| Central limit theorems for multiple stochastic integrals and Malliavin calculus D Nualart, S Ortiz-Latorre Stochastic Processes and their Applications 118 (4), 614-628, 2008 | 233 | 2008 |
| Intersection local time for two independent fractional Brownian motions D Nualart, S Ortiz-Latorre Journal of Theoretical Probability 20 (4), 759-767, 2007 | 38 | 2007 |
| A pricing measure to explain the risk premium in power markets FE Benth, S Ortiz-Latorre SIAM Journal on Financial Mathematics 5 (1), 685-728, 2014 | 22 | 2014 |
| Optimal simulation schemes for Lévy driven stochastic differential equations A Kohatsu-Higa, S Ortiz-Latorre, P Tankov Mathematics of Computation 83 (289), 2293-2324, 2014 | 16 | 2014 |
| Strong solutions of SDE's with generalized drift and multidimensional fractional Brownian initial noise DR Baños, S Ortiz-Latorre, A Pilipenko, F Proske arXiv preprint arXiv:1705.01616, 2017 | 14 | 2017 |
| Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise D Baños, S Ortiz-Latorre, A Pilipenko, F Proske Journal of Theoretical Probability, 1-58, 2022 | 12 | 2022 |
| A kusuoka–lyons–victoir particle filter D Crisan, S Ortiz-Latorre Proceedings of the Royal Society A: Mathematical, Physical and Engineering …, 2013 | 12 | 2013 |
| Modeling of financial markets with inside information in continuous time A Kohatsu-Higa, S Ortiz-Latorre Stochastics and Dynamics 11 (02n03), 415-438, 2011 | 9 | 2011 |
| A high order time discretization of the solution of the non-linear filtering problem D Crisan, S Ortiz-Latorre Stochastics and Partial Differential Equations: Analysis and Computations 8 …, 2020 | 7 | 2020 |
| A change of measure preserving the affine structure in the Barndorff-Nielsen and Shephard model for commodity markets FE Benth, S Ortiz-Latorre International Journal of Theoretical and Applied Finance 18 (06), 1550038, 2015 | 6 | 2015 |
| Weak Kyle–back equilibrium models for Max and ArgMax A Kohatsu-Higa, S Ortiz-Latorre SIAM Journal on Financial Mathematics 1 (1), 179-211, 2010 | 6 | 2010 |
| An Itô–Stratonovich formula for Gaussian processes: A Riemann sums approach D Nualart, S Ortiz-Latorre Stochastic processes and their applications 118 (10), 1803-1819, 2008 | 6 | 2008 |
| An application of the splitting-up method for the computation of a neural network representation for the solution for the filtering equations D Crisan, A Lobbe, S Ortiz-Latorre Stochastics and Partial Differential Equations: Analysis and Computations 10 …, 2022 | 5 | 2022 |
| Variance and interest rate risk in unit-linked insurance policies D Baños, M Lagunas-Merino, S Ortiz-Latorre Risks 8 (3), 84, 2020 | 5 | 2020 |
| Pathwise approximations for the solution of the non-linear filtering problem D Crisan, A Lobbe, S Ortiz-Latorre Stochastic Analysis, Filtering, and Stochastic Optimization: A Commemorative …, 2022 | 3 | 2022 |
| A new pricing measure in the Barndorff-Nielsen–Shephard model for commodity markets S Ortiz-Latorre Extended Abstracts Summer 2015: Strategic Behavior in Combinatorial …, 2017 | 2 | 2017 |
| Multidimensional Wick-Itô Formula for Gaussian Processes D Nualart, S Ortiz-Latorre Stochastic Analysis, Stochastic Systems, And Applications To Finance, 3-26, 2011 | 2 | 2011 |
| SPDE bridges with observation noise and their spatial approximation G Di Nunno, S Ortiz–Latorre, A Petersson Stochastic Processes and their Applications 158, 170-207, 2023 | 1 | 2023 |
| Change of measure in a Heston-Hawkes stochastic volatility model DR Baños, S Ortiz-Latorre, OZ Font arXiv preprint arXiv:2210.15343, 2022 | 1 | 2022 |
| Particle representation for the solution of the filtering problem. application to the error expansion of filtering discretizations D Crisan, TG Kurtz, S Ortiz-Latorre arXiv preprint arXiv:2104.04773, 2021 | 1 | 2021 |
Dan CrisanProfessor of Mathematics, Imperial College LondonVerified email at imperial.ac.uk
