Follow
Jose Manuel Corcuera
Jose Manuel Corcuera
Profesor de Matemáticas Universidad de Barcelona
Verified email at ub.edu - Homepage
Title
Cited by
Cited by
Year
Power variation of some integral fractional processes
JM Corcuera, D Nualart, JHC Woerner
Bernoulli 12 (4), 713-735, 2006
1442006
Additional utility of insiders with imperfect dynamical information
JM Corcuera, P Imkeller, A Kohatsu-Higa, D Nualart
Finance and Stochastics 8, 437-450, 2004
1252004
On an intrinsic analysis of statistical estimation
JM Oller
Multivariate Analysis: Future Directions 2, 421-437, 1993
1201993
Power variation for Gaussian processes with stationary increments
OE Barndorff-Nielsen, JM Corcuera, M Podolskij
Stochastic processes and their applications 119 (6), 1845-1865, 2009
942009
Multipower variation for Brownian semistationary processes
OE Barndorff-Nielsen, JM Corcuera, M Podolskij
922011
A generalized Bayes rule for prediction
JM Corcuera, F Giummolč
Scandinavian Journal of Statistics 26 (2), 265-279, 1999
831999
Completion of a Lévy market by power-jump assets
JM Corcuera, D Nualart, W Schoutens
Finance and Stochastics 9, 109-127, 2005
802005
Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
OE Barndorff-Nielsen, JM Corcuera, M Podolskij
Prokhorov and Contemporary Probability Theory: In Honor of Yuri V. Prokhorov …, 2013
582013
Efficient pricing of contingent convertibles under smile conform models
JM Corcuera, J De Spiegeleer, A Ferreiro-Castilla, AE Kyprianou, ...
Available at SSRN 1954671, 2011
582011
Asymptotic theory for Brownian semi-stationary processes with application to turbulence
JM Corcuera, E Hedevang, MS Pakkanen, M Podolskij
Stochastic processes and their applications 123 (7), 2552-2574, 2013
552013
Close form pricing formulas for Coupon Cancellable CoCos
JM Corcuera, J De Spiegeleer, J Fajardo, H Jönsson, W Schoutens, ...
Journal of Banking & Finance 42, 339-351, 2014
482014
Riemannian barycentres and geodesic convexity
JM Corcuera, WS Kendall
Mathematical Proceedings of the Cambridge Philosophical Society 127 (2), 253-269, 1999
411999
Asymptotics of weighted random sums
JM Corcuera, D Nualart, M Podolskij
arXiv preprint arXiv:1402.1414, 2014
372014
Optimal investment in a Lévy market
JM Corcuera, J Guerra, D Nualart, W Schoutens
Applied Mathematics and Optimization 53, 279-309, 2006
372006
Implied liquidity: towards stochastic liquidity modelling and liquidity trading
JM Corcuera, F Guillaume, DB Madan, W Schoutens
International Journal of Portfolio Analysis and Management 1 (1), 80-91, 2012
352012
Implied lévy volatility
JM Corcuera, F Guillaume, P Leoni, W Schoutens
Quantitative Finance 9 (4), 383-393, 2009
312009
A characterization of monotone and regular divergences
JM Corcuera, F Giummole
Annals of the Institute of Statistical Mathematics 50, 433-450, 1998
251998
Power variation of some integral long-memory processes
JM Corcuera, D Nualart, JHC Woerner
Universitat de Barcelona. Institut de Matemŕtica [IMUB], 2005
212005
A functional central limit theorem for the realized power variation of integrated stable processes
JM Corcuera, D Nualart, JHC Woerner
Stochastic Analysis and Applications 25 (1), 169-186, 2007
202007
On the relationship between α connections and the asymptotic properties of predictive distributions
JM Corcuera, F Giummolč
171999
The system can't perform the operation now. Try again later.
Articles 1–20