Malliavin-Mancino Estimators Implemented with Nonuniform Fast Fourier Transforms. - Patrick Chang; Etienne Pienaar; Tim Gebbie (SIAM J. Sci. Comput., 2020)

Simulation and estimation of an agent-based market-model with a matching engine. - Ivan Jericevich; Patrick Chang; Tim Gebbie (CoRR, 2021)