{"id":"https://openalex.org/W1890880943","doi":"https://doi.org/10.1007/s00780-017-0335-5","title":"Hybrid scheme for Brownian semistationary processes","display_name":"Hybrid scheme for Brownian semistationary processes","publication_year":2017,"publication_date":"2017-06-28","ids":{"openalex":"https://openalex.org/W1890880943","doi":"https://doi.org/10.1007/s00780-017-0335-5","mag":"1890880943"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-017-0335-5","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00780-017-0335-5","pdf_url":"https://link.springer.com/content/pdf/10.1007%2Fs00780-017-0335-5.pdf","source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://link.springer.com/content/pdf/10.1007%2Fs00780-017-0335-5.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":null,"display_name":"Mikkel Bennedsen","orcid":null},"institutions":[{"id":"https://openalex.org/I3129642645","display_name":"Aarhus Business College","ror":"https://ror.org/05pvcyy59","country_code":"DK","type":"education","lineage":["https://openalex.org/I3129642645"]},{"id":"https://openalex.org/I204337017","display_name":"Aarhus University","ror":"https://ror.org/01aj84f44","country_code":"DK","type":"education","lineage":["https://openalex.org/I204337017"]}],"countries":["DK"],"is_corresponding":true,"raw_author_name":"Mikkel Bennedsen","raw_affiliation_strings":["CREATES, Aarhus University, Aarhus, Denmark","Department of Economics and Business Economics, Aarhus University, Fuglesangs All 4, 8210 Aarhus V, Denmark"],"affiliations":[{"raw_affiliation_string":"CREATES, Aarhus University, Aarhus, Denmark","institution_ids":["https://openalex.org/I204337017"]},{"raw_affiliation_string":"Department of Economics and Business Economics, Aarhus University, Fuglesangs All 4, 8210 Aarhus V, Denmark","institution_ids":["https://openalex.org/I204337017","https://openalex.org/I3129642645"]}]},{"author_position":"middle","author":{"id":null,"display_name":"Asger Lunde","orcid":null},"institutions":[{"id":"https://openalex.org/I3129642645","display_name":"Aarhus Business College","ror":"https://ror.org/05pvcyy59","country_code":"DK","type":"education","lineage":["https://openalex.org/I3129642645"]},{"id":"https://openalex.org/I204337017","display_name":"Aarhus University","ror":"https://ror.org/01aj84f44","country_code":"DK","type":"education","lineage":["https://openalex.org/I204337017"]}],"countries":["DK"],"is_corresponding":false,"raw_author_name":"Asger Lunde","raw_affiliation_strings":["CREATES, Aarhus University, Aarhus, Denmark","Department of Economics and Business Economics, Aarhus University, Fuglesangs All 4, 8210 Aarhus V, Denmark"],"affiliations":[{"raw_affiliation_string":"CREATES, Aarhus University, Aarhus, Denmark","institution_ids":["https://openalex.org/I204337017"]},{"raw_affiliation_string":"Department of Economics and Business Economics, Aarhus University, Fuglesangs All 4, 8210 Aarhus V, Denmark","institution_ids":["https://openalex.org/I204337017","https://openalex.org/I3129642645"]}]},{"author_position":"last","author":{"id":null,"display_name":"Mikko S. Pakkanen","orcid":null},"institutions":[{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]},{"id":"https://openalex.org/I204337017","display_name":"Aarhus University","ror":"https://ror.org/01aj84f44","country_code":"DK","type":"education","lineage":["https://openalex.org/I204337017"]}],"countries":["DK","GB"],"is_corresponding":false,"raw_author_name":"Mikko S. Pakkanen","raw_affiliation_strings":["CREATES, Aarhus University, Aarhus, Denmark","Department of Mathematics, Imperial College London, South Kensington Campus, London SW7 2AZ, UK"],"affiliations":[{"raw_affiliation_string":"CREATES, Aarhus University, Aarhus, Denmark","institution_ids":["https://openalex.org/I204337017"]},{"raw_affiliation_string":"Department of Mathematics, Imperial College London, South Kensington Campus, London SW7 