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2019
1 Harang, Fabian Andsem; Lagunas, Marc; Ortiz-Latorre, Salvador.
Self-Exciting Multifractional Processes. arXiv.org 2019
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2 Lagunas Merino, Marc; Harang, Fabian Andsem; Ortiz-Latorre, Salvador.
Self-Exciting Multifractional Processes (SEM) Processes. Conference in Stochastic Analysis and Applications; 2019-08-25 - 2019-08-30
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3 Ortiz-Latorre, Salvador; Crisan, Dan.
High order discretizations to the nonlinear filtering problem. Conference in Stochastic Analysis and Applications; 2019-08-26 - 2019-08-30
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2017
4 Baños, David Ruiz; Ortiz-Latorre, Salvador; Pilipenko, Andrey; Proske, Frank Norbert.
Strong solutions of d-dimensional SDE's with generalized drift and fractional Brownian initial noise. arXiv.org 2017
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5 Baños, David Ruiz; Ortiz-Latorre, Salvador; Pilipenko, Andrey; Proske, Frank Norbert.
Strong solutions of SDE's with generalized drift and multidimensional fractional Brownian initial noise. FINEWSTOCH Networkshop II; 2017-11-08 - 2017-11-09
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6 Benth, Fred Espen; Ortiz-Latorre, Salvador.
Calibration of temperature futures by changing the mean reversion. Journal of Energy Markets 2017 ;Volum 10.(1) s. 1-25
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7 Crisan, Dan; Ortiz-Latorre, Salvador.
A high order time discretization of the solution of the non-linear filtering problem. arXiv.org 2017
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8 Ortiz-Latorre, Salvador.
A new pricing measure in the Barndorff-Nielsen?Shephard model for commodity markets. Trends in Mathematics 2017 ;Volum 6. s. 133-139
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2016
9 Ortiz-Latorre, Salvador.
A new pricing measure in the Barndorff-Nielsen & Shephard model for commodity markets. Vienna Congress on Mathematical Finance 2016-Vi­enna Uni­versity of Eco­nom­ics and Busi­ness; 2016-09-12 - 2016-09-14
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10 Ortiz-Latorre, Salvador.
A second order approximation of the continuous time filtering problem. Barcelona Probability Seminar-Universitat de Barcelona; 2016-04-06 - 2016-04-06
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11 Ortiz-Latorre, Salvador.
High Order Discretizations to the Stochastic Filtering Problem. SAMSA 2016-University of Pretoria; 2016-11-21 - 2016-11-24
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12 Ortiz-Latorre, Salvador.
High Order Weak Approximation of SDEs. Application to the Nonlinear Filtering Problem. Stochastic Analysis and Risk Seminar-University of Oslo; 2016-02-08 - 2016-02-08
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2015
13 Benth, Fred Espen; Ortiz-Latorre, Salvador.
A change of measure preserving the affine structure in the Barndorff-Nielsen and Shephard model for commodity markets. International Journal of Theoretical and Applied Finance 2015 ;Volum 18.(6) s. -
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14 Ortiz-Latorre, Salvador.
A change of measure preserving the affine structure in the BNS model for commodity markets. Workshop on Tempo-Spatial Stochastic Processes and Stochastic Volatility-Imperial College London; 2015-02-23 - 2015-02-24
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15 Ortiz-Latorre, Salvador.
A new flexible pricing measure in the Barndorff-Nielsen & Shephard model for commodity markets. Second Conference on Environmental and Financial Economics-Centre for Advanced Study, Norwegian Academy of Science and Letters; 2015-04-20 - 2015-04-24
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16 Ortiz-Latorre, Salvador.
A new pricing measure in the Barndorff-Nielsen & Shephard model for commodity markets. Interdisciplinary Workshop on Quantitative Finance-Centre de Recerca Matemàtica, UAB; 2015-06-25 - 2015-06-26
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17 Ortiz-Latorre, Salvador.
A Pricing measure for non-tradable assets with mean-reverting dynamics. General AMaMeF and Swissquote Conference-EPLF; 2015-09-07 - 2015-09-10
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2014
18 Kohatsu-Higa, Arturo; Ortiz-Latorre, Salvador; Tankov, Peter.
Optimal simulation schemes for Lévy driven stochastic differential equations. Mathematics of Computation 2014 ;Volum 83.(289) s. 2293-2324
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19 Benth, Fred Espen; Ortiz-Latorre, Salvador.
A pricing measure to explain the risk premium in power markets. SIAM Journal on Financial Mathematics 2014 ;Volum 5. s. 685-728
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20 Ortiz-Latorre, Salvador.
On a new pricing measure in electricity and commodity markets. Mini-Workshop on Random Fields in Weather and Energy Finance-Wolfgang Pauli Institute; 2014-04-07 - 2014-04-08
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21 Ortiz-Latorre, Salvador.
Speeding up and slowing down in the risk neutral world. A new flexible pricing measure for mean reverting models. Workshop on Risk in the Energy Markets-Centre for Advanced Study, Norwegian Academy of Science and Letters; 2014-08-27 - 2014-08-28
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2013
22 Ortiz Latorre, Salvador.
A pricing measure to explain risk premium in power markets. Energy Finance 2013-Universitat Duissburg-Essen; 2013-10-09 - 2013-10-11
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23 Ortiz Latorre, Salvador.
A second order approximation to the continuous time filtering problem. AHOI Workshop on Ambit Stochastics and Applications at Imperial College London-Imperial College London; 2013-03-25 - 2013-03-27
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24 Ortiz Latorre, Salvador.
