Josep Vives

University of Barcelona

Gran Via de les Corts Catalanes, 585

Barcelona, 08007

Spain

SCHOLARLY PAPERS

3

DOWNLOADS

462

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

On the Short-Time Behavior of the Implied Volatility for Jump-Diffusion Models With Stochastic Volatility

Number of pages: 22 Posted: 24 Jul 2007
Elisa Alos, Jorge A. Leon and Josep Vives
University of Pompeu Fabra - Department of Economics, Centro de Investigación y de Estudios Avanzados del IPN (CINVESTAV-IPN) and University of Barcelona
Downloads 240 (128,607)
Citation 2

Abstract:

Loading...

Black-Scholes formula, derivative operator, Itô's formula for the Skorohod integral, jump-diffusion stochastic volatility model

2.

A Hull and White Formula for a General Stochastic Volatility Jump-Diffusion Model with Applications to the Study of the Short-Time Behavior of the Implied Volatility

Number of pages: 15 Posted: 24 Apr 2008
University of Pompeu Fabra - Department of Economics, Centro de Investigación y de Estudios Avanzados del IPN (CINVESTAV-IPN), University of Toulouse III and University of Barcelona
Downloads 219 (140,709)
Citation 2

Abstract:

Loading...

Hull and White formula, Malliavin calculus, Ito's formula for the Skorohod integral, jumpdiffusion stochastic volatility models

3.

Chaotic Expansion and Smoothness of Some Functionals of the Fractional Brownian Motion

Science Direct Working Paper No S1574-0358(04)70301-9
Number of pages: 19 Posted: 13 Mar 2018
M'hamed Eddahbi and Josep Vives
affiliation not provided to SSRN and University of Barcelona
Downloads 3 (635,626)

Abstract:

Loading...

Fractional Brownian motion, Additive functionals, Local time, Chaotic expansion, Fractional derivative, Hilbert transform, Sobolev-Watanabe spaces