José Manuel Corcuera

José Manuel Corcuera

José Manuel Corcuera
PhD in Mathematics, from University of Barcelona
Professor at Universitat of Barcelona

Personal webpage

email: jmcorcuera@ub.edu

Biosketch

I have a PhD in Mathematics for the University of Barcelona, awarded with the extraordinary prize  and a Bachelor degree in Physics also for the UB. I am currently  professor at the  Department of  Probability Logic and Statistics since 1992. I have published around 40 papers in different prestigious international journals, like Annals of Statistics, Mathematical Proceedings of the Cambridge Philosophical Society, Finance and Stochastics, Stochastics Processses and their Applications, Bernoulli, etc. I have given talks in different workshops and  congresses, like “First Amamef Congress, Side (Turquía), 2006”, “Bachelier Finance Society Fourth World Congress, Tokyo, 2006” , “X CLAPEM, Lima, 2007”, “Sixth Seminar of Stochastic Analysis, Random Fields and Applications, Ascona (Suiza), 2008”. I also spent long stays at Aarhus University (1996), Oslo University (2010), Getulio Vargas Fondation (2014) and I have been fellow at the CAS of the Norwegian Academy of Sciences (2014-2015). I have supervised 4 PhD dissertations, 2 Master Thesis and 3 Thesis of Laurea.

 

Research Interests

  • Mathematical Statistics
  • Stochastic Calculus
  • Quantitative Finance

 

Selected publications

  • Corcuera, J.M.; Imkeller, P.; Kohatsu-Higa, A.; Nualart, D.(2004) Additional utility of insiders with imperfect dynamical information. Finance and Stochastics 8, 437-450.
  • Corcuera, J.M.;  Giummolè, F.  (2006) Multivariate prediction.Bernoulli 12(1), 157-168.
  • Corcuera, J.M., Kohatsu-Higa, A.(2011) Statistical Inference and Malliavin Calculus.In Progress in Probability, Vol 63,pp 59-82.Birkhäuser.
  • O.E. Barndorff-Nielsen, J.M. Corcuera,  M. Podolskij  (2011). Multipower  variation  for Brownian semistationary  processes. Bernoulli,17(4), 1159-1194.
  • Corcuera, J.M.,  De Spiegeleer, Fajardo, J. Jonson, H.., Schoutens, W., Valdivia, A. (2014) Close form pricing formulas for Coupon Cancellable Cocos. Journal of Banking and Finance, 42, 339-