Josep Vives

Publication Activity (10 Years)

Years Active: 2002-2024
Publications (10 Years): 4

Top Topics

Asymptotic Analysis

Stochastic Models

Top Venues

Commun. Nonlinear Sci. Numer. Simul.

SIAM J. Financial Math.

Comput. Manag. Sci.

Publications

Youssef El-Khatib, Zororo S. Makumbe, Josep Vives
Approximate option pricing under a two-factor Heston-Kou stochastic volatility model. Comput. Manag. Sci. 21 (1) (2024)
Pere Díaz Lozano, Toni Lozano Bagén, Josep Vives
Neural SDEs for Conditional Time Series Generation and the Signature-Wasserstein-1 metric. CoRR (2023)
Lloyd L. Aromi, Yuri A. Katz, Josep Vives
Topological features of multivariate distributions: Dependency on the covariance matrix. Commun. Nonlinear Sci. Numer. Simul. 103 (2021)
Archil Gulisashvili, Josep Vives
Asymptotic Analysis of Stock Price Densities and Implied Volatilities in Mixed Stochastic Models. SIAM J. Financial Math. 6 (1) (2015)
Elisa Alòs, Jorge A. León, Josep Vives
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. Finance Stochastics 11 (4) (2007)
Jorge A. León, Josep L. Solé, Frederic Utzet, Josep Vives
On Lévy processes, Malliavin calculus and market models with jumps. Finance Stochastics 6 (2) (2002)