Salvador Ortiz-Latorre

Associate Professor - Risk and Stochastics (SECTION 3)
Image of Salvador Ortiz-Latorre
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Phone +47 22855865
Room 1018
Username
Visiting address Moltke Moes vei 35 Niels Henrik Abels hus 0851 Oslo
Postal address Postboks 1053 Blindern 0316 Oslo
Tags: Stochastic analysis and finance and insurance and risk

Publications

  • Crisan, Dan; Lobbe, Alexander & Ortiz-Latorre, Salvador (2022). An application of the splitting-up method for the computation of a neural network representation for the solution for the filtering equations. Stochastics and Partial Differential Equations: Analysis and Computations. ISSN 2194-0401. 10, p. 1050–1081. doi: 10.1007/s40072-022-00260-y.
  • Baños, David; Ortiz-Latorre, Salvador; Pilipenko, Andrey & Proske, Frank Norbert (2021). Strong Solutions of Stochastic Differential Equations with Generalized Drift and Multidimensional Fractional Brownian Initial Noise. Journal of theoretical probability. ISSN 0894-9840. doi: 10.1007/s10959-021-01084-7. Full text in Research Archive
  • Crisan, Dan; Kurtz, Thomas G. & Ortiz-Latorre, Salvador (2021). Particle Representation for the Solution of the Filtering Problem. Application to the Error Expansion of Filtering Discretizations. Journal of Stochastic Analysis (JOSA). ISSN 2689-6931. doi: 10.31390/josa.2.3.15. Full text in Research Archive
  • Harang, Fabian Andsem; Lagunas, Marc & Ortiz-Latorre, Salvador (2021). Self-Exciting Multifractional Processes. Journal of Applied Probability. ISSN 0021-9002. 58(1), p. 22–41. doi: 10.1017/jpr.2020.88. Full text in Research Archive
  • Baños, David; Lagunas, Marc & Ortiz-Latorre, Salvador (2020). Variance and interest rate risk in unit-linked insurance policies. Risks. ISSN 2227-9091. 8(3). doi: 10.3390/risks8030084. Full text in Research Archive
  • Crisan, Dan & Ortiz-Latorre, Salvador (2019). A high order time discretization of the solution of the non-linear filtering problem. Stochastics and Partial Differential Equations: Analysis and Computations. ISSN 2194-0401. p. 1–68. doi: 10.1007/s40072-019-00157-3. Full text in Research Archive
  • Crisan, Dan & Ortiz-Latorre, Salvador (2017). A high order time discretization of the solution of the non-linear filtering problem. arXiv.org. ISSN 2331-8422. doi: 10.1007/s40072-019-00157-3.
  • Ortiz-Latorre, Salvador (2017). A new pricing measure in the Barndorff-Nielsen?Shephard model for commodity markets. Trends in Mathematics. ISSN 2297-0215. 6, p. 133–139. doi: 10.1007/978-3-319-51753-7_22. Full text in Research Archive
  • Benth, Fred Espen & Ortiz-Latorre, Salvador (2017). Calibration of temperature futures by changing the mean reversion. Journal of Energy Markets. ISSN 1756-3607. 10(1), p. 1–25. doi: 10.21314/jem.2017.157.
  • Benth, Fred Espen & Ortiz-Latorre, Salvador (2015). A change of measure preserving the affine structure in the Barndorff-Nielsen and Shephard model for commodity markets. International Journal of Theoretical and Applied Finance. ISSN 0219-0249. 18(6). doi: 10.1142/S0219024915500387. Full text in Research Archive
  • Benth, Fred Espen & Ortiz-Latorre, Salvador (2014). A pricing measure to explain the risk premium in power markets. SIAM Journal on Financial Mathematics. ISSN 1945-497X. 5, p. 685–728. doi: 10.1137/13093604X. Full text in Research Archive
  • Kohatsu-Higa, Arturo; Ortiz-Latorre, Salvador & Tankov, Peter (2014). Optimal simulation schemes for Lévy driven stochastic differential equations. Mathematics of Computation. ISSN 0025-5718. 83(289), p. 2293–2324. doi: 10.1090/S0025-5718-2013-02786-X. Full text in Research Archive
  • Crisan, Dan & Ortiz-Latorre, Salvador (2013). A Kusuoka-Lyons-Victoir particle filter. Proceedings of the Royal Society. Mathematical, Physical and Engineering Sciences. ISSN 1364-5021. 469(2156). doi: 10.1098/rspa.2013.0076. Full text in Research Archive
  • Nualart, David & Ortiz-Latorre, Salvador (2011). Multidimensional Wick–Itô Formula for Gaussian Processes. In Tsoi, Allan; Nualart, David & Yin, George (Ed.), Stochastic Analysis, Stochastic Systems, and Applications to Finance. World Scientific. ISSN 978-981-4355-70-4. p. 3–26. doi: 10.1142/9789814355711_0001.
  • Kohatsu-Higa, Arturo & Ortiz-Latorre, Salvador (2011). Modelling of financial markets with inside information in continuous time. Stochastics and Dynamics. ISSN 0219-4937. 11(2-3). doi: 10.1142/S0219493711003371.
  • Kohatsu-Higa, Arturo & Ortiz-Latorre, Salvador (2010). Weak Kyle-Back equilibrium models for Max and ArgMax. SIAM Journal on Financial Mathematics. ISSN 1945-497X. 1(1), p. 179–211. doi: 10.1137/080739768.
  • Nualart, David & Ortiz-Latorre, Salvador (2008). An Itô-Stratonovich formula for Gaussian processes: A Riemann sums approach. Stochastic Processes and their Applications. ISSN 0304-4149. 118(10), p. 1803–1819. doi: 10.1016/j.spa.2007.11.002.
  • Nualart, David & Ortiz-Latorre, Salvador (2008). Central limit theorems for multiple stochastic integrals and Malliavin calculus. Stochastic Processes and their Applications. ISSN 0304-4149. 118(4), p. 614–628. doi: 10.1016/j.spa.2007.05.004.
  • Nualart, David & Ortiz-Latorre, Salvador (2007). Intersection local time for two independent fractional Brownian motions. Journal of theoretical probability. ISSN 0894-9840. 20(4), p. 759–767. doi: 10.1007/s10959-007-0106-x.

