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papers

Publications (14)

math.ST2013

Maxima of Weibull-like distributions and the Lambert W function

Armengol Gasull, JosÃ© A. LÃ³pez-Salcedo, Frederic Utzet

math.PR2013

On the norming constants for normal maxima

Armengol Gasull, Maria Jolis, Frederic Utzet

math.PR2008

On the orthogonal polynomials associated with a LÃ©vy process

Josep LluÃs SolÃ©, Frederic Utzet

math.PR2013

Gaussian Mills ratio is completely monotone

Armengol Gasull, Frederic Utzet

math.PR2013

Approximating Mills ratio

Armengol Gasull, Frederic Utzet

math.PR2012

Local Malliavin Calculus for LÃ©vy Processes and Applications

Jorge A. LeÃ³n, Josep L. SolÃ©, Frederic Utzet +1

math.PR2010

Multiple Stratonovich integral and Hu--Meyer formula for LÃ©vy processes

MercÃ¨ FarrÃ©, Maria Jolis, Frederic Utzet

math.PR2016

Efficient computation of first passage times in Kou's jump-diffusion model

Abdel Belkaid, Frederic Utzet

math.PR2008

Time--space harmonic polynomials relative to a LÃ©vy process

Josep LluÃs SolÃ©, Frederic Utzet

math.PR2007

A family of martingales generated by a process with independent increments

math.PR2010

Albert Ferreiro-Castilla, Frederic Utzet

math.PR2009

A new look at the Heston characteristic function

Sebastian del BaÃ±o Rollin, Albert Ferreiro-Castilla, Frederic Utzet

math.PR2008

Stein's method and normal approximation of Poisson functionals

math.PR2010

Inversion of analytic characteristic functions and infinite convolutions of exponential and Laplace densities

Albert Ferreiro-Castilla, Frederic Utzet

Publications (14)

Maxima of Weibull-like distributions and the Lambert W function

On the norming constants for normal maxima

On the orthogonal polynomials associated with a LÃ©vy process

Gaussian Mills ratio is completely monotone

Approximating Mills ratio

Local Malliavin Calculus for LÃ©vy Processes and Applications

Multiple Stratonovich integral and Hu--Meyer formula for LÃ©vy processes

Efficient computation of first passage times in Kou's jump-diffusion model

Time--space harmonic polynomials relative to a LÃ©vy process

A family of martingales generated by a process with independent increments

LÃ©vy area for Gaussian processes: A double Wiener-ItÃ´ integral approach

A new look at the Heston characteristic function

Stein's method and normal approximation of Poisson functionals

Inversion of analytic characteristic functions and infinite convolutions of exponential and Laplace densities