Salvador OrtizLatorre
Associate Professor

Risk and Stochastics (SECTION 3)
Norwegian version of this page
Email
salvadoo@math.uio.no
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
Publications

Crisan, Dan; Lobbe, Alexander & OrtizLatorre, Salvador (2022). An application of the splittingup 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 21940401. 10, p. 1050–1081. doi: 10.1007/s4007202200260y.

Baños, David; OrtizLatorre, 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 08949840. doi: 10.1007/s10959021010847. Full text in Research Archive

Crisan, Dan; Kurtz, Thomas G. & OrtizLatorre, 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 26896931. doi: 10.31390/josa.2.3.15. Full text in Research Archive Show summary

Harang, Fabian Andsem; Lagunas, Marc & OrtizLatorre, Salvador (2021). SelfExciting Multifractional Processes. Journal of Applied Probability. ISSN 00219002. 58(1), p. 22–41. doi: 10.1017/jpr.2020.88. Full text in Research Archive

Baños, David; Lagunas, Marc & OrtizLatorre, Salvador (2020). Variance and interest rate risk in unitlinked insurance policies. Risks. ISSN 22279091. 8(3). doi: 10.3390/risks8030084. Full text in Research Archive

Crisan, Dan & OrtizLatorre, Salvador (2019). A high order time discretization of the solution of the nonlinear filtering problem. Stochastics and Partial Differential Equations: Analysis and Computations. ISSN 21940401. p. 1–68. doi: 10.1007/s40072019001573. Full text in Research Archive

Crisan, Dan & OrtizLatorre, Salvador (2017). A high order time discretization of the solution of the nonlinear filtering problem. arXiv.org. ISSN 23318422. doi: 10.1007/s40072019001573.

OrtizLatorre, Salvador (2017). A new pricing measure in the BarndorffNielsen?Shephard model for commodity markets. Trends in Mathematics. ISSN 22970215. 6, p. 133–139. doi: 10.1007/9783319517537_22. Full text in Research Archive

Benth, Fred Espen & OrtizLatorre, Salvador (2017). Calibration of temperature futures by changing the mean reversion. Journal of Energy Markets. ISSN 17563607. 10(1), p. 1–25. doi: 10.21314/jem.2017.157.

Benth, Fred Espen & OrtizLatorre, Salvador (2015). A change of measure preserving the affine structure in the BarndorffNielsen and Shephard model for commodity markets. International Journal of Theoretical and Applied Finance. ISSN 02190249. 18(6). doi: 10.1142/S0219024915500387. Full text in Research Archive

Benth, Fred Espen & OrtizLatorre, Salvador (2014). A pricing measure to explain the risk premium in power markets. SIAM Journal on Financial Mathematics. ISSN 1945497X. 5, p. 685–728. doi: 10.1137/13093604X. Full text in Research Archive

KohatsuHiga, Arturo; OrtizLatorre, Salvador & Tankov, Peter (2014). Optimal simulation schemes for Lévy driven stochastic differential equations. Mathematics of Computation. ISSN 00255718. 83(289), p. 2293–2324. doi: 10.1090/S00255718201302786X. Full text in Research Archive

Crisan, Dan & OrtizLatorre, Salvador (2013). A KusuokaLyonsVictoir particle filter. Proceedings of the Royal Society. Mathematical, Physical and Engineering Sciences. ISSN 13645021. 469(2156). doi: 10.1098/rspa.2013.0076. Full text in Research Archive

Nualart, David & OrtizLatorre, 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 9789814355704. p. 3–26. doi: 10.1142/9789814355711_0001.

KohatsuHiga, Arturo & OrtizLatorre, Salvador (2011). Modelling of financial markets with inside information in continuous time. Stochastics and Dynamics. ISSN 02194937. 11(23). doi: 10.1142/S0219493711003371.

KohatsuHiga, Arturo & OrtizLatorre, Salvador (2010). Weak KyleBack equilibrium models for Max and ArgMax. SIAM Journal on Financial Mathematics. ISSN 1945497X. 1(1), p. 179–211. doi: 10.1137/080739768.

Nualart, David & OrtizLatorre, Salvador (2008). An ItôStratonovich formula for Gaussian processes: A Riemann sums approach. Stochastic Processes and their Applications. ISSN 03044149. 118(10), p. 1803–1819. doi: 10.1016/j.spa.2007.11.002.

