Salvador Ortiz-Latorre
Salvador Ortiz-Latorre
Associate Professor, University of Oslo
Verified email at math.uio.no
Title
Cited by
Cited by
Year
Central limit theorems for multiple stochastic integrals and Malliavin calculus
D Nualart, S Ortiz-Latorre
Stochastic Processes and their Applications 118 (4), 614-628, 2008
2022008
Intersection local time for two independent fractional Brownian motions
D Nualart, S Ortiz-Latorre
Journal of Theoretical Probability 20 (4), 759-767, 2007
332007
A pricing measure to explain the risk premium in power markets
FE Benth, S Ortiz-Latorre
SIAM Journal on Financial Mathematics 5 (1), 685-728, 2014
172014
Strong solutions of SDE's with generalized drift and multidimensional fractional Brownian initial noise
DR Baņos, S Ortiz-Latorre, A Pilipenko, F Proske
arXiv preprint arXiv:1705.01616, 2017
122017
A kusuoka–lyons–victoir particle filter
D Crisan, S Ortiz-Latorre
Proceedings of the Royal Society A: Mathematical, Physical and Engineering …, 2013
122013
Optimal simulation schemes for Lévy driven stochastic differential equations
A Kohatsu-Higa, S Ortiz-Latorre, P Tankov
Mathematics of Computation 83 (289), 2293-2324, 2014
82014
Modeling of financial markets with inside information in continuous time
A Kohatsu-Higa, S Ortiz-Latorre
Stochastics and Dynamics 11 (02n03), 415-438, 2011
72011
Weak Kyle–back equilibrium models for Max and ArgMax
A Kohatsu-Higa, S Ortiz-Latorre
SIAM Journal on Financial Mathematics 1 (1), 179-211, 2010
62010
An Itô–Stratonovich formula for Gaussian processes: A Riemann sums approach
D Nualart, S Ortiz-Latorre
Stochastic processes and their applications 118 (10), 1803-1819, 2008
52008
A change of measure preserving the affine structure in the Barndorff-Nielsen and Shephard model for commodity markets
FE Benth, S Ortiz-Latorre
International Journal of Theoretical and Applied Finance 18 (06), 1550038, 2015
42015
A high order time discretization of the solution of the non-linear filtering problem
D Crisan, S Ortiz-Latorre
Stochastics and Partial Differential Equations: Analysis and Computations, 1-68, 2019
32019
Combining Soft Systems Methodology and Discrete Event Simulation modelling for optimising hospital patient flow and resource utilisation
LB Holm
22013
Multidimensional Wick-Itô Formula for Gaussian Processes
D Nualart, S Ortiz-Latorre
Stochastic Analysis, Stochastic Systems, And Applications To Finance, 3-26, 2011
22011
A new pricing measure in the Barndorff-Nielsen–Shephard model for commodity markets
S Ortiz-Latorre
Extended Abstracts Summer 2015, 133-139, 2017
12017
Calibration of temperature futures by changing the mean reversion
FE Benth, S Ortiz-Latorre
Journal of Energy Markets, Forthcoming, 2017
12017
A second order time discretization of the solution of the non-linear filtering problem
D Crisan, S Ortiz-Latorre
arXiv preprint arXiv:1408.5678, 2014
12014
A change of measure preserving the affine structure in the BNS model for commodity markets
FE Benth, S Ortiz-Latorre
arXiv preprint arXiv:1403.5236, 2014
12014
Insider trading and weak equilibrium
A Kohatsu-Higa, S Ortiz-Latorre
Universitat de Barcelona. Institut de Matemātica [IMUB], 2008
12008
Variance and interest rate risk in unit-linked insurance policies
D Baņos, M Lagunas-Merino, S Ortiz-Latorre
Risks 8 (3), 84, 2020
2020
A decomposition formula for fractional Heston jump diffusion models
M Lagunas-Merino, S Ortiz-Latorre
arXiv preprint arXiv:2007.14328, 2020
2020
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