RESEARCH ACTIVITIES

WELCOME!   

http://www.ub.edu/plie/personal_PLiE/corcuera_HTML/DSCN0087.JPG

 

 

José Manuel Corcuera Valverde

·  Universitat de Barcelona

·  Facultat de Matemàtiques

·  Gran Via de les Corts Catalanes 585

·  08007  Barcelona, Spain

·  Ph: 34-93-4021656,  Fax: 34-93-402 16 01

·  If you want to send me an e-mail (jmcorcuera at ub.edu), click here.

Research topics:

Lecture notes:

 

Papers:  

  1. Corcuera, J.M.,  De Spiegeleer, J.,  Ferreiro-Castilla, A.,  Kyprianou, A.E., Madan, D.B., Schoutens, W. (2013). Efficient Pricing of Contingent Convertibles under Smile Conform Models.  Journal of Credit Risk 9(3), 121–140.
  2. Corcuera, J.M., Farkas G., Schoutens, W., Valkeyla. E. (2012)  A short rate model using ambit processes. In Malliavin Calculus and Stochastic Analysis . A Festschrift in Honor of David  Nualart . Springer Proceedings in Mathematics & Statistics Volume 34, 2013, pp 525-553
  3. Corcuera, J.M., Di Nunno, G., Farkas, G., Oksendal, B. (2013). : A continuous auction model with insiders and random time of information release Preprint. 
  4. Corcuera, J.M., Di Nunno, G., Farkas, G., Oksendal, B. (2011)  Kyle-Back's model with Lévy noise. Preprint
  5. Corcuera, J.M., Vadivia, A. (2011) Enlargements of filtrations and applications. Preprint.
  6. Corcuera, J.M., Gillaume, F.,  Madan, D., Schoutens, W. (2012) Implied Liquidity:  Towards stochastic liquidity modelling and liquidity trading.  Int. J. of Portfolio Analysis and Management, Vol.1, No.1, pp.80 - 91.
  7. Corcuera, J.M. (2011) Completeness and Hedging in a Lévy Bond Market. In Progress in Probability, Vol. 65, 317-330.
  8. Corcuera, J.M. (2013) New Central Limit Theorems for Functionals of Gaussian Processes and their Applications. Methodol. Comput. Appl. Probab, Vol. 14(3) pp 477-500.
  9. Barndorff-Nielsen, O.E., Corcuera, J.M., Podolskij, M. (2013) Limit theorems for functionals of higher order differences of Brownian semi-stationary processes  In  Prokhorov and Contemporary Probability Theory” edited by A. Shiryaev, Varadhan, and E. Presman. Proceedings in Mathematics & Statistics, Vol. 33, pp 69-96.
  10.  Barndorff-Nielsen, O.E., Corcuera, J.M., Podolskij, M. (2011) Multipower variation for Brownian Semistationary Processes. Bernoulli, Vol. 17, No. 4, 1159-1194.
  11.  Corcuera, J.M.,  Kohatsu, A. Statistical Inference and Malliavin Calculus (2011). In the proceedings of the Seminar on Stochastic Analysis, Random Fields and Applications VI. Centro Stefano Fanscini, Ascona, May 2008, 59-82.
  12. Corcuera, J.M. and Farkas, G. (2010) Power variation for Itô intengrals with respect to an α-stable process.  Statistica Neerlandica, 64, 3, 276-289.
  13. Barndorff-Nielsen, O.E., Corcuera, J.M., Podolskij, M. (2009) Power variation for Gaussian processes with stationary increments. Stochastic Processes and their Applications, 119, 1845-1865.
  14. Corcuera, J.M., Guerra, J. (2010). Dynamic Complex Hedging in Additive Markets.  Quantitative Finance, 10,9 1023-1037.
  15. Corcuera, J.M., Gillaume, F., Leoni.P, Schoutens. (2009). Implied Lévy volatility. Quantitative Finance, 9 383-393.
  16. Barndorff-Nielsen, O.E., Corcuera, J.M., Podolskij, M. (2009). Bipower variation for Gaussian processes with stationary increments. Journal of Applied Probability, 46, 132-150.
  17. Corcuera, José M. (2008), Approximate predictive pivots for autoregressive processes. Statistics and Probability Letters, 78, 2658-2691.
  18. Corcuera, J.M.; Nualart, D.; Woerner, J. (2008). Convergence of certain functionals of integral fractional processes.  Journal of Theoretical Probability. Available on line.
  19. Corcuera, J.M., Guerra, J. (2007). Optimal investment in non-homogeneous Lévy markets. Mathematics Preprint Series. No. 395. IMUB. University of Barcelona.
