Luis Antonio Souto Arias

Utrecht University

PhD Candidate

Budapestlaan 6

Utrecht, Utrecht 3584 CD

Netherlands

  • Utrecht University

SCHOLARLY PAPERS

5

DOWNLOADS

954

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (5)

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1.

An alarm system for market crashes using quantum majorization

Number of pages: 26 Posted: 02 Feb 2022 Last Revised: 05 Aug 2022
J Montana, Luis Antonio Souto Arias, Pasquale Cirillo and Cornelis W. Oosterlee
Netherlands Organisation for Scientific Research - Centrum Wiskunde & Informatica, Utrecht University, ZHAW School of Management and Law and Utrecht University - Faculty of Science
Downloads 439 (102,768)

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Quantum majorization, correlation matrix, portfolio risk, forecasting, financial crash

2.

Estimation of Reinforced Urn Processes Under Left-truncation and Right-censoring

Number of pages: 22 Posted: 03 Jun 2020 Last Revised: 20 Sep 2022
Luis Antonio Souto Arias, Pasquale Cirillo and Cornelis W. Oosterlee
Utrecht University, ZHAW School of Management and Law and Utrecht University - Faculty of Science
Downloads 200 (232,811)

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Reinforced Urn Process, Expectation-Maximization, Bivariate survival function, Left-truncation, Right-Censoring

3.

Joint and Survivor Annuity Valuation with a Bivariate Reinforced Urn Process

Insurance: Mathematics and Economics, Vol. 99, 2021, 174-189.
Number of pages: 23 Posted: 02 Sep 2020 Last Revised: 22 Apr 2021
Luis Antonio Souto Arias and Pasquale Cirillo
Utrecht University and ZHAW School of Management and Law
Downloads 185 (249,426)

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urn process, joint distribution, annuity, mortality

4.

A New Self-Exciting Jump-Diffusion Process for Option Pricing

Number of pages: 23 Posted: 01 Jun 2022 Last Revised: 13 Feb 2023
Luis Antonio Souto Arias, Pasquale Cirillo and Cornelis W. Oosterlee
Utrecht University, ZHAW School of Management and Law and Utrecht University - Faculty of Science
Downloads 106 (385,948)

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options, self-exciting process, diffusion process, jump process, Hawkes, Bates, Heston

5.

AIDA: Analytic Isolation and Distance-based Anomaly Detection Algorithm

Number of pages: 35
Luis Antonio Souto Arias, Cornelis W. Oosterlee and Pasquale Cirillo
Utrecht University, Utrecht University - Faculty of Science and ZHAW School of Management and Law
Downloads 24

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Outlier detection, Anomaly explanation, Isolation, Distance, Ensemble methods