Albert Ferreiro-Castilla

Publications

171

Citations

H-Index

2009

Active since

Affiliations

University of Bath(Current)

KU Leuven

Universitat Autònoma de Barcelona

Albert Ferreiro-Castilla is an author at University of Bath specializing in probability theory, reflected stochastic processes, and stochastic processes.

Top concepts

EngineeringProbabilityStochastic ModelsStochastic AnalysisStochastic CalculusStochastic ProcessesStochastic SimulationStochastic VolatilityReflected Stochastic ProcessesFinance

Publications per year

2009–2015

Publications

Multilevel Monte Carlo simulation for Lévy processes based on the Wiener–Hopf factorisation

Albert Ferreiro-Castilla, Andreas E. Kyprianou, Robert Scheichl et al. · Stochastic Processes and their Applications · 2013 · 40 citations · Full text

On the density of log-spot in the Heston volatility model

Sebastián del Baño Rollin, Albert Ferreiro-Castilla, Frederic Utzet · Stochastic Processes and their Applications · 2010 · 38 citations

Heston Volatility Model

Pricing of contingent convertibles under smile conform models

José Manuel Corcuera, Jan De Spiegeleer, Albert Ferreiro-Castilla et al. · The Journal of Credit Risk · 2013 · 29 citations

Engineering, Lévy Processes, Exponential Lévy Process +25

Efficient Pricing of Contingent Convertibles Under Smile Conform Models

José Manuel Corcuera, Jan De Spiegeleer, Albert Ferreiro-Castilla et al. · SSRN Electronic Journal · 2011 · 23 citations · Full text

A new look at the Heston characteristic function

Sebastián del Baño Rollin, Albert Ferreiro-Castilla, Frederic Utzet · ArXiv.org · 2009 · 19 citations · Full text

Volatility Smile, Integrable Probability, Heston Characteristic Function +2

Rows per page

1–5 of 7