19 citations · 22 across the 6 of their papers we have counts for
6 papers
An Euler-Poisson Scheme for Lévy driven SDEs
Albert Ferreiro-Castilla, Andreas E Kyprianou, Robert Scheichl
We describe an Euler scheme to approximate solutions of Lévy driven Stochastic Differential Equations (SDE) where the grid points are random and given by the arrival times of a Poi…
Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots
Albert Ferreiro-Castilla, Kees van Schaik
In this note we apply the recently established Wiener-Hopf Monte Carlo (WHMC) simulation technique for Levy processes from Kuznetsov et al. [17] to path functionals, in particular…
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…
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…
Lévy area for Gaussian processes: A double Wiener-Itô integral approach
Albert Ferreiro-Castilla, Frederic Utzet
Let and be two independent continuous centered Gaussian processes with covariance functions and . This pap…
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…