Nualart, David & OrtizLatorre, Salvador (2008). Central limit theorems for multiple stochastic integrals and Malliavin calculus. Stochastic Processes and their Applications. ISSN 03044149. 118(4), p. 614–628. doi: 10.1016/j.spa.2007.05.004.

Nualart, David & OrtizLatorre, Salvador (2007). Intersection local time for two independent fractional Brownian motions. Journal of theoretical probability. ISSN 08949840. 20(4), p. 759–767. doi: 10.1007/s109590070106x.

OrtizLatorre, Salvador & Crisan, Dan (2020). High order discretizations to the nonlinear filtering problem.

OrtizLatorre, Salvador & Lagunas, Marc (2019). A HullWhite Formula for a Fractional Volatility Lévy Model.

OrtizLatorre, Salvador & Crisan, Dan (2019). High order discretizations to the nonlinear filtering problem.

Lagunas Merino, Marc; Harang, Fabian Andsem & OrtizLatorre, Salvador (2019). SelfExciting Multifractional Processes (SEM) Processes. Show summary

OrtizLatorre, Salvador & Crisan, Dan (2018). High order discretizations to the nonlinear filtering problem.

Baños, David Ruiz; OrtizLatorre, Salvador; Pilipenko, Andrey & Proske, Frank Norbert (2017). Strong solutions of SDE's with generalized drift and multidimensional fractional Brownian initial noise.

OrtizLatorre, Salvador (2016). High Order Discretizations to the Stochastic Filtering Problem.

OrtizLatorre, Salvador (2016). A new pricing measure in the BarndorffNielsen & Shephard model for commodity markets.

OrtizLatorre, Salvador (2016). A second order approximation of the continuous time filtering problem.

OrtizLatorre, Salvador (2016). High Order Weak Approximation of SDEs. Application to the Nonlinear Filtering Problem.

OrtizLatorre, Salvador (2015). A Pricing measure for nontradable assets with meanreverting dynamics.

OrtizLatorre, Salvador (2015). A new pricing measure in the BarndorffNielsen & Shephard model for commodity markets.

OrtizLatorre, Salvador (2015). A new flexible pricing measure in the BarndorffNielsen & Shephard model for commodity markets.

OrtizLatorre, Salvador (2015). A change of measure preserving the affine structure in the BNS model for commodity markets.

OrtizLatorre, Salvador (2014). Speeding up and slowing down in the risk neutral world. A new flexible pricing measure for mean reverting models.

OrtizLatorre, Salvador (2014). On a new pricing measure in electricity and commodity markets.

OrtizLatorre, Salvador (2013). A second order approximation of the continuous time filtering problem.

OrtizLatorre, 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.

OrtizLatorre, Salvador (2012). A second order approximation of the continuous time filtering problem.

OrtizLatorre, Salvador (2012). Optimal simulation schemes for Lévy driven SDEs.

OrtizLatorre, Salvador (2012). Optimal simulation schemes for Lévy driven SDEs.

OrtizLatorre, Salvador (2012). A new approximation algorithm to solve the filtering problem combining Cubature and TBBA.

OrtizLatorre, Salvador (2012). A second order approximation of the continuous time filtering problem.

OrtizLatorre, Salvador (2011). A new approximation algorithm to solve the filtering problem combining Cubature and TBBA.

OrtizLatorre, Salvador (2011). Weak KyleBack equilibrium models.

OrtizLatorre, Salvador (2011). Weak KyleBack equilibrium models.

OrtizLatorre, Salvador (2011). Weak convergence of nonlinear functionals of Gaussian processes and Malliavin calculus.

OrtizLatorre, Salvador (2009). An introduction to Stein's method.

OrtizLatorre, Salvador (2009). An ItôStratonovich formula for Gaussian processes: A Riemann sums approach.

OrtizLatorre, Salvador (2009). An ItôStratonovich formula for Gaussian processes: A Riemann sums approach.

OrtizLatorre, Salvador (2009). Stein's method and Malliavin calculus.

OrtizLatorre, Salvador (2007). Central limit theorems for multiple stochastic integrals and Malliavin calculus.
Published Jan. 28, 2013 11:38 AM
 Last modified Apr. 22, 2021 9:31 PM