Salvador Ortiz-Latorre

• 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.  s 1- 68 . doi: 10.1007/s40072-019-00157-3
• Harang, Fabian Andsem; Lagunas, Marc & Ortiz-Latorre, Salvador (2019). Self-Exciting Multifractional Processes. arXiv.org.  ISSN 2331-8422.
• Baños, David Ruiz; Ortiz-Latorre, Salvador; Pilipenko, Andrey & Proske, Frank Norbert (2017). Strong solutions of d-dimensional SDE's with generalized drift and fractional Brownian initial noise. arXiv.org.  ISSN 2331-8422. . doi: https://arxiv.org/abs/1705.01616 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), s 1- 25
• 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.
• Ortiz-Latorre, Salvador (2017). A new pricing measure in the Barndorff-Nielsen?Shephard model for commodity markets. Trends in Mathematics.  ISSN 2297-0215.  6, s 133- 139 . doi: 10.1007/978-3-319-51753-7_22 Full text in Research Archive.
• 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.
• 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), s 2293- 2324 . doi: 10.1090/S0025-5718-2013-02786-X 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, s 685- 728 . doi: 10.1137/13093604X 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.
• 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
• Nualart, David & Ortiz-Latorre, Salvador (2011). Multidimensional Wick–Itô Formula for Gaussian Processes, In Allan Tsoi; David Nualart & George Yin (ed.),  Stochastic Analysis, Stochastic Systems, and Applications to Finance.  World Scientific.  ISBN 978-981-4355-70-4.  Chapter 1.  s 3 - 26
• 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), s 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), s 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), s 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), s 759- 767 . doi: 10.1007/s10959-007-0106-x

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• Lagunas Merino, Marc; Harang, Fabian Andsem & Ortiz-Latorre, Salvador (2019). Self-Exciting Multifractional Processes (SEM) Processes. Show summary

  Abstract. We propose a new multifractional stochastic process which allows for self-exciting behavior, similar to what can be seen for example in earthquakes and other self-organizing phenomena. The process can be seen as an extension of a multifractional Brownian motion, where the Hurst function is dependent on the past of the process. We define this through a stochastic Volterra equation, and we prove existence and uniqueness of this equation, as well as give bounds on the p-order moments, for all p>=1. We show convergence of an Euler-Maruyama scheme for the process, and also give the rate of convergence, which is depending on the self-exciting dynamics of the process. Moreover, we discuss different applications of this process, and give examples of different functions to model self-exciting behavior.

• Ortiz-Latorre, Salvador & Crisan, Dan (2019). 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). 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.

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