oriolz

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Oriol Zamora Font, born on the 23rd of December 1997 in Terrassa (Barcelona).

Academic interests

My research interests are stochastic analysis, mathematical finance and insurance mathematics.

Background

PhD (UiO): A variational approach to pricing and hedging insurance contracts under rough volatility models (Supervisor: Prof. David Ruiz Baños, co-supervisor: Prof. Salvador Ortiz-Latorre) (August 2021 - August 2024).

Collaboration Fellowship (IMUB) (October 2019 - June 2020).

Master's Degree in Advanced Mathematics (UB) (September 2019 - July 2020).

Bachelor in Mathematics (UB) (September 2015 - June 2019).

Banos, David Ruiz; Ortiz-Latorre, Salvador & Font, Oriol Zamora (2026). A functional variational approach to pricing path dependent insurance policies. Stochastics: An International Journal of Probability and Stochastic Processes. ISSN 1744-2508. Full text in Research Archive Show summary
The main purpose of this work is the derivation of a path-dependent partial differential equation for the calculations of equity-linked insurance policies, where the payment stream may depend on the whole past history of the financial asset. To this end, we employ variational techniques from the theory of functional Itô calculus.
Font, Oriol Zamora; Baños, David & Ortiz-Latorre, Salvador (2024). Change of measure in a Heston–Hawkes stochastic volatility model. Advances in Applied Probability. ISSN 0001-8678. 56, p. 1370–1399. doi: 10.1017/apr.2024.14. Full text in Research Archive Show summary
We consider the stochastic volatility model obtained by adding a compound Hawkes process to the volatility of the well-known Heston model. A Hawkes process is a self-exciting counting process with many applications in mathematical finance, insurance, epidemiology, seismology, and other fields. We prove a general result on the existence of a family of equivalent (local) martingale measures. We apply this result to a particular example where the sizes of the jumps are exponentially distributed. Finally, a practical application to efficient computation of exposures is discussed.
Font, Oriol Zamora (2024). Pricing VIX options under the Heston-Hawkes stochastic volatility model. arXiv.org. ISSN 2331-8422. Full text in Research Archive
Font, Oriol Zamora; Baños, David & Ortiz-Latorre, Salvador (2023). Thiele's PIDE for unit-linked policies in the Heston-Hawkes stochastic volatility model. arXiv.org. ISSN 2331-8422. Full text in Research Archive

View all works in NVA

Font, Oriol Zamora (2024). Pricing VIX options under the Heston-Hawkes stochastic volatility model. Full text in Research Archive
Font, Oriol Zamora; Baños, David & Ortiz-Latorre, Salvador (2023). Heston-Hawkes Stochastic Volatility Model: Change of Measure and Forward Variance. Full text in Research Archive
Font, Oriol Zamora; Baños, David & Ortiz-Latorre, Salvador (2023). Heston-Hawkes stochastic volatility model: change of measure and forward variance. Full text in Research Archive
Font, Oriol Zamora; Baños, David & Ortiz-Latorre, Salvador (2023). Change of measure in a Heston-Hawkes stochastic volatility model. Full text in Research Archive
Font, Oriol Zamora; Baños, David & Ortiz-Latorre, Salvador (2023). Heston-Hawkes stochastic volatility model: Change of measure and Thiele's PIDE. Full text in Research Archive
Font, Oriol Zamora; Baños, David & Ortiz-Latorre, Salvador (2022). Change of measure in a Heston-Hawkes stochastic volatility model. Full text in Research Archive

View all works in NVA

Published Sep. 7, 2021 11:21 AM - Last modified Feb. 7, 2022 8:54 AM

Research groups

Risk and Stochastics