Jose Manuel Corcuera
Jose Manuel Corcuera
Profesor de Matemáticas Universidad de Barcelona
Bestätigte E-Mail-Adresse bei - Startseite
Zitiert von
Zitiert von
Power variation of some integral fractional processes
JM Corcuera, D Nualart, JHC Woerner
Bernoulli 12 (4), 713-735, 2006
Additional utility of insiders with imperfect dynamical information
JM Corcuera, P Imkeller, A Kohatsu-Higa, D Nualart
Finance and Stochastics 8 (3), 437-450, 2004
On an intrinsic analysis of statistical estimation
JM Oller
Multivariate Analysis: Future Directions 2, 421-437, 1993
Power variation for Gaussian processes with stationary increments
OE Barndorff-Nielsen, JM Corcuera, M Podolskij
Stochastic Processes and Their Applications 119 (6), 1845-1865, 2009
Multipower variation for Brownian semistationary processes
OE Barndorff-Nielsen, JM Corcuera, M Podolskij
Bernoulli 17 (4), 1159-1194, 2011
Completion of a Lévy market by power-jump assets
JM Corcuera, D Nualart, W Schoutens
Finance and Stochastics 9 (1), 109-127, 2005
A generalized Bayes rule for prediction
JM Corcuera, F Giummolè
Scandinavian Journal of Statistics 26 (2), 265-279, 1999
Efficient pricing of contingent convertibles under smile conform models
JM Corcuera, J De Spiegeleer, A Ferreiro-Castilla, AE Kyprianou, ...
Available at SSRN 1954671, 2011
Close form pricing formulas for Coupon Cancellable CoCos
JM Corcuera, J De Spiegeleer, J Fajardo, H Jönsson, W Schoutens, ...
Journal of Banking & Finance 42, 339-351, 2014
Asymptotic theory for Brownian semi-stationary processes with application to turbulence
JM Corcuera, E Hedevang, MS Pakkanen, M Podolskij
Stochastic Processes and their Applications 123 (7), 2552-2574, 2013
Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
OE Barndorff-Nielsen, JM Corcuera, M Podolskij
Prokhorov and contemporary probability theory, 69-96, 2013
Riemannian barycentres and geodesic convexity
JM Corcuera, WS Kendall
Mathematical Proceedings of the Cambridge Philosophical Society 127 (2), 253-269, 1999
Optimal investment in a Lévy market
JM Corcuera, J Guerra, D Nualart, W Schoutens
Applied Mathematics and Optimization 53 (3), 279-309, 2006
Asymptotics of weighted random sums
JM Corcuera, D Nualart, M Podolskij
arXiv preprint arXiv:1402.1414, 2014
Implied Lévy volatility
JM Corcuera, F Guillaume, P Leoni, W Schoutens
Quantitative Finance 9 (4), 383-393, 2009
Implied liquidity: towards stochastic liquidity modelling and liquidity trading
JM Corcuera, F Guillaume, DB Madan, W Schoutens
International Journal of Portfolio Analysis and Management 1 (1), 80-91, 2012
A functional central limit theorem for the realized power variation of integrated stable processes
JM Corcuera, D Nualart, JHC Woerner
Stochastic Analysis and Applications 25 (1), 169-186, 2007
Power variation of some integral long-memory processes
JM Corcuera, D Nualart, JHC Woerner
Universitat de Barcelona. Institut de Matemàtica [IMUB], 2005
A characterization of monotone and regular divergences
JM Corcuera, F Giummolè
Annals of the Institute of Statistical Mathematics 50 (3), 433-450, 1998
Statistical inference and Malliavin calculus
JM Corcuera, A Kohatsu-Higa
Seminar on Stochastic Analysis, Random Fields and Applications VI, 59-82, 2011
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