Josep Vives

University of Barcelona

Gran Via de les Corts Catalanes, 585

Barcelona, 08007

Spain

SCHOLARLY PAPERS

6

DOWNLOADS

527

SSRN CITATIONS

4

CROSSREF CITATIONS

2

Scholarly Papers (6)

1.

On the Short-Time Behavior of the Implied Volatility for Jump-Diffusion Models With Stochastic Volatility

Number of pages: 22 Posted: 24 Jul 2007
Elisa Alos, Jorge A. Leon and Josep Vives
University of Pompeu Fabra - Department of Economics, Centro de Investigación y de Estudios Avanzados del IPN (CINVESTAV-IPN) and University of Barcelona
Downloads 282 (133,262)
Citation 6

Abstract:

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Black-Scholes formula, derivative operator, Itô's formula for the Skorohod integral, jump-diffusion stochastic volatility model

2.

A Hull and White Formula for a General Stochastic Volatility Jump-Diffusion Model with Applications to the Study of the Short-Time Behavior of the Implied Volatility

Number of pages: 15 Posted: 24 Apr 2008
University of Pompeu Fabra - Department of Economics, Centro de Investigación y de Estudios Avanzados del IPN (CINVESTAV-IPN), Institut Mathématiques de Toulouse, Paul Sabatier University and University of Barcelona
Downloads 226 (166,044)
Citation 2

Abstract:

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Hull and White formula, Malliavin calculus, Ito's formula for the Skorohod integral, jumpdiffusion stochastic volatility models

3.

Topological Features of Multivariate Distributions: Dependency on the Covariance Matrix

Number of pages: 15 Posted: 26 Apr 2021
Lloyd Leaverton, Yuri A. Katz and Josep Vives
University of Barcelona, S&P Global and University of Barcelona
Downloads 13 (677,605)

Abstract:

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topological data analysis, statistical topology, complex systems, financial time series

4.

Chaotic Expansion and Smoothness of Some Functionals of the Fractional Brownian Motion

Science Direct Working Paper No S1574-0358(04)70301-9
Number of pages: 19 Posted: 13 Mar 2018
M'hamed Eddahbi and Josep Vives
affiliation not provided to SSRN and University of Barcelona
Downloads 6 (731,761)

Abstract:

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Fractional Brownian motion, Additive functionals, Local time, Chaotic expansion, Fractional derivative, Hilbert transform, Sobolev-Watanabe spaces

5.

High-Order Approximations to Call Option Prices in the Heston Model

Journal of Computational Finance, Vol. 24, No. 1, 2020
Number of pages: 20 Posted: 19 Jan 2021
Ohio University, University of Oslo - Department of Mathematics, University of Barcelona - Faculty of Mathematics and University of Barcelona
Downloads 0 (793,378)
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computational finance, Heston model, option pricing, price approximations, stochastic volatility models, vanilla options

6.

High-order Approximations to Call Option Prices in the Heston Model

Journal of Computational Finance, Forthcoming
Number of pages: 20 Posted: 13 Jul 2020
affiliation not provided to SSRN, University of Oslo - Department of Mathematics, University of Barcelona - Faculty of Mathematics and University of Barcelona
Downloads 0 (793,378)
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Abstract:

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computational finance, Heston model, option pricing, price approximations, stochastic volatility models, vanilla options