Alexandra Chronopoulou

Research Interests

• Malliavin Calculus
• fractional Brownian motion
• Inference for Stochastic Processes
• Mathematical Finance

Papers

• Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes. Submitted, 2008. 36 pages. With C. Tudor, F.G. Viens pdf

Conference Talks

• Self-similarity/Memory-length parameter estimation for non-Gaussian Hermite processes via chaos expansion, Chaotic Modeling and Simulation International Conference (CHAOS 2008), Chania, Crete (Greece), June 2008.
• Hurst Index Estimation via chaos expansion for Hermite proceses, Second Graduate Student Conference in Probability, University of Wisconsin-Madison, May 2008.

Meetings Attended

• Conference on Malliavin calculus and its applications, Kent State University, August 2008.
• Stochastic analysis and applications conference, Princeton University, June 2008.
• Sixth Seminar on stochastic analysis, random fields and applications, Centro Stefano Francini (ETH), Ascona (Switzerland), May 2008 (Poster presentation).
• First Midwest Statistics Research Colloquim, University of Chicago, March 2008 (Poster presentation).
• Kent-Purdue Minisymposium on Financial Mathematics, Kent State University, April 2007.
• Seminar in Stochastic Methods in Finance, Statistics Department, Athens University of Economics and Business, Summer 2005.