RESEARCH ACTIVITIES

WELCOME! 

 

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:

    Papers:  

    1. Corcuera, J.M. and Farkas, G. (2010) Power variation for Itô intengrals with respect to an α-stable process. To appear in Statistica Neerlandica.

    2. Barndorff-Nielsen, O.E., Corcuera, J.M., Podolskij, M. (2009) Limit theorems for functionals of higher order differences of Brownian semi-stationary processes.  Mathematics Preprint Series. No. 413. IMUB.  Universitat de Barcelona.

    3. Barndorff-Nielsen, O.E., Corcuera, J.M., Podolskij, M. (2009) Multipower variation for Brownian Semistationary Processes. Mathematics Preprint Series. No. 412. IMUB.  Universitat de Barcelona.

    4. Corcuera, J.M.,  Kohatsu, A. Statistical Inference and Malliavin Calculus (2009). To appear in the proceedings of the Seminar on Stochastic Analysis, Random Fields and Applications VI. Centro Stefano Fanscini, Ascona, May 2008.

    5. 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.

    6. Corcuera, J.M., Guerra, J. (2009). Dynamic Complex Hedging in Additive Markets. To appear in Quantitative Finance.

    7. Corcuera, J.M., Gillaume, F., Leoni.P, Schoutens. (2009). Implied Lévy volatility. Quantitative Finance, 9 383-393.

    8. 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.

    9. Corcuera, José M. (2008), Approximate predictive pivots for autoregressive processes. Statistics and Probability Letters, 78, 2658-2691.  

    10. Corcuera, J.M.; Nualart, D.; Woerner, J. (2008). Convergence of certain functionals of integral fractional processes.  Journal of Theoretical Probability. Available on line.

    11. Corcuera, J.M., Guerra, J. (2007). Optimal investment in non-homogeneous Lévy markets. Mathematics Preprint Series. No. 395. IMUB. University of Barcelona.     

    12. 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.
    13.  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.
    14. Corcuera, J.M., Nualart, D. , Woerner, J.  (2006) Power variation of some integral fractional  processes . Bernoulli , 12(4), 713-735. 
    15. Corcuera, J.M., Guerra, J., Nualart, D., Schoutens, W. (2006) Optimal Investment in a Lévy Market. Applied Mathematics and Optimization, 53, 279-309.
    16. Corcuera, J.M.,  Giummolè, F. (2006) Multivariate prediction. Bernoulli, 12(1), 157-168.
    17. 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.  
    18. Corcuera, J.M., Nualart, D. & Schoutens, W. (2005) Completion of a Lévy market by power-jump assets. Finance and Stochastics. 9(1), 109-127.
    19. 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.
    20. 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).
    21. Corcuera, J.M.,  Giummolè, F. (2002). A note about simultaneous prediction. Mathematics Preprint Series, No. 299. IMUB. Universitat de Barcelona.
    22. 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.
    23. 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.
    24. Corcuera, J.M.   Fiorot, L. (2000). Prediction bounds for autoregressive processes. Mathematics Preprint Series No.277.
    25. Corcuera, J.M.  Kendall, W.S (1999). Riemannian barycenters and geodesic convexity. Mathematical Proceedings of the Cambrigde Philosophical Society 127, 253-269.
    26. Corcuera, J.M.  Giummolè, F. (1999). A generalized Bayes rule for prediction. Scandinavian Journal of Statistics 26, 265-279.
    27. Corcuera, J.M.  Giummolè, F. (1999). On the relationship between α-connections and the asymptotic properties of predictive distributions. Bernoulli 5(1), 163-176.
    28. Corcuera, J.M.  Giummolè, F. (1998). A characterization for monotone and regular divergences. Ann. Inst. Statist. Math.  50(3), 433-450.
    29. Corcuera, J.M., Giummole, F. (1996). Difffential Geometry in Statistics. Manuscript.
    30. Corcuera, J.M. (1996). A general formula for the asymptotic posterior density based on the p*-formula. Manuscript. 
    31. Corcuera, J.M. (1996). Geometria i Estadística. Bulletí de la Societat Catalana de Matemàtiques 11(1), 47-56.
    32. Oller, J.M , Corcuera, J.M. (1995). Intrinsic Analysis of Statistical Estimation. Annals of Statistics 23(5), 1562-1581.
    33. 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:

    1. ``Conditional mean values on manifolds" and ``Some geometric aspects of stochastic processes''. Toulouse (France). October 1991.
      Workshop: Journ      ées de Statistique et Geometrie Differentielle.
    2.  "Intrinsic Analysis of Statistical Estimation''. Sandbjerg (Dinamarca). May 1993. Workshop: Statistical Inference, Differential Geometry and Computer Algebra.
    3. ``Multistage mixed sampling for the epidemiological study of allergic diseases''. Sitges (Barcelona). February 1994. IV Conferencia Española de Biometría.
    4. ``Some integral inequalities of Intrinsic Statistical Analysis''. Toulouse (France). May 1995. Workshop: Exponential families and
      Statistics.
    5. "Intrinsic asymptotic efficiency''. Brixen (Italia). June 1995. Workshop: Likelihood, Asymptotics and
      Neo Fisherian Inference.
    6.  ``Predictive Densities and Asymptotics.'' Barcelona. September 1996. Workshop on Statistical Inference,
      Differential Geometry and Computer Algebra.
    7. `Predictive Densities and Asymptotics.'' Florence (Italy). October 1996}. Workshop: Applications of
      Differential Geometry to Econometrics: Theory and Computation.
    8. "Comments about prediction''. Toulouse (France). 1997. Workshop: Reencontres du reseau Europeen
      du GCASP.
    9. ``Prediction in Autoregressive Processes. A Small Sample Simulation''. Mysore (India). December 1999. International
      Conference on Combinatorics, Statistics, Pattern Recognition and Related Areas.
    10. ``Prediction Bounds for Autoregressive Processes''. Lisbon (Portugal). 2000. The 20th International Symposium on
      Forecasting.
    11. ``Modelling Insiders in the Black-Scholes Model''. Kiev (Ukraine). 2002. Congress: International Gnedenko Conference.
    12. ``Simultaneous Prediction''. Pescara (Italia). 2002. Congress: Information geometry and its applications.
    13. ``Modelling Insiders in the Black-Scholes Model''. Barcelona. 2002. Advanced Course on Mathematical Finance: Further
      models. CRM.
    14.  ``Modelling Insiders in the Black-Scholes Model''. Pamplona. 2003. XXXIII International Seminar on Stability Problems
      for Stochastic Models.
    15. "Power variation of some long-memory processes". Talk in the  "Séminaire Bachelier". Paris (France). 13-16 de Mayo de 2005
    16. `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
    17. ``Power variation of some long-memory processes". Ascona (Suiza). Julio 2005. Congress: Stochastic Analysis, Random Fields
      and Applications.
    18. ``Power variation of some long-memory processes and applications". Oslo (Noruega). Julio 2005 Congress: XXV European
      meeting of Statisticians.
    19. ``Power variation analysis of some long-memory processes".Oslo (Noruega)}. Julio 2005. Congress: 2nd Abel Conference.
    20. "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.
    21. "Power variation analysis of integral fractional processes and applications".  Finance Stochastic Departament. University of Goettingen. (Germany). January 2006.
    22. ``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.
    23. ``A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes. Side (Turquía). May, 2006.
      Congress: First Amamef Congress.
    24. ``The martingale method in a Lévy Market". Tokyo (Japan). August 2006. Congress: Bachelier Finance Society Fourth World Congress.
    25. ``A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes". Workshop on stochastic control and Finance. Kyoto (Japan). August 2006.
    26. ``The martingale method in a Levy Market". Edimburgo (Reino Unido). September 2006. Workshop: Credit Risk on Lévy Markets.
    27. "The martingale method in a Levy Market". Talk at  CEMAPRE. Lisbon (Portugal). November 2006.
    28. “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.
    29. "Power variation and stable processes”. “Workshop: Complex Stochastic Systems: Asymptotics and Applications”.  Moscow (Russia). 4-5 June 2007.
    30. "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.
    31. “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).
    32.  “Power-jump  assets: A tool for optimization and hedging in an additive market”. AMAMEF, Viena (Austria), 17-22  September 2007.
    33. “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.
    34. “Hedging and Optimization in a Geometric Additive Market”.Seminaire Bachelier, París, 30 November 2007.
    35. “Power variation and Gaussian processes with stationary increments”. Workshop: Stochastics in Turbulence and Finance. 9 January-1 February 2008.
    36. "Statistical Inference and Malliavin Calculus". "Sixth Seminar of Stochastic Analysis, Random Fields and Applications" Ascona (Switzerland). May 19-23, 2009.
    37. "Statistical Inference and Malliavin Calculus". Congress: Statistical Regularization and Qualitative Constraints, Goettingen  (Germany). November 20-22, 2008.
    38. "Completeness and hedging in a Lévy bond market". Workshop on Stochastic Analysis and Finance, Hong-Kong (China). June 29-July 3.
    39. "Completeness and hedging in a Lévy bond market". EURANDOM: "Statistical Inference for Lévy Processes with Applications to Finance". Eindhoven (Holland), July 15-17.
    40. "Multipower Variation for Brownian Semistationary Processes". 33rd Conference on Stochastic Processes and Their Applications.  Berlín (Germany), July 27-31.
    41. "New central limit thorems for functional of Gaussian processes and their applications". Ambit processes, non-semimartingales and applications. Sandbjerg (Dinamarca), 26 January 2010.

     

     

     

     

     

     

     

     

     

    02/02/2010