José Manuel Corcuera

University of Barcelona

Gran Via de les Corts Catalanes, 585

Barcelona, 08007

Spain

  • University of Barcelona

SCHOLARLY PAPERS

7

DOWNLOADS

1,270

SSRN CITATIONS

0

CROSSREF CITATIONS

14

Scholarly Papers (7)

Actions:
Email selected abstracts
1.

Efficient Pricing of Contingent Convertibles Under Smile Conform Models

Number of pages: 13 Posted: 05 Nov 2011
José Manuel Corcuera, Jan De Spiegeleer, Albert Ferreiro-Castilla, Andreas E. Kyprianou, Dilip B. Madan and Wim Schoutens
University of Barcelona, RiskConcile, Universidad Autonoma de Madrid, University of Bath, University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 454 (110,504)
Citation 5

Abstract:

Loading...

Wiener-Hopf factorization, Lévy processes, CoCo pricing, Monte-Carlo simulation

2.

Close Form Pricing Formulas for CoCa CoCos

Number of pages: 18 Posted: 25 Jan 2013
José Manuel Corcuera, José Fajardo, Henrik Jonsson, Wim Schoutens and Arturo Valdivia
University of Barcelona, Getulio Vargas Foundation, European Commission - Joint Research Centre, KU Leuven - Department of Mathematics and University of Barcelona
Downloads 291 (180,659)
Citation 3

Abstract:

Loading...

Contingent Convertibles, Credit Risk, Structural Approach, First Passage Times

3.

CoCos with Extension Risk: A Structural Approach

Number of pages: 17 Posted: 20 Dec 2014
José Manuel Corcuera, José Fajardo, Wim Schoutens and Arturo Valdivia
University of Barcelona, Getulio Vargas Foundation, KU Leuven - Department of Mathematics and University of Barcelona
Downloads 160 (315,841)
Citation 2

Abstract:

Loading...

Contingent convertibles, extension rsk, call date

4.

Pricing CoCos with a Market Trigger

Number of pages: 26 Posted: 20 Feb 2015
José Manuel Corcuera and Arturo Valdivia
University of Barcelona and University of Barcelona
Downloads 138 (356,171)
Citation 1

Abstract:

Loading...

Contingent Convertibles, Market triggers, Short-term uncertainty, Extension Risk

5.

Bipower Variation for Gaussian Processes with Stationary Increments

Number of pages: 29 Posted: 22 Jun 2008
Ole E. Barndorff-Nielsen, José Manuel Corcuera, Mark Podolskij and Jeanette Woerner
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Barcelona, Aarhus University - School of Business and Social Sciences and affiliation not provided to SSRN
Downloads 84 (504,130)
Citation 13

Abstract:

Loading...

Bipower Variation, Central Limit Theorem, Chaos Expansion, Gaussian Processes, Multiple Wiener-Itô Integrals

6.

On the Optimal Investment

Number of pages: 19 Posted: 14 Jun 2016
José Manuel Corcuera, José Fajardo and Olivier Menouken Pamen
University of Barcelona, Getulio Vargas Foundation and University of Liverpool
Downloads 82 (511,453)

Abstract:

Loading...

Expected Utility, Prospect Theory, Risk Aversion, Law invariant preferences, Growth Optimal Portfolio, Portfolio Numeraire

7.

Kyle Equilibrium Under Random Price Pressure

Number of pages: 26 Posted: 03 Sep 2018
José Manuel Corcuera, Giulia Di Nunno and José Fajardo
University of Barcelona, University of Oslo - Department of Mathematics and Getulio Vargas Foundation
Downloads 61 (600,834)

Abstract:

Loading...

Kyle Model, Market Microstructure, Equilibrium, Insider Trading, Stochastic Control, Semimartingales, Enlargement of Filtrations