Marc Lagunas Merino
I joined University of Oslo PhD program in September 2017. My research work, as a member of the stochastic analysis section, is focused on fractional stochastic modeling with applications to finance.
I have several projects ongoing in the field of stochastic modeling with fractional noises. In a joint work with my PhD supervisor prof. Salvador Ortiz-Latorre and my subsidiary supervisor prof. David Baños, we deal with fractional models applied to pricing a broad range of financial and insurance products as well as the numerical approximation of these pricing problems.
September 2020 is the scheduled date to end this program. I will be submitting and defending my thesis in front of a scientific committee.
- Gulisashvili, Archil; Lagunas Merino, Marc; Merino, Raúl & Vives, Josep (2020). High order approximations to call option prices in the Heston model. Journal of Computational Finance. ISSN 1460-1559. Full text in Research Archive.
- Lagunas Merino, Marc; Harang, Fabian Andsem & Ortiz-Latorre, Salvador (2019). Self-Exciting Multifractional Processes (SEM) Processes. Show summary