  20. Corcuera, J.M., Nualart, D. and Woerner, J. (2007). A Functional Central Limit Theorem for Integrated Stable Processes.  Stochastic Analysis and Applications,  25, 169-186.
  21. Corcuera, J.M. (2007). Power variation analysis of some integral long-memory processes. In Proceedings of the 2nd Abel  Conference held in Oslo (Norway), July 2005, pp 219-234. Springer-Verlag.
  22. Corcuera, J.M., Nualart, D. , Woerner, J. (2006) Power variation of some integral fractional  processes . Bernoulli , 12(4), 713-735. 
  23. Corcuera, J.M., Guerra, J., Nualart, D., Schoutens, W. (2006) Optimal Investment in a Lévy Market. Applied Mathematics and Optimization, 53, 279-309.
  24. Corcuera, J.M., Giummolè, F. (2006) Multivariate prediction. Bernoulli, 12(1), 157-168.
  25. Corcuera, J.M., Nualart, D., Schoutens, W.  Moment Derivatives and Lévy -type Market Completion. In: W. Schoutens, A. Kyprianou and P. Wilmott (eds.): Exotic Option Pricing and Advanced Lévy Models. (2005). Chichester, UK: Wiley.  
  26. Corcuera, J.M., Nualart, D. & Schoutens, W. (2005) Completion of a Lévy market by power-jump assets. Finance and Stochastics. 9(1), 109-127.
  27. Corcuera, J.M., Imkeller, P. Kohatsu-Higa, A. and Nualart, D. (2004) Additional utility of insiders with imperfect dynamical information. Finance and Stochastics, 8, 437-450.
  28. Corcuera, J.M., Gemo S. (2003). Modelling the Spanish financial assets by means of generalized hyperbolic Lévy processes with applications to option pricing. Proceedings of the 6th Spanish- Italian Meeting on Financial Mathematics. Trieste (Italia).
  29. Corcuera, J.M., Giummolè, F. (2002). A note about simultaneous prediction. Mathematics Preprint Series, No. 299. IMUB. Universitat de Barcelona.
  30. Corcuera, J.M. (2001). Prediction in First Order Autoregressive Processes, A Small Sample Simulation. American Journal of Mathematical and Management Sciences 21(1-2), 125-143.
  31. Corcuera, J.M., Giummolè, F. (2000) First-order optimal predictive densities.  In: P. Marriott and M. Salmon (eds.): Applications of differential geometry to econometrics.  Cambridge, UK: Cambridge University Press.
  32. Corcuera, J.M.,  Fiorot, L. (2000). Prediction bounds for autoregressive processes. Mathematics Preprint Series No.277.
  33. Corcuera, J.M. Kendall, W.S (1999). Riemannian barycenters and geodesic convexity. Mathematical Proceedings of the Cambrigde Philosophical Society 127, 253-269.
  34. Corcuera, J.M., Giummolè, F. (1999). A generalized Bayes rule for prediction. Scandinavian Journal of Statistics 26, 265-279.
  35. Corcuera, J.M., Giummolè, F. (1999). On the relationship between α-connections and the asymptotic properties of predictive distributions. Bernoulli 5(1), 163-176.
  36. Corcuera, J.M., Giummolè, F. (1998). A characterization for monotone and regular divergences. Ann. Inst. Statist. Math.  50(3), 433-450.
  37. Corcuera, J.M., Giummole, F. (1996). Difffential Geometry in Statistics. Manuscript.
  38. Corcuera, J.M. (1996). A general formula for the asymptotic posterior density based on the p*-formula. Manuscript. 
  39. Corcuera, J.M. (1996). Geometria i Estadística. Bulletí de la Societat Catalana de Matemàtiques 11(1), 47-56.
  40. Oller, J.M , Corcuera, J.M. (1995). Intrinsic Analysis of Statistical Estimation. Annals of Statistics 23(5), 1562-1581.
  41. Corcuera J.M., Oller, J.M. (1995). Global Efficiency. Department of Statistics. University of Barcelona.

Papers not available in this page can be sent upon request.

Talks:

“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”. The 57th Session of the International Statistical Institute Durban (Shouth Africa) 16-22 August 2009.

“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.

12/09/2013