Josep Vives

Available identifiers

zbMath Open vives.josepWikidataQ30607110 ScholiaQ30607110MaRDI QIDQ274842

List of research outcomes

Publication	Date of Publication	Type
Pricing cumulative loss derivatives under additive models via Malliavin calculus	2024-02-16	Paper
Approximate option pricing under a two-factor Heston-Kou stochastic volatility model	2024-02-06	Paper
Neural SDEs for Conditional Time Series Generation and the Signature-Wasserstein-1 metric	2023-01-03	Paper
Topological features of multivariate distributions: dependency on the covariance matrix	2021-11-16	Paper
DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS	2021-06-18	Paper
Dyson type formula for pure jump Lévy processes with some applications to finance	2020-01-24	Paper
DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS	2019-01-10	Paper
Decomposition of the Pricing Formula for Stochastic Volatility Models Based on Malliavin-Skorohod Type Calculus	2018-11-30	Paper
Option price decomposition in spot-dependent volatility models and some applications	2018-10-15	Paper
Time-consistent investment and consumption strategies under a general discount function	2017-05-28	Paper
A Malliavin–Skorohod calculus inL0andL1for additive and Volterra-type processes	2017-04-11	Paper
Local Malliavin calculus for Lévy processes and applications	2016-06-10	Paper
A generic decomposition formula for pricing vanilla options under stochastic volatility models	2016-04-25	Paper
https://portal.mardi4nfdi.de/entity/Q5500299	2015-08-05	Paper
Asymptotic Analysis of Stock Price Densities and Implied Volatilities in Mixed Stochastic Models	2015-05-15	Paper
Anticipating linear stochastic differential equations driven by a Lévy process	2012-10-23	Paper
Two-Sided Estimates for Distribution Densities in Models with Jumps	2012-09-21	Paper
An anticipating It\^o formula for L\'evy processes	2009-04-27	Paper
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	2009-04-01	Paper
https://portal.mardi4nfdi.de/entity/Q5436618	2008-01-17	Paper
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility	2007-12-16	Paper
Renormalization Of The Local Time For The d-Dimensional Fractional Brownian Motion With N Parameters	2007-10-22	Paper
Canonical Lévy process and Malliavin calculus	2007-02-19	Paper
A volatility-varying and jump-diffusion Merton type model of interest rate risk	2006-10-05	Paper
A Stroock formula for a certain class of Lévy processes and applications to finance	2006-08-28	Paper
Regularity of the Local Time for the d-dimensional Fractional Brownian Motion with N-parameters	2005-05-23	Paper
Chaotic expansion and smoothness of some functionals of the fractional Brownian motion	2004-12-29	Paper
Chaotic Kabanov formula for the Azéma martingales	2003-09-10	Paper
Anticipating stratonovich integral with respect to the Azema's martingales	2003-01-01	Paper
The indefinite Skorohod integral as integrator on the Poisson space	2002-12-15	Paper
A pathwise approach to backward and forward stochastic differential equations on the poisson space*	2002-12-02	Paper
On Lévy processes, Malliavin calculus and market models with jumps	2002-12-01	Paper
https://portal.mardi4nfdi.de/entity/Q4524440	2001-01-15	Paper
On certain relations between the path integrals and the translation operator and its dual in canonical Poisson space	2000-09-13	Paper
https://portal.mardi4nfdi.de/entity/Q4848517	1997-01-27	Paper
https://portal.mardi4nfdi.de/entity/Q4884166	1996-07-08	Paper
Chaos expansions of double intersection local time of Brownian motion in \(\mathbb{R}^ d\) and renormalization	1995-05-23	Paper
Chaos expansions and local times	1993-08-17	Paper
Smoothness of Brownian local times and related functionals	1993-05-26	Paper
https://portal.mardi4nfdi.de/entity/Q3479316	1990-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3796495	1988-01-01	Paper

Research outcomes over time

Doctoral students

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This page was built for person: Josep Vives