关注
Josep Vives
Josep Vives
Facultat de Matemàtiques i Informàtica, Universitat de Barcelona
在 ub.edu 的电子邮件经过验证
标题
引用次数
引用次数
年份
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
2932007
Anticipative calculus for the Poisson process based on the Fock space
D Nualart, J Vives
Séminaire de probabilités de Strasbourg 24, 154-165, 1990
2091990
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
1362002
Canonical Lévy process and Malliavin calculus
JL Solé, F Utzet, J Vives
Stochastic processes and their Applications 117 (2), 165-187, 2007
1352007
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
1101995
Chaos expansions and local times
D Nualart, J Vives
Publicacions Matematiques, 827-836, 1992
661992
A duality formula on the Poisson space and some applications
D Nualart, J Vives
Seminar on Stochastic Analysis, Random Fields and Applications: Centro …, 1995
641995
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
602007
Smoothness of Brownian local times and related functionals
D Nualart, J Vives
Potential Analysis 1 (3), 257-263, 1992
551992
Stochastic integration by parts and functional Itô calculus
V Bally, L Caramellino, R Cont, F Utzet, J Vives
Birkhäuser, 2016
492016
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
432021
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
401988
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
382005
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
Available at SSRN 1124823, 2008
282008
An anticipating Itô formula for Lévy processes
E Alós, JA León, J Vives
ALEA Lat. Am. J. Probab. Math. Stat 4, 2008
272008
Chaotic Kabanov formula for the Azéma martingales
N Privault, J Lluís Solé, J Vives
252000
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
232015
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
152003
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
142006
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
122021
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