19 citations · 20 across the 2 of their papers we have counts for
2 papers
math.PR2012★ 1 cited
Multilevel Monte Carlo simulation for Levy processes based on the Wiener-Hopf factorisation
Albert Ferreiro-Castilla, Andreas E. Kyprianou, Robert Scheichl +1
In Kuznetsov et al. (2011) a new Monte Carlo simulation technique was introduced for a large family of Levy processes that is based on the Wiener-Hopf decomposition. We pursue this…
math.PR2009★ 19 cited
A new look at the Heston characteristic function
Sebastian del Baño Rollin, Albert Ferreiro-Castilla, Frederic Utzet
A new expression for the characteristic function of log-spot in Heston model is presented. This expression more clearly exhibits its properties as an analytic characteristic functi…