2AZ, UK","institution_ids":["https://openalex.org/I47508984"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I204337017","https://openalex.org/I3129642645"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":{"value":2290,"currency":"EUR","value_usd":2890},"fwci":15.23,"has_fulltext":true,"cited_by_count":100,"citation_normalized_percentile":{"value":0.99026862,"is_in_top_1_percent":true,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":100},"biblio":{"volume":"21","issue":"4","first_page":"931","last_page":"965"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.6883000135421753,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.6883000135421753,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12404","display_name":"Mathematical Approximation and Integration","score":0.15539999306201935,"subfield":{"id":"https://openalex.org/subfields/2612","display_name":"Numerical Analysis"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.03889999911189079,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/discretization","display_name":"Discretization","score":0.5853000283241272},{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.5490999817848206},{"id":"https://openalex.org/keywords/brownian-motion","display_name":"Brownian motion","score":0.4918999969959259},{"id":"https://openalex.org/keywords/estimator","display_name":"Estimator","score":0.47360000014305115},{"id":"https://openalex.org/keywords/kernel","display_name":"Kernel (algebra)","score":0.4677000045776367},{"id":"https://openalex.org/keywords/riemann-sum","display_name":"Riemann sum","score":0.45100000500679016},{"id":"https://openalex.org/keywords/stochastic-process","display_name":"Stochastic process","score":0.38530001044273376},{"id":"https://openalex.org/keywords/wiener-process","display_name":"Wiener process","score":0.37610000371932983},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.37290000915527344}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7067999839782715},{"id":"https://openalex.org/C73000952","wikidata":"https://www.wikidata.org/wiki/Q17007827","display_name":"Discretization","level":2,"score":0.5853000283241272},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.578499972820282},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.5490999817848206},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.4918999969959259},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.47360000014305115},{"id":"https://openalex.org/C74193536","wikidata":"https://www.wikidata.org/wiki/Q574844","display_name":"Kernel (algebra)","level":2,"score":0.4677000045776367},{"id":"https://openalex.org/C189903471","wikidata":"https://www.wikidata.org/wiki/Q1156903","display_name":"Riemann sum","level":4,"score":0.45100000500679016},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.38530001044273376},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.383899986743927},{"id":"https://openalex.org/C60391097","wikidata":"https://www.wikidata.org/wiki/Q1056809","display_name":"Wiener process","level":2,"score":0.37610000371932983},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.37290000915527344},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.3659000098705292},{"id":"https://openalex.org/C31634936","wikidata":"https://www.wikidata.org/wiki/Q1757587","display_name":"Ornstein\u2013Uhlenbeck process","level":3,"score":0.36579999327659607},{"id":"https://openalex.org/C68710425","wikidata":"https://www.wikidata.org/wiki/Q5275442","display_name":"Diffusion process","level":3,"score":0.36160001158714294},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.3601999878883362},{"id":"https://openalex.org/C78651780","wikidata":"https://www.wikidata.org/wiki/Q628309","display_name":"Brownian bridge","level":3,"score":0.3578999936580658},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.35690000653266907},{"id":"https://openalex.org/C61326573","wikidata":"https://www.wikidata.org/wiki/Q1496376","display_name":"Gaussian