Albert Ferreiro-Castilla
University of Bath
14 Papers
83 Citations
Albert Ferreiro-Castilla is an academic researcher from University of Bath. The author has contributed to research in topics: Monte Carlo method & Characteristic function (probability theory). The author has an hindex of 7, co-authored 14 publications.
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Papers
On the density of log-spot in the Heston volatility model
TL;DR: In this paper, the log-spot in the Heston model has a C ∞ density and gives an expression of this density as an infinite convolution of Bessel type densities.
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Pricing of contingent convertibles under smile conform models
José Manuel Corcuera,Jan De Spiegeleer,Albert Ferreiro-Castilla,Andreas E. Kyprianou,Dilip B. Madan,Wim Schoutens +5 more
TL;DR: In this paper, the problem of pricing CoCo bonds where the underlying risky asset dynamics are given by a smile conform model, more precisely an exponential Levy process incorporating jumps and heavy tails, is addressed.
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Multilevel Monte Carlo simulation for Levy processes based on the Wiener-Hopf factorisation
TL;DR: In this article, a new Monte Carlo simulation technique was introduced for a large family of Levy processes that is based on the Wiener-Hopf decomposition and a multilevel Monte Carlo methodology was introduced to compute expectations of functions depending on the historical trajectory of a Levy process.
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A new look at the Heston characteristic function
TL;DR: In this article, a new expression for the characteristic function of log-spot in Heston model is presented, which more clearly exhibits its properties as an analytic characteristic function and allows us to compute the exact domain of the moment generating function.
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Applying the Wiener-Hopf Monte Carlo simulation technique for Lévy processes to path functionals
TL;DR: In this paper, the authors apply the recently established Wiener-Hopf Monte Carlo simulation technique for Levy processes from Kuznetsov et al. (2011) to path functionals; in particular, first passage times, overshoots, undershoots, and the last maximum before the passage time.