Efficient computation of the likelihood expansions for diffusion models

A Distributed Procedure for Computing Stochastic Expansions withMathematica

(2015) Christophe Ladroue et al.   Journal of Statistical Software

Maximum-likelihood estimation for diffusion processes via closed-form density expansions

(2013) Chenxu Li   ANNALS OF STATISTICS

The delta expansion for the transition density of diffusion models

(2013) Yoon Dong Lee et al.   JOURNAL OF ECONOMETRICS

Closed-Form Expansion, Conditional Expectation, and Option Valuation

(2013) Chenxu Li   MATHEMATICS OF OPERATIONS RESEARCH

Parameter estimation for rough differential equations

(2011) Anastasia Papavasiliou et al.   ANNALS OF STATISTICS

Closed-form likelihood expansions for multivariate diffusions

(2008) Yacine Aït-Sahalia   ANNALS OF STATISTICS

Multiple stochastic integrals with Mathematica

(2008) A. Tocino   MATHEMATICS AND COMPUTERS IN SIMULATION