Josep Vives

On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

Elisa Alòs, Jorge A. Leòn, Josep Vives · Finance and Stochastics · 2007 · 232 citations

Business, Finance, Mathematics +17

Chaos expansions of double intersection local time of Brownian motion in Rd and renormalization

Peter Imkeller, Víctor Pérez‐Abreu, Josep Vives · Stochastic Processes and their Applications · 1995 · 82 citations

Natural Sciences, Mathematics, Physics +16

Canonical Lévy process and Malliavin calculus

Josep Lluís Solé, Frederic Utzet, Josep Vives · Stochastic Processes and their Applications · 2006 · 78 citations

Engineering, Mathematics, Probability Theory +12

On Lévy processes, Malliavin calculus and market models with jumps

Jorge A. Leòn, Josep Lluís Solé, Frederic Utzet et al. · Finance and Stochastics · 2002 · 75 citations

Engineering, Economics, Mathematics +16

Smoothness of Brownian local times and related functionals

David Nualart, Josep Vives · Potential Analysis · 1992 · 45 citations

Engineering, Meteorology, Stochastic Processes +11