Salvador Ortiz-Latorre
Associate Professor
-
Risk and Stochastics
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
- 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
- Lagunas Merino, Marc; Harang, Fabian Andsem & Ortiz-Latorre, Salvador (2019). Self-Exciting Multifractional Processes (SEM) Processes. Show summary
- 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.
Published Jan. 28, 2013 11:38 AM
- Last modified Nov. 6, 2018 11:51 AM