José Manuel Corcuera

University of Barcelona - Faculty of Mathematics

Gran Via de les Corts

Catalanes 585

Barcelona 08007

Spain

SCHOLARLY PAPERS

4

DOWNLOADS

517

CITATIONS
Rank 40,114

SSRN RANKINGS

Top 40,114

in Total Papers Citations

4

Scholarly Papers (4)

1.

Implied Liquidity - Towards Stochastic Liquidity Modeling and Liquidity Trading

Number of pages: 11 Posted: 14 Feb 2011
José Manuel Corcuera, Florence Guillaume, Dilip B. Madan and Wim Schoutens
University of Barcelona - Faculty of Mathematics, University of Antwerp, University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 310 (68,711)

Abstract:

Liquidity, bid-ask pricing, conic finance

2.

Additional Utility of Insiders with Imperfect Dynamical Information

UPF Economics and Business Working Paper No. 675
Number of pages: 28 Posted: 08 Sep 2003
José Manuel Corcuera, Peter Imkeller, Arturo Kohatsu-Higa and David Nualart
University of Barcelona - Faculty of Mathematics, Humboldt University of Berlin - Department of Mathematics, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and University of Barcelona - Department of Statistics
Downloads 89 (212,138)

Abstract:

Insider trading, enlargement of filtrations, Malliavin's calculus, utility maximization, arbitrage

3.

Multipower Variation for Brownian Semistationary Processes

CREATES Research Paper No. 2009-21
Number of pages: 47 Posted: 28 May 2009
Ole E. Barndorff-Nielsen, José Manuel Corcuera and Mark Podolskij
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Barcelona - Faculty of Mathematics and University of Aarhus - School of Economics and Management
Downloads 44 (296,701)
Citation 4

Abstract:

Central Limit Theorem, Gaussian Processes, Intermittency, Nonsemimartingales, Turbulence, Volatility, Wiener Chaos

4.

Limit Theorems for Functionals of Higher Order Differences of Brownian Semi-Stationary Processes

CREATES Research Paper No. 2009-60
Number of pages: 28 Posted: 29 Dec 2009
Ole E. Barndorff-Nielsen, José Manuel Corcuera and Mark Podolskij
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Barcelona - Faculty of Mathematics and University of Aarhus - School of Economics and Management
Downloads 16 (415,509)

Abstract:

Brownian semi-stationary processes, central limit theorem, Gaussian processes, high frequency observations, higher order differences, multipower variation, stable convergence