Orimar Sauri
Orimar Sauri Assistant Professor at the Department of Mathematical Sciences at Aalborg University. He holds a PhD from Aarhus University (2015).
His main research area is within probability theory and its applications to mathematical finance and econometrics. He is particularly interested in the topics of Lévy processes and infinite divisibility, high frequency econometrics, option pricing, Malliavin Calculus, stochastic analysis, ambit stochastics and turbulence.
Sauri, O. (2020). On the divergence and vorticity of vector ambit fields. Stochastic Processes and Their Applications, 130(10), 6184-6225. https://doi.org/10.1016/j.spa.2020.05.007
Sauri, O. & Veraart, A. (2017). On the class of distributions of subordinated Lévy processes and bases. Stochastic Processes and Their Applications, 127(2), 475-496. https://doi.org/10.1016/j.spa.2016.06.015
Boudt, K., Laurent, S., Lunde, A., Quaedvlieg, R. & Sauri, O. (2017). Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. Journal of Econometrics, 196(2), 347–367. https://doi.org/10.1016/j.jeconom.2016.09.016
Barndorff-Nielsen, O. E., Sauri, O. & Szozda, B. (2017). Selfdecomposable fields. Journal of Theoretical Probability, 30(1), 233-267. https://doi.org/10.1007/s10959-015-0630-z
Sauri, O. (2015). Lévy Semistationary Models with Applications in Energy Markets. Institut for Økonomi, Aarhus Universitet. Ph.D. Theses Vol. 2015-18
Pedersen, J. & Sauri, O. (2015). On Lévy semistationary processes with a gamma kernel. In R. H. Mena, J. C. Pardo, V. Rivero & G. U. Bravo (Eds.), XI Symposium of Probability and Stochastic Processes: CIMAT, Mexico, November 18-22, 2013 (pp. 217-239). Springer. https://doi.org/10.1007/978-3-319-13984-5_11
Barndorff-Nielsen, O. E., Sauri, O. & Szozda, B. (2015). Selfdecomposable Fields. arXiv.org. http://arxiv.org/abs/1502.01520
Barndorff-Nielsen, O. E., Sauri, O. & Szozda, B. (2015). Selfdecomposable Fields. T.N. Thiele Centre, Department of Mathematics, Aarhus University. Thiele Research Reports No. 02 http://math.au.dk/publs?publid=1035
