70 citations · 376 across the 24 of their papers we have counts for
Showing 2011Show all
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physics.data-an2011★ 56 cited
Detecting series periodicity with horizontal visibility graphs
Angel M. Núñez, Lucas Lacasa, Eusebio Valero +2
The horizontal visibility algorithm has been recently introduced as a mapping between time series and networks. The challenge lies in characterizing the structure of time series (a…
q-fin.CP2011
Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility
Eusebio Valero, Manuel Torrealba, Lucas Lacasa +1
This paper considers the single factor Heath-Jarrow-Morton model for the interest rate curve with stochastic volatility. Its natural formulation, described in terms of stochastic d…