View all works in Cristin

  • Ortiz-Latorre, Salvador & Crisan, Dan (2020). High order discretizations to the nonlinear filtering problem.
  • Ortiz-Latorre, Salvador & Lagunas, Marc (2019). A Hull-White Formula for a Fractional Volatility Lévy Model.
  • Ortiz-Latorre, Salvador & Crisan, Dan (2019). High order discretizations to the nonlinear filtering problem.
  • Lagunas Merino, Marc; Harang, Fabian Andsem & Ortiz-Latorre, Salvador (2019). Self-Exciting Multifractional Processes (SEM) Processes.
  • Ortiz-Latorre, Salvador & Crisan, Dan (2018). High order discretizations to the nonlinear filtering problem.
  • Baños, David Ruiz; Ortiz-Latorre, Salvador; Pilipenko, Andrey & Proske, Frank Norbert (2017). Strong solutions of SDE's with generalized drift and multidimensional fractional Brownian initial noise.
  • Ortiz-Latorre, Salvador (2016). High Order Discretizations to the Stochastic Filtering Problem.
  • 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 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 new pricing measure in the Barndorff-Nielsen & Shephard 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 change of measure preserving the affine structure in the BNS model for 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 (2014). On a new pricing measure in electricity and commodity markets.
  • Ortiz-Latorre, Salvador (2013). A second order approximation of the continuous time filtering problem.
  • Ortiz-Latorre, Salvador (2013). A pricing measure to explain the risk premium in power markets.
  • Ortiz Latorre, Salvador (2013). A pricing measure to explain risk premium in power markets.
  • Ortiz Latorre, Salvador (2013). Stochastic modeling of electricity markets.
  • Ortiz Latorre, Salvador (2013). A second order approximation to the continuous time filtering problem.
  • 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 (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 (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 introduction to Stein's method.
  • 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). 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 Apr. 22, 2021 9:31 PM

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