José Manuel Corcuera Valverde
· Universitat de Barcelona
· Facultat de
Matemàtiques i Informàtica
· Gran Via de les Corts Catalanes 585
· 08007 Barcelona, Spain
· Ph: 34-93-4021656, Fax: 34-93-402 16 01
Papers not available in this page can be sent upon request.
"Kyle equilibrium under random price pressure " 10th World Congress, Bachelier Finance Society. Dublin (Irlanda), 2018.
"Kyle equilibrium under random price pressure " 9th International Workshop on Applied Probability (IWAP2018). Budapest (Hungría), 2018.
"Equilibrium under imperfect competition and asymmetric information" Eighth International Conference on Mathematical and Statistical Finance (MAF2018) .
"On the equilibrium under imperfect competition and privilege information". 8th General AMaMeF Conference. Amsterdam (Holanda). 2017.
"On the equilibrium under imperfect competition and privilege information". EMS-SCM meeting, 29 September 2017, Edinburgh.
"Price impact in the Kyle-Back equilibrium model." 11th Annual Risk and Stochastics Conference. London, 2017.
"CoCos with extension risk. A structural approach." Aarhus Conference on Probability, Statistics and Their Applications. Aarhus (Dinamarca) 2016.
"On the behavior of the price impact in the Kyle-Back model ". 9th World Congress of the Bachelier Finance Society. New York, 2016.
"On the behavior of the price impact in the Kyle-Back model ". The Second International Congress on Actuarial Science and Quantitative Finance. Cartagena de Indias (Colombia) 2016.
"CoCos under-short term uncertainty". CSASC. Joint meeting of the Czech, Slovenian, Austrian, Slovak and Catalan mathematical societies. Barcelona, 2016.
"Optimal payoffs". Stochastics of Environmental and Financial Economics II. Oslo 2015.
"A long-range dependence model in fixed income markets". 7th General AMaMeF and Swissquote Conference. Laussane (Suiza). 2015.
"On the behavior of the price impact in the Kyle-Back model" Workshop on Kyle-Back type equilibrium models. Institut Henri Poincaré . Paris, 2015.
"CoCos with Extension Risk. A Structural Approach". Bachelier Colloqium 2015. Metabief, January 2015.
"Some applications of Malliavin Calculus in Statistical Inference". Statistical Inference for Lévy processes. Lorentz- Center in Leiden, 2014.
"Applications of Malliavin Calculus in Statistical Inference". Mini-Workshop: Malliavin calculus and applications to finance. TUMU - Technische Universität München (TUM), 2014.
"Contingent Convertibles and Extension Risk ". Stochastics of Environmental and Financial Economics. Oslo, 2014.
"A continuous auction model with insiders and random time of information release ". The 8th Bachelier Colloquium on Mathematical Finance and Stochastic Calculus, Metabief, France, January 2014.
“A short rate model using ambit processes”. LMS-EPRSC Short Course: Common Themes in Financial and Actuarial Mathematics. Liverpool University. April, 15-20, 2013.
“Asymptotics of weighted random sums”. The AHOI Workshop on “Ambit stochastics and applications”. Imperial College, London, March 25-27, 2013.
“Pricing Contingent Convertibles”. Jornada CRM-Empresa sobre Finanzas Cuantitativas. CRM, Barcelona. February 22, 2013
“Pricing Contingent Convertibles”. The Seventh Bachelier Colloquium. Métabief (Francia). January 13-20, 2013.
“Ambit processes and related issues”. Modern Stochastics: Theory and Applications III. Kiev (Ucrania). September 10-15, 2012.
“Ambit processes and related issues”. 8th World Congress in Probability and Statistics. Estambul (Turquía). July 9-14, 2012.
“Pricing Cocos: A credit risk approach”. 5 Semana Internacional de Estadística y Probabilidad. Puebla (Méjico). June 18-23, 2012.
“Ambit processes and related issues”. : Stochastic Analysis Seminar. Imperial College (Londres). March 6, 2012.
“A general continuous auction system in presence of insiders”. Seminar at BCAM, Basque center for Applied Mathematics. October. 2011. Bilbao
“A short rate model using ambit processes”. Workshop on Ambit Stochastics. Sandbjerg (Denmark), 11-14 Sep 2011.
“Limit theorems for functionals of higher order differences of Brownian semi-stationary processes”. 35th Conference on Stochastic Processes and their Applications, Oaxaca (Méjico), June 2011.
“A general continuous auction system in presence of insiders” Workshop on Finance: Econometrics, Numerical Methods and Foundations, June 13-17, 2011, CIMAT, Guanajuato (Méjico).
“Applications of Malliavin Calculus in Statistical Inference” Malliavin Calculus for Jump Processes 2010. Université Paris-Est -Marne-la-Vallée. Paris (France) 17-19 November 2010.
“Kyle-Back’s model and initial enlargements of filtrations” Workshop: "Enlargement of filtrations and Applications to Finance and Insurance" May 31-June 4, 2010, Jena (Germany)
“ Kyle-Back's model and initial enlargements of filtrations”. The Fifth General Conference on Advanced Mathematical Methods in Finance, AMaMeF 2010, Bled (Slovenia) 3-8 May 2010.
“New central limit thorems for functional of Gaussian processes and their applications”. Ambit processes, non-semimartingales and applications. Sandbjerg (Dinamarca), 26 January 2010.
“Multipower Variation for Brownian Semistationary Processes”. 33rd Conference on Stochastic Processes and Their Applications. Berlín (Germany), July 27-31, 2009.
“Completeness and hedging in a Lévy bond market”. EURANDOM: "Statistical Inference for Lévy Processes with Applications to Finance". Eindhoven (Holland), July 15-17, 2009.
