Statistik-Gruppe Institut für Angewandte Mathematik Fakultät für Mathematik Universität Heidelberg
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Ruprecht Karls Universität Heidelberg
Institute for Applied Mathematics
Statistics Group

Nicolae Surulescu

Research Interests

Continuous Time Series Analysis
Stochastic Differential Equations
Stochastic Volatility Modeling
Optimization. Convexity. Inequalities
Stochastic Geometry

Papers and preprints

  • N. Surulescu:  Univariate Mean-Reverting Stochastic Volatility Models  Constructed with CAR type Processes (in preparation)

    •  
  •  J. Kampen, N. Surulescu :  Volatility estimation for multivariate

    • continuous models, (in preparation).
  • J. Kampen and N. Surulescu :  On asymptotic pricing of securities in a multivariate extension of Scotts stochastic volatility model,

    • IWR/SFB-Preprint, 19/2003.  preprint
  •  N. Surulescu :  On some sequences derived from Poisson distribution,

    • Acta Mathematica Academiae Paedagogicae Nyiregyhaziensis,
     Vol. 18, No. 1, pp. 7-12 (2002) .
     
  • N. Surulescu :  Succesive Approximations to Solutions, Global Existence and Uniqueness for Ito Stochastic Differential Equations, Analele Univ. din Timisoara, vol. XXXIV, fasc 2 (1996), p. 271-281.


Contact Details

Institut für Angewandte Mathematik 
Universität Heidelberg
Im Neuenheimer Feld 294
D-69120 Heidelberg 
Email: nicolae.surulescu@iwr.uni-heidelberg.de
Phone: +49 (0) 6221 54 61 17
Fax: +49 (0) 6221 54 53 31