Stochastic modeling of electricity markets. 2º Congreso de Jovenes Investigadores RSME-Real Sociedad Matematica Española, Universidad de Sevilla; 2013-09-16 - 2013-09-20
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25 Ortiz-Latorre, Salvador.
A pricing measure to explain the risk premium in power markets. Two-day Workshop on Finance and Stochastics-Universitat de Barcelona; 2013-11-26 - 2013-11-27
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26 Crisan, Dan; Ortiz-Latorre, Salvador.
A Kusuoka-Lyons-Victoir particle filter. Proceedings of the Royal Society. Mathematical, Physical and Engineering Sciences 2013 ;Volum 469.(2156) s. -
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27 Ortiz-Latorre, Salvador.
A second order approximation of the continuous time filtering problem. AHOI Workshop on Ambit Stochastics and Applications-Imperial College London; 2013-03-25 - 2013-05-27
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2012
28 Ortiz-Latorre, Salvador.
A second order approximation of the continuous time filtering problem. Stochastic Analysis and Risk Seminar-University of Oslo; 2012-12-11 - 2012-12-11
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29 Ortiz-Latorre, Salvador.
A new approximation algorithm to solve the filtering problem combining Cubature and TBBA. Stochastic Analysis Seminar-Oxford-Man Institute of Quantitative Finance; 2012-02-20 - 2012-02-20
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30 Ortiz-Latorre, Salvador.
A second order approximation of the continuous time filtering problem. Data Assimilation-Oxford-Man Institute of Quantitative Finance; 2012-09-24 - 2012-09-28
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31 Ortiz-Latorre, Salvador.
Optimal simulation schemes for Lévy driven SDEs. Young Researchers' Meeting on BSDEs, Numerics and Finance-Oxford-Man Institute of Quantitative Finance; 2012-07-02 - 2012-07-04
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32 Ortiz-Latorre, Salvador.
Optimal simulation schemes for Lévy driven SDEs. AHOI Kick-off meeting-Aarhus University; 2012-03-26 - 2012-03-27
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2011
33 Kohatsu-Higa, Arturo; Ortiz-Latorre, Salvador.
Modelling of financial markets with inside information in continuous time. Stochastics and Dynamics 2011 ;Volum 11.(2-3)
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34 Nualart, David; Ortiz-Latorre, Salvador.
Multidimensional Wick–Itô Formula for Gaussian Processes. I: Stochastic Analysis, Stochastic Systems, and Applications to Finance. World Scientific 2011 ISBN 978-981-4355-70-4. s. 3-26
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35 Ortiz-Latorre, Salvador.
A new approximation algorithm to solve the filtering problem combining Cubature and TBBA. The Second Workshop on Numerical Methods for Solving the Filtering Problem and High Order Methods for Solving Parabolic PDEs-Imperial College London; 2011-09-26 - 2011-09-28
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36 Ortiz-Latorre, Salvador.
Weak convergence of nonlinear functionals of Gaussian processes and Malliavin calculus. Stochastic Analysis Seminar-Imperial College London; 2011-01-25 - 2011-01-25
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37 Ortiz-Latorre, Salvador.
Weak Kyle-Back equilibrium models. Stochastic Analysis Seminar-CMAP Ecole Polytechnique; 2011-05-23 - 2011-05-23
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38 Ortiz-Latorre, Salvador.
Weak Kyle-Back equilibrium models. International Conference on Malliavin Calculus and Stochastic Analysis-University of Kansas; 2011-03-19 - 2011-03-21
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2010
39 Kohatsu-Higa, Arturo; Ortiz-Latorre, Salvador.
Weak Kyle-Back equilibrium models for Max and ArgMax. SIAM Journal on Financial Mathematics 2010 ;Volum 1.(1) s. 179-211
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2009
40 Ortiz-Latorre, Salvador.
An introduction to Stein's method. Barcelona Probability Seminar-Universitat de Barcelona; 2009-06-10 - 2009-06-10
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41 Ortiz-Latorre, Salvador.
An Itô-Stratonovich formula for Gaussian processes: A Riemann sums approach. 33rd Conference on Stochastic Processes and Their Applications: SPA Berlin 2009-TU Berlin; 2009-07-27 - 2009-07-31
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42 Ortiz-Latorre, Salvador.
An Itô-Stratonovich formula for Gaussian processes: A Riemann sums approach.. Non-semimartingale methods in mathematical finance-Helsinki University of Technology; 2009-05-26 - 2009-05-28
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43 Ortiz-Latorre, Salvador.
Stein's method and Malliavin calculus. Stochastic Analysis Seminar-Osaka University; 2009-01-01 - 2009-01-14
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2008
44 Nualart, David; Ortiz-Latorre, Salvador.
An Itô-Stratonovich formula for Gaussian processes: A Riemann sums approach. Stochastic Processes and their Applications 2008 ;Volum 118.(10) s. 1803-1819
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45 Nualart, David; Ortiz-Latorre, Salvador.
Central limit theorems for multiple stochastic integrals and Malliavin calculus. Stochastic Processes and their Applications 2008 ;Volum 118.(4) s. 614-628
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2007
46 Nualart, David; Ortiz-Latorre, Salvador.
Intersection local time for two independent fractional Brownian motions. Journal of theoretical probability 2007 ;Volum 20.(4) s. 759-767
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47 Ortiz-Latorre, Salvador.
Central limit theorems for multiple stochastic integrals and Malliavin calculus. International Multidisciplinary Workshop on Stochastic Modeling-Universidad de Sevilla; 2007-06-25
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