72 citations · 141 across the 8 of their papers we have counts for
9 papers
Fractional signature: a generalisation of the signature inspired by fractional calculus
José Manuel Corcuera, Rubén Jiménez
In this paper, we propose a novel generalisation of the signature of a path, motivated by fractional calculus, which is able to describe the solutions of linear Caputo controlled F…
The Golden Age of the Mathematical Finance
José Manuel Corcuera
This paper is devoted to show that the last quarter of the past century can be considered as the golden age of the Mathematical Finance. In this period the collaboration of great e…
Path-dependent Kyle equilibrium model
José M. Corcuera, Giulia Di Nunno
We consider an auction type equilibrium model with an insider in line with the one originally introduced by Kyle in 1985 and then extended to the continuous time setting by Back in…
CoCos under short-term uncertainty
José Manuel Corcuera, Arturo Valdivia
In this paper we analyze an extension of the Jeanblanc and Valchev (2005) model by considering a short-term uncertainty model with two noises. It is a combination of the ideas of D…
A continuous auction model with insiders and random time of information release
José Manuel Corcuera, Giulia Di Nunno, Gergely Farkas +1
In a unified framework we study equilibrium in the presence of an insider having information on the signal of the firm value, which is naturally connected to the fundamental price…
Asymptotics of weighted random sums
José Manuel Corcuera, David Nualart, Mark Podolskij
In this paper we study the asymptotic behaviour of weighted random sums when the sum process converges stably in law to a Brownian motion and the weight process has continuous traj…