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Josep Vives
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2020 – today
- 2024
- [j5]Youssef El-Khatib, Zororo S. Makumbe
, Josep Vives:
Approximate option pricing under a two-factor Heston-Kou stochastic volatility model. Comput. Manag. Sci. 21(1): 3 (2024) - 2023
- [i1]Pere Díaz Lozano, Toni Lozano Bagén, Josep Vives:
Neural SDEs for Conditional Time Series Generation and the Signature-Wasserstein-1 metric. CoRR abs/2301.01315 (2023) - 2021
- [j4]Lloyd L. Aromi
Topological features of multivariate distributions: Dependency on the covariance matrix. Commun. Nonlinear Sci. Numer. Simul. 103: 105996 (2021)
2010 – 2019
- 2015
- [j3]Archil Gulisashvili, Josep Vives
Asymptotic Analysis of Stock Price Densities and Implied Volatilities in Mixed Stochastic Models. SIAM J. Financial Math. 6(1): 158-188 (2015)
2000 – 2009
- 2007
- [j2]Elisa Alòs
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. Finance Stochastics 11(4): 571-589 (2007) - 2002
- [j1]Jorge A. León, Josep L. Solé, Frederic Utzet, Josep Vives:
On Lévy processes, Malliavin calculus and market models with jumps. Finance Stochastics 6(2): 197-225 (2002)
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last updated on 2024-10-07 22:16 CEST by the dblp team
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