Salvador Ortiz-Latorre

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Visiting address Ullevål stadion Sognsveien 77 B 0855 OSLO
Postal address Postboks 1053 Blindern 0316 OSLO
Tags: Stochastic analysis and finance and insurance and risk

Publications

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  • Ortiz-Latorre, Salvador (2016). A new pricing measure in the Barndorff-Nielsen & Shephard model for commodity markets.
  • Ortiz-Latorre, Salvador (2016). A second order approximation of the continuous time filtering problem.
  • Ortiz-Latorre, Salvador (2016). High Order Discretizations to the Stochastic Filtering Problem.
  • Ortiz-Latorre, Salvador (2016). High Order Weak Approximation of SDEs. Application to the Nonlinear Filtering Problem.
  • Ortiz-Latorre, Salvador (2015). A Pricing measure for non-tradable assets with mean-reverting dynamics.
  • Ortiz-Latorre, Salvador (2015). A change of measure preserving the affine structure in the BNS model for commodity markets.
  • Ortiz-Latorre, Salvador (2015). A new flexible pricing measure in the Barndorff-Nielsen & Shephard model for commodity markets.
  • Ortiz-Latorre, Salvador (2015). A new pricing measure in the Barndorff-Nielsen & Shephard model for commodity markets.
  • Ortiz-Latorre, Salvador (2014). On a new pricing measure in electricity and commodity markets.
  • Ortiz-Latorre, Salvador (2014). Speeding up and slowing down in the risk neutral world. A new flexible pricing measure for mean reverting models.
  • Ortiz Latorre, Salvador (2013). A pricing measure to explain risk premium in power markets.
  • Ortiz Latorre, Salvador (2013). A second order approximation to the continuous time filtering problem.
  • Ortiz Latorre, Salvador (2013). Stochastic modeling of electricity markets.
  • Ortiz-Latorre, Salvador (2013). A pricing measure to explain the risk premium in power markets.
  • Ortiz-Latorre, Salvador (2013). A second order approximation of the continuous time filtering problem.
  • Ortiz-Latorre, Salvador (2012). A second order approximation of the continuous time filtering problem.
  • Ortiz-Latorre, Salvador (2012). A new approximation algorithm to solve the filtering problem combining Cubature and TBBA.
  • Ortiz-Latorre, Salvador (2012). A second order approximation of the continuous time filtering problem.
  • Ortiz-Latorre, Salvador (2012). Optimal simulation schemes for Lévy driven SDEs.
  • Ortiz-Latorre, Salvador (2012). Optimal simulation schemes for Lévy driven SDEs.
  • Ortiz-Latorre, Salvador (2011). A new approximation algorithm to solve the filtering problem combining Cubature and TBBA.
  • Ortiz-Latorre, Salvador (2011). Weak Kyle-Back equilibrium models.
  • Ortiz-Latorre, Salvador (2011). Weak Kyle-Back equilibrium models.
  • Ortiz-Latorre, Salvador (2011). Weak convergence of nonlinear functionals of Gaussian processes and Malliavin calculus.
  • Ortiz-Latorre, Salvador (2009). An Itô-Stratonovich formula for Gaussian processes: A Riemann sums approach.
  • Ortiz-Latorre, Salvador (2009). An Itô-Stratonovich formula for Gaussian processes: A Riemann sums approach..
  • Ortiz-Latorre, Salvador (2009). An introduction to Stein's method.
  • Ortiz-Latorre, Salvador (2009). Stein's method and Malliavin calculus.
  • Ortiz-Latorre, Salvador (2007). Central limit theorems for multiple stochastic integrals and Malliavin calculus.

View all works in Cristin

Published Jan. 28, 2013 11:38 AM - Last modified Dec. 16, 2013 10:15 AM