“Completeness and hedging in a Lévy bond market”. Workshop on Stochastic Analysis and Finance, Hong-Kong (China). June 29-July 3, 2009.
“Statistical Inference and Malliavin Calculus”. Congress: Statistical Regularization and Qualitative Constraints, Goettingen (Germany). November 20-22, 2008.
“Statistical Inference and Malliavin Calculus”. "Sixth Seminar of Stochastic Analysis, Random Fields and Applications" Ascona (Switzerland). May 19-23, 2008.
“Power variation and Gaussian processes with stationary increments”. Workshop: Stochastics in Turbulence and Finance. Sandbjerg (Denmark), 9 January-1 February 2008.
“Hedging and Optimization in a Geometric Additive Market”.Seminaire Bachelier, París, 30 November 2007.
“Power variation and Gaussian processes with stationary increments”. Talks at the Department of Mathematics of the Humdbolt University, Berlín (Germany) 19 Octuber 2007 and at the University of Aarhus (CREATES Center) 23 October 2007.
“Power-jump assets: A tool for optimization and hedging in an additive market”. AMAMEF, Viena (Austria), 17-22 September 2007.
“Power-jump assets: A tool for optimization and hedging in an additive market”.Congress: “First French-Spanish Congress of Mathematics”. 9-13 July 2007, Zaragoza (Spain).
“Power-jump assets: A tool for optimization and hedging in an additive market”. “Workshop: Innovations in Mathematical Finance”, Loen (Noruega) 25 June- 1 July 2007.
“Power variation and stable processes”. “Workshop: Complex Stochastic Systems: Asymptotics and Applications”. Moscow (Russia). 4-5 June 2007.
“Power-jump assets: A tool for optimization and hedging in a Lévy Market” and “Realized power variation and stable processes”. Congress: X CLAPEM. Lima (Perú). February 2007.
“The martingale method in a Levy Market”. Talk at CEMAPRE. Lisbon (Portugal). November 2006.
“The martingale method in a Levy Market”. Edimburgo (Reino Unido). September 2006. Workshop: Credit Risk on Lévy Markets.
“A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes”. Workshop on stochastic control and Finance. Kyoto (Japan). August 2006.
“The martingale method in a Lévy Market”. Tokyo (Japan). August 2006. Congress: Bachelier Finance Society Fourth World Congress.
``A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes. Side (Turquía). May, 2006. Congress: First Amamef Congress.
``A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes". (Poster). Congress: Conference in Honor of O.E. Barndorff Nielsen. CIMAT, Guanajuato (Méjico). Mars, 2006.
"Power variation analysis of integral fractional processes and applications". Finance Stochastic Departament. University of Goettingen. (Germany). January 2006.
"Power variation analysis of integral fractional processes and applications". Talk at the Seminar of the Departament of de Matematics of the Technical University of Helsinki. Helsinki (Finland). January 2006.
``Power variation analysis of some long-memory processes".Oslo (Noruega)}. Julio 2005. Congress: 2nd Abel Conference.
``Power variation of some long-memory processes and applications". Oslo (Noruega). Julio 2005 Congress: XXV European meeting of Statisticians.
``Power variation of some long-memory processes". Ascona (Suiza). Julio 2005. Congress: Stochastic Analysis, Random Fields and Applications.
``Power variation of some long-memory processes". Talk in the Seminar del Department of Mathematics. University of Bonn. Bonn (Alemania). 13-17 de Junio de 2005.
"Power variation of some long-memory processes". Talk in the "Séminaire Bachelier". Paris (France). 13-16 de Mayo de 2005.
``Modelling Insiders in the Black-Scholes Model''. Pamplona. 2003. XXXIII International Seminar on Stability Problems for Stochastic Models.
``Modelling Insiders in the Black-Scholes Model''. Barcelona. 2002. Advanced Course on Mathematical Finance: Further models. CRM.
``Simultaneous Prediction''. Pescara (Italia). 2002. Congress: Information geometry and its applications.
``Modelling Insiders in the Black-Scholes Model''. Kiev (Ukraine). 2002. Congress: International Gnedenko Conference.
``Prediction Bounds for Autoregressive Processes''. Lisbon (Portugal). 2000. The 20th International Symposium on Forecasting.
``Prediction in Autoregressive Processes. A Small Sample Simulation''. Mysore (India). December 1999. International Conference on Combinatorics, Statistics, Pattern Recognition and Related Areas.
"Comments about prediction''. Toulouse (France). 1997. Workshop: Reencontres du reseau Europeen du GCASP.
"Predictive Densities and Asymptotics.'' Florence (Italy). October 1996}. Workshop: Applications of Differential Geometry to Econometrics: Theory and Computation.
``Predictive Densities and Asymptotics.'' Barcelona. September 1996. Workshop on Statistical Inference. Differential Geometry and Computer Algebra.
"Intrinsic asymptotic efficiency''. Brixen (Italia). June 1995. Workshop: Likelihood, Asymptotics and Neo Fisherian Inference.
``Some integral inequalities of Intrinsic Statistical Analysis''. Toulouse (France). May 1995. Workshop: Exponential families and Statistics.
``Multistage mixed sampling for the epidemiological study of allergic diseases''. Sitges (Barcelona). February 1994. IV Conferencia Española de Biometría.
"Intrinsic Analysis of Statistical Estimation''. Sandbjerg (Dinamarca). May 1993. Workshop: Statistical Inference, Differential Geometry and Computer Algebra.
``Conditional mean values on manifolds" and ``Some geometric aspects of stochastic processes''. Toulouse (France). October 1991. Workshop: Journées de Statistique et Geometrie Differentielle.