Martin Larsson

Finance · 2012–2020

A researcher in the Science corpus: 5 papers; trusts 16 researchers and is trusted by 6 researchers here, as inferred from the citation graph.

Subfields

• Finance — 62 citations into it; #5,519 of 10,518 by trust here, #6,960 by citations
• Economics and Econometrics — 28 citations into it
• Applied Mathematics — 15 citations into it
• Statistics and Probability — 12 citations into it; #11,019 of 12,932 by trust here, #11,487 by citations
• Control and Systems Engineering — 6 citations into it
• Mathematical Physics — 6 citations into it
• Modeling and Simulation — 6 citations into it
• Molecular Biology — 5 citations into it

Whom Martin Larsson trusts overall

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

1. M. Abend
2. Thibault Jaisson
3. Jim Gatheral
4. Sidney I. Resnick
5. Gennady Samorodnitsky
6. Mathieu Rosenbaum
7. Esko Valkeila
8. J. Scargle
9. Christian Bayer
10. Christa Cuchiero

Who trusts Martin Larsson overall

1. Eduardo Abi Jaber
2. Christa Cuchiero
3. Omar El Euch
4. Ian Waudby-Smith

Papers from Martin Larsson's perspective

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

1. Volatility is rough
2. Pricing under rough volatility
3. The characteristic function of rough Heston models
4. Limit theorems for nearly unstable Hawkes processes
5. An Introduction To The Theory Of Point Processes
6. Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
7. Review: P. Billingsley, Convergence of probability measures
8. Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case
9. Affine Volterra processes (The Annals of Applied Probability)
10. Lévy driven moving averages and semimartingales

Their papers

• Admissible anytime-valid sequential inference must rely on nonnegative martingales. (2020) — 150 citations
• A weak solution theory for stochastic Volterra equations of convolution type (2019) — 54 citations
• Linear-Rational Term Structure Models: Linear-Rational Term Structure Models (2017) — 51 citations
• Affine Volterra processes (2017) — 184 citations
• Extremal dependence measure and extremogram: the regularly varying case (2012) — 51 citations