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F. Utzet

14 papers hereh-index 171.1k citations43 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position
  • middle author1
  • last author13

Across the 14 of 14 papers where every author was matched, so the position is known.

fields
  • math.PR13
  • math.ST1

identity via Semantic Scholar / OpenAlex

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 2013Show all

4 papers · 1 filter

math.PR2013

On the norming constants for normal maxima

Armengol Gasull, Maria Jolis, Frederic Utzet

In a remarkable paper, Peter Hall [{\it On the rate of convergence of normal extremes}, J. App. Prob, {\bf 16} (1979) 433--439] proved that the supremum norm distance between the d…

math.ST2013

Maxima of Weibull-like distributions and the Lambert W function

Armengol Gasull, José A. López-Salcedo, Frederic Utzet

The Weibull--like distributions form a large class of probability distributions that belong to the domain of attraction for the maxima of the Gumbel law. Besides the Weibull distri…

math.PR2013★ 1 cited

Approximating Mills ratio

Armengol Gasull, Frederic Utzet

Consider the Mills ratio f(x)=(1−Φ(x))/ϕ(x),x≥0, where ϕ is the density function of the standard Gaussian law and Φ its cumulative distribution.We introduce a…

math.PR2013

Gaussian Mills ratio is completely monotone

Armengol Gasull, Frederic Utzet

Consider the Mills ratio corresponding to the standard Gaussian law, f(x)=(1−Φ(x))/ϕ(x),x≥0, where ϕ is the density function of this law and Φ its cumulative d…

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