
• Parameter estimation for a partially observed Ornstein–Uhlenbeck process with long-memory noise (2015) — 48 citations
• Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing (2018) — 52 citations
• A martingale approach for fractional Brownian motions and related path dependent PDEs (2017) — 51 citations
• Optimal rates for parameter estimation of stationary Gaussian processes (2016) — 49 citations
• Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree (2008) — 67 citations
• Stochastic evolution equations with fractional Brownian motion (2003) — 257 citations