Now showing items 1-7 of 7

  • Crisan, Dan; Ortiz-Latorre, Salvador (Journal article / Tidsskriftartikkel / SubmittedVersion, 2013)
    The aim of this paper is to introduce a new numerical algorithm for solving the continuous time nonlinear filtering problem. In particular, we present a particle filter that combines the Kusuoka–Lyons–Victoir (KLV) cubature ...
  • Benth, Fred Espen; Ortiz-Latorre, Salvador (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2014)
    In electricity markets, it is sensible to use a two-factor model with mean reversion for spot prices. One of the factors is an Ornstein–Uhlenbeck (OU) process driven by a Brownian motion and accounts for the small variations. ...
  • Benth, Fred Espen; Ortiz-Latorre, Salvador (Journal article / Tidsskriftartikkel / SubmittedVersion, 2015)
    For a commodity spot price dynamics given by an Ornstein–Uhlenbeck (OU) process with Barndorff-Nielsen and Shephard stochastic volatility, we price forwards using a class of pricing measures that simultaneously allow for ...
  • Crisan, Dan; Ortiz-Latorre, Salvador (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)
    The solution of the continuous time filtering problem can be represented as a ratio of two expectations of certain functionals of the signal process that are parametrized by the observation path. We introduce a class of ...
  • Ortiz-Latorre, Salvador (Chapter / Bokkapittel / AcceptedVersion; Peer reviewed, 2017)
    For a commodity spot price dynamics given by an Ornstein–Uhlenbeck process with Barndorff-Nielsen–Shephard stochastic volatility, we price forward contracts using a new class of pricing measures, extending the classical ...
  • Kohatsu-Higa, Arturo; Ortiz-Latorre, Salvador; Tankov, Peter (Journal article / Tidsskriftartikkel / SubmittedVersion, 2013)
    We consider a general class of high order weak approximation schemes for stochastic differential equations driven by Lévy processes with infinite activity. These schemes combine a compound Poisson approximation for the ...
  • Ortiz-Latorre, Salvador; Pilipenko, Andrey; Proske, Frank Norbert; Baños, David Ruiz (Journal article / Tidsskriftartikkel / SubmittedVersion, 2017)
    In this paper we prove the existence of strong solutions to a SDE with a generalized drift driven by a multidimensional fractional Brownian motion for small Hurst parameters H<1/2. Here the generalized drift is given as ...