F. Utzet

activity

20072016

most citedA new look at the Heston characteristic function

19 citations · 56 across the 12 of their papers we have counts for

collaborators

Showing 2010 · math.PRShow all

2 papers · 2 filters

math.PR2010

Inversion of analytic characteristic functions and infinite convolutions of exponential and Laplace densities

Albert Ferreiro-Castilla, Frederic Utzet

We prove that certain quotients of entire functions are characteristic functions. Under some conditions, the probability measure corresponding to a characteristic function of that…

math.PR2010★ 1 cited

Lévy area for Gaussian processes: A double Wiener-Itô integral approach

Albert Ferreiro-Castilla, Frederic Utzet

Let ${X_{1} (t)}_{0 \leq t \leq 1}$ and ${X_{2} (t)}_{0 \leq t \leq 1}$ be two independent continuous centered Gaussian processes with covariance functions $R_{1}$ and $R_{2}$ . This pap…