process","level":3,"score":0.3337000012397766},{"id":"https://openalex.org/C53920899","wikidata":"https://www.wikidata.org/wiki/Q4976524","display_name":"Brownian excursion","level":5,"score":0.32510000467300415},{"id":"https://openalex.org/C98458673","wikidata":"https://www.wikidata.org/wiki/Q917657","display_name":"Step function","level":2,"score":0.32179999351501465},{"id":"https://openalex.org/C2776359362","wikidata":"https://www.wikidata.org/wiki/Q2145286","display_name":"Representation (politics)","level":3,"score":0.31209999322891235},{"id":"https://openalex.org/C2779664328","wikidata":"https://www.wikidata.org/wiki/Q6311158","display_name":"Jump diffusion","level":3,"score":0.2849999964237213},{"id":"https://openalex.org/C20538924","wikidata":"https://www.wikidata.org/wiki/Q822139","display_name":"Characteristic function (probability theory)","level":3,"score":0.27720001339912415},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.27630001306533813},{"id":"https://openalex.org/C139945424","wikidata":"https://www.wikidata.org/wiki/Q1940696","display_name":"Mean squared error","level":2,"score":0.2628999948501587},{"id":"https://openalex.org/C122280245","wikidata":"https://www.wikidata.org/wiki/Q620622","display_name":"Kernel method","level":3,"score":0.2599000036716461}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1007/s00780-017-0335-5","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00780-017-0335-5","pdf_url":"https://link.springer.com/content/pdf/10.1007%2Fs00780-017-0335-5.pdf","source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1507.03004","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1507.03004","pdf_url":"https://arxiv.org/pdf/1507.03004","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"pmh:oai:pure.atira.dk:openaire/5220617b-43f9-4ed2-b394-724c77f2a663","is_oa":true,"landing_page_url":"https://pure.au.dk/portal/en/publications/5220617b-43f9-4ed2-b394-724c77f2a663","pdf_url":"https://pure.au.dk/ws/files/135819738/Bennedsen2017_Article_HybridSchemeForBrownianSemista.pdf","source":null,"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Bennedsen, M, Lunde, A & Pakkanen, M S 2017, 'Hybrid scheme for Brownian semistationary processes', Finance and Stochastics, vol. 21, no. 4, pp. 931-965. https://doi.org/10.1007/s00780-017-0335-5","raw_type":"info:eu-repo/semantics/publishedVersion"},{"id":"pmh:oai:RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0335-5","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s00780-017-0335-5","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:spiral.imperial.ac.uk:10044/1/46133","is_oa":true,"landing_page_url":"http://hdl.handle.net/10044/1/46133","pdf_url":null,"source":{"id":"https://openalex.org/S4306401396","display_name":"Spiral (Imperial College London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I47508984","host_organization_name":"Imperial College London","host_organization_lineage":["https://openalex.org/I47508984"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"965","raw_type":"Journal Article"}],"best_oa_location":{"id":"doi:10.1007/s00780-017-0335-5","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00780-017-0335-5","pdf_url":"https://link.springer.com/content/pdf/10.1007%2Fs00780-017-0335-5.pdf","source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G320081715","display_name":null,"funder_award_id":"DNRF78","funder_id":"https://openalex.org/F4320320671","funder_display_name":"National Research Foundation"},{"id":"https://openalex.org/G3578442052","display_name":null,"funder_award_id":"DNRF78","funder_id":"https://openalex.org/F4320320943","funder_display_name":"Danmarks Grundforskningsfond"},{"id":"https://openalex.org/G3614631620","display_name":null,"funder_award_id":"258042","funder_id":"https://openalex.org/F4320321108","funder_display_name":"Academy of Finland"},{"id":"https://openalex.org/G4119732259","display_name":null,"funder_award_id":"DNRF78","funder_id":"https://openalex.org/F4320321446","funder_display_name":"Aarhus