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Albert Ferreiro-Castilla

Identifiers

  • name variant Albert Ferreiro-Castilla 0.60 · backfill

Papers (6)

  1. An Euler-Poisson Scheme for L\'evy driven SDEs math.PR · 2013 · author #1
  2. Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots math.PR · 2013 · author #1
  3. Multilevel Monte Carlo simulation for Levy processes based on the Wiener-Hopf factorisation math.PR · 2012 · author #1
  4. Inversion of analytic characteristic functions and infinite convolutions of exponential and Laplace densities math.PR · 2010 · author #1
  5. L\'evy area for Gaussian processes: A double Wiener-It\^o integral approach math.PR · 2010 · author #1
  6. A new look at the Heston characteristic function math.PR · 2009 · author #2

Mentions

  • 1309.1839 #1 · backfill · confidence 0.70 Albert Ferreiro-Castilla
  • 1306.3923 #1 · backfill · confidence 0.70 Albert Ferreiro-Castilla
  • 1210.5868 #1 · backfill · confidence 0.70 Albert Ferreiro-Castilla
  • 1009.1543 #1 · backfill · confidence 0.70 Albert Ferreiro-Castilla
  • 1007.2516 #1 · backfill · confidence 0.70 Albert Ferreiro-Castilla
  • 0902.2154 #2 · backfill · confidence 0.70 Albert Ferreiro-Castilla

Frequent Coauthors