Research Interests

• Lévy processes and infinite divisibility.

• Stochastic volatility models.

• Rough Volatility.

• Stochastic Differential Equations.

• High-frequency econometrics. 

• Limit theorems for stochastic processes and fields.

• Option pricing.

• Stochastic analysis.

• Statistics of stochastic processes.

• Ambit stochastics.

• Spatio-Temporal random fields.

Publications

Working Papers

1. O. Sauri, 2024. Asymptotic Error Distribution of the Euler Scheme for Fractional Stochastic Delay Differential Equations with Additive Noise. Available online.

2. E. Høg, J. Jung, O. Sauri and T. Zinn, 2023. A Mathematical Framework for the Microstructure of Financial Markets. Available online.

3. U. Marquéz-Urbina and O. Sauri, 2023. Local Limit Theorems for Energy Fluxes of Infinite Divisible Random Fields. Available online.

4. O. Sauri and A.E.D. Veraart, 2022. Nonparametric estimation of trawl processes: Theory and Applications.  Available online.

5. O. Sauri and T. Zinn, 2020. Estimating the Copula of a class of Time-Changed Brownian Motions: A non-parametric Approach.  Available online.

Peer-reviewed

1. K. Boudt, K. Dragun, O. Sauri and S. Vanduffel, 2022.  ETF Basket-Adjusted Covariance Estimation.  Journal of Econometrics.  Available online.

2. M. Pakkanen, R. Passeggeri, O. Sauri and A.E.D. Veraart, 2021. Limit Theorems for Trawl Processes. Electron. J. Probab. 26, pp. 1-36. Available online.

3. O. Sauri, 2020. On the Divergence and Vorticity of Vector Ambit Fields. Stochastic Processes and their Applications Volume 130, Issue 10, pp. 6184-6225.  Available online.

4. O. Sauri, 2020. Invertibility of infinitely divisible continuous-time moving average processes. In: López S.I., Rivero V.M., Rocha-Arteaga A., Siri-Jégousse A. (eds) XIII Symposium on Probability and Stochastic Processes. Progress in Probability, vol 75. Birkhauser, Cham.  Available online.

5. O. Sauri, 2019. Pathwise decompositions of Brownian semistationary processes. Theory of Probability & Its Applications, Volume 64, Issue 1, pp. 78-102.  Available online.

6. O. Sauri and A.E.D. Veraart, 2017. On the class of distributions of subordinated Lévy processes and bases. Stochastic Processes and their Applications Volume 127, Issue 2, pp. 475–496. Available online.

7. K. Boudt, K., S. Laurent, A. Lunde, R. Quaedvlieg, and O. Sauri,  2017. Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity. Journal of Econometrics Volume 196, Issue 2, pp. 347–367. Available online.

8. O.E. Barndorff-Nielsen, O. Sauri, and B. Szozda, 2017. Selfdecomposable fields. Journal of Theoretical Probability Volume 30, Issue 1, pp. 233–267. Available online.

9. J. Pedersen and O. Sauri, 2015. On Lévy semistationary processes with a gamma kernel. In XI Symposium on Probability and Stochastic Processes, Volume 69 of Progress in Probability, pp. 217–239. Springer International Publishing.  Available online.

Perpetual working papers

1.  S. Kanaya, A. Lunde, and O. Sauri (2015). Nonparametric estimation of kernel functions of Brownian semistationary processes with an application to electricity markets.  Available online.

NB: If you are interested on doing a Ph D on a topic related to my research interests, do not hesitate to contact me.