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Accepted

Han, Xiyue, and Alexander Schied. “The roughness exponent and its model-free estimation”. Annals of Applied Probability (Accepted). https://arxiv.org/abs/2111.10301.

Submitted

Han, Xiyue, and Alexander Schied. “Universal portfolios in continuous time: an approach in pathwise It\^o calculus”. In , Submitted. https://arxiv.org/abs/2504.11881.

Han, Xiyue, and Alexander Schied. “On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models” (Submitted). https://arxiv.org/abs/2504.09276.

Schied, Alexander, and Zhenyuan Zhang. “Sample Path Properties of the Fractional Wiener-–Weierstrass Bridge” (Submitted). https://arxiv.org/abs/2411.05204.

Han, Xiyue, and Alexander Schied. “Estimating the roughness exponent of stochastic volatility from discrete observations of the realized variance” (Submitted). http://arxiv.org/abs/2307.02582.

Han, Xiyue, and Alexander Schied. “Robust Faber–Schauder approximation based on discrete observations of an antiderivative” (Submitted). http://arxiv.org/abs/2211.11907.

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Contact

M3 3132

519-888-4567

aschied@uwaterloo.ca

University of Waterloo

University of Waterloo

43.471468

-80.544205

200 University Avenue West

Waterloo, ON, Canada N2L 3G1

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