Universitets Forskningsfond"},{"id":"https://openalex.org/G5352455023","display_name":null,"funder_award_id":"CREATES (DNRF78)","funder_id":"https://openalex.org/F4320320943","funder_display_name":"Danmarks Grundforskningsfond"}],"funders":[{"id":"https://openalex.org/F4320309928","display_name":"Aarhus Universitet","ror":"https://ror.org/01aj84f44"},{"id":"https://openalex.org/F4320320671","display_name":"National Research Foundation","ror":"https://ror.org/05s0g1g46"},{"id":"https://openalex.org/F4320320943","display_name":"Danmarks Grundforskningsfond","ror":"https://ror.org/00znyv691"},{"id":"https://openalex.org/F4320321108","display_name":"Academy of Finland","ror":"https://ror.org/05k73zm37"},{"id":"https://openalex.org/F4320321446","display_name":"Aarhus Universitets Forskningsfond","ror":"https://ror.org/01aj84f44"}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W1890880943.pdf","grobid_xml":"https://content.openalex.org/works/W1890880943.grobid-xml"},"referenced_works_count":17,"referenced_works":["https://openalex.org/W588973965","https://openalex.org/W1502367340","https://openalex.org/W1967727656","https://openalex.org/W1996007769","https://openalex.org/W1997472547","https://openalex.org/W2064401329","https://openalex.org/W2097372498","https://openalex.org/W2109082027","https://openalex.org/W2110881271","https://openalex.org/W2189004786","https://openalex.org/W2346457194","https://openalex.org/W2789158122","https://openalex.org/W3021131124","https://openalex.org/W3106013558","https://openalex.org/W3126101466","https://openalex.org/W4211042066","https://openalex.org/W4292027056"],"related_works":[],"abstract_inverted_index":{"We":[0,25,135],"introduce":[1],"a":[2,52,59,70,80,90,117,161],"simulation":[3],"scheme":[4,44,114,142],"for":[5],"Brownian":[6,162],"semistationary":[7,163],"processes,":[8],"which":[9,83],"is":[10,34,45,69,84],"based":[11],"on":[12],"discretizing":[13],"the":[14,19,22,28,32,43,48,67,76,98,101,106,113,124,131,137,140,150,157,172],"stochastic":[15],"integral":[16],"representation":[17],"of":[18,31,42,66,72,75,100,105,120,139,153,156,160,176],"process":[20,33,68,164],"in":[21,171],"time":[23],"domain.":[24],"assume":[26],"that":[27,112],"kernel":[29,49],"function":[30,50,54,61,78],"regularly":[35],"varying":[36],"at":[37],"zero.":[38],"The":[39,63],"novel":[40],"feature":[41],"to":[46,116,123],"approximate":[47],"by":[51,58,143],"power":[53,77],"near":[55],"zero":[56],"and":[57,79,109,165],"step":[60],"elsewhere.":[62],"resulting":[64],"approximation":[65],"combination":[71],"Wiener":[73],"integrals":[74],"Riemann":[81],"sum,":[82],"why":[85],"we":[86,110,148],"call":[87],"this":[88],"method":[89],"hybrid":[91,107,141],"scheme.":[92],"Our":[93],"main":[94],"theoretical":[95],"result":[96],"describes":[97],"asymptotics":[99],"mean":[102],"square":[103],"error":[104],"scheme,":[108,128],"observe":[111],"leads":[115],"substantial":[118],"improvement":[119],"accuracy":[121],"compared":[122],"ordinary":[125],"forward":[126],"Riemann-sum":[127],"while":[129],"having":[130],"same":[132],"computational":[133],"complexity.":[134],"exemplify":[136],"use":[138],"two":[144],"numerical":[145],"experiments,":[146],"where":[147],"examine":[149],"finite-sample":[151],"properties":[152],"an":[154],"estimator":[155],"roughness":[158],"parameter":[159],"study":[166],"Monte":[167],"Carlo":[168],"option":[169],"pricing":[170],"rough":[173],"Bergomi":[174],"model":[175],"Bayer":[177],"et":[178],"al.":[179],"(Quant.":[180]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":12},{"year":2024,"cited_by_count":6},{"year":2023,"cited_by_count":12},{"year":2022,"cited_by_count":10},{"year":2021,"cited_by_count":13},{"year":2020,"cited_by_count":13},{"year":2019,"cited_by_count":14},{"year":2018,"cited_by_count":13},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":1}],"updated_date":"2026-03-20T23:20:44.827607","created_date":"2016-06-24T00:00:00"}
