Josep Vives

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Jorge A. LeónProfesor de matematicasVerified email at ctrl.cinvestav.mx
David NualartProfessor, The University of KansasVerified email at math.ku.edu
Elisa AlòsUniversitat Pompeu FabraVerified email at upf.edu
Mhamed EDDAHBIKing Saud UniversityVerified email at ksu.edu.sa
Raúl MerinoVidaCaixaVerified email at upf.edu
Ciprian TudorVerified email at univ-paris1.fr
Nicolas PrivaultNanyang Technological UniversityVerified email at ntu.edu.sg
Victor Pérez-AbreuCenter for Research in Mathematics CIMAT Guanajuato MexicoVerified email at cimat.mx
Rafael De SantiagoProfessor of Decision Analysis, IESE Business SchoolVerified email at iese.edu
khelfallah nabilUniversity of BiskraVerified email at univ-biskra.dz
Jan PospíšilDepartment of Mathematics, University of West BohemiaVerified email at kma.zcu.cz
Zororo S MakumbeUniversitat de BarcelonaVerified email at alumnes.ub.edu
Yuri KatzS&P GlobalVerified email at spglobal.com
Youssef El-KhatibProfessor of Mathematics, UAE UniversityVerified email at uaeu.ac.ae
Farid ChighoubProf. of MathematicsVerified email at univ-biskra.dz
Stéphane GoutteUMI Source, Université Paris-Saclay, UVSQ, IRD, FranceVerified email at uvsq.fr
Tommi SottinenProfessor of Business Mathematics, University of VaasaVerified email at uwasa.fi
Giulia Di NunnoProfessor at University of Oslo and Adjunct Professor at NHH BergenVerified email at math.uio.no
Nicolas SavyInstitut de mathématiques de ToulouseVerified email at math.univ-toulouse.fr
Mohammed El-arbi KhalfallahDépartement de Mathématiques, Université de Badi Mokhtar Annaba.Verified email at univ-annaba.org

Josep Vives

Facultat de Matemàtiques i Informàtica, Universitat de Barcelona

Verified email at ub.edu

Stochastic Analysis Quantitative Finance


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On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility E Alos, JA León, J Vives Finance and stochastics 11 (4), 571-589, 2007	292	2007
Anticipative calculus for the Poisson process based on the Fock space D Nualart, J Vives Séminaire de probabilités de Strasbourg 24, 154-165, 1990	213	1990
On Lévy processes, Malliavin calculus and market models with jumps JA León, JL Solé, F Utzet, J Vives Finance and Stochastics 6, 197-225, 2002	138	2002
Canonical Lévy process and Malliavin calculus JL Solé, F Utzet, J Vives Stochastic processes and their Applications 117 (2), 165-187, 2007	133	2007
Chaos expansions of double intersection local time of Brownian motion in Rd and renormalization P Imkeller, V Perez-Abreu, J Vives Stochastic Processes and Their Applications 56 (1), 1-34, 1995	111	1995
Chaos expansions and local times D Nualart, J Vives Publicacions Matematiques, 827-836, 1992	68	1992
A duality formula on the Poisson space and some applications D Nualart, J Vives Seminar on Stochastic Analysis, Random Fields and Applications: Centro …, 1995	65	1995
Chaos expansions and Malliavin calculus for Lévy processes JL Solé, F Utzet, J Vives Stochastic Analysis and Applications: The Abel Symposium 2005, 595-612, 2007	63	2007
Smoothness of Brownian local times and related functionals D Nualart, J Vives Potential Analysis 1 (3), 257-263, 1992	55	1992
Stochastic integration by parts and functional Itô calculus V Bally, L Caramellino, R Cont, F Utzet, J Vives Birkhäuser, 2016	46	2016
Effects of pre‐operative isolation on postoperative pulmonary complications after elective surgery: an international prospective cohort study COVIDSurg Collaborative, GlobalSurg Collaborative, D Nepogodiev, ... Anaesthesia 76 (11), 1454-1464, 2021	42	2021
Continuité absolue de la loi du maximum d'un processus continu D Nualart, J Vives CR Acad. Sci.-Series IIA-Earth and Planetary Science, 349-354, 1988	39	1988
Regularity of the Local Time for the d-dimensional Fractional Brownian Motion with N-parameters M Eddahbi, R Lacayo, JL Solé, J Vives, CA Tudor Stochastic Analysis and Applications 23 (2), 383-400, 2005	37	2005
An anticipating Itô formula for Lévy processes E Alós, JA León, J Vives ALEA Lat. Am. J. Probab. Math. Stat 4, 2008	28	2008
A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility E Alos, JA León, M Pontier, J Vives Universitat Pompeu Fabra, 2008	27	2008
Chaotic Kabanov formula for the Azéma martingales N Privault, JL Solé, J Vives Bernoulli, 633-651, 2000	25	2000
Calibration of stochastic volatility models via second-order approximation: The Heston case E Alòs, R De Santiago, J Vives International Journal of Theoretical and Applied Finance 18 (06), 1550036, 2015	24	2015
A volatility-varying and jump-diffusion Merton type model of interest rate risk F Espinosa, J Vives Insurance: Mathematics and Economics 38 (1), 157-166, 2006	15	2006
Chaotic expansion and smoothness of some functionals of the fractional Brownian motion M Eddahbi, J Vives Journal of Mathematics of Kyoto University 43 (2), 349-368, 2003	15	2003
Decomposition formula for rough Volterra stochastic volatility models R Merino, J Pospíšil, T Sobotka, T Sottinen, J Vives International journal of theoretical and applied finance 24 (02), 2150008, 2021	12	2021

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