Sergio Pulido

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
The rough Hawkes Heston stochastic volatility model Mathematical Finance	2024-11-20	Paper
Affine Volterra processes with jumps Stochastic Processes and their Applications	2024-01-12	Paper
The rough Hawkes Heston stochastic volatility model	2022-10-22	Paper
American options in the Volterra Heston model SIAM Journal on Financial Mathematics	2022-05-31	Paper
A weak solution theory for stochastic Volterra equations of convolution type The Annals of Applied Probability	2022-02-14	Paper
Markov cubature rules for polynomial processes Stochastic Processes and their Applications	2020-04-07	Paper
Affine Volterra processes The Annals of Applied Probability	2020-01-22	Paper
Density of the set of probability measures with the martingale representation property The Annals of Probability	2019-10-08	Paper
Density of the set of probability measures with the martingale representation property The Annals of Probability	2019-10-08	Paper
Financial models with defaultable numéraires Mathematical Finance	2019-05-08	Paper
Financial models with defaultable numéraires Mathematical Finance	2019-05-08	Paper
Affine Rough Models	2018-12-20	Paper
The Jacobi stochastic volatility model Finance and Stochastics	2018-07-16	Paper
Polynomial diffusions on compact quadric sets Stochastic Processes and their Applications	2017-02-14	Paper
Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model SIAM Journal on Financial Mathematics	2016-09-28	Paper
A system of quadratic BSDEs arising in a price impact model The Annals of Applied Probability	2016-06-09	Paper
A system of quadratic BSDEs arising in a price impact model The Annals of Applied Probability	2016-06-09	Paper
The effect of trading futures on short sale constraints Mathematical Finance	2015-04-24	Paper
The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions The Annals of Applied Probability	2014-04-04	Paper
The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions The Annals of Applied Probability	2014-04-04	Paper
Polynomial Volterra processes (available as arXiv preprint)	N/A	Paper

Research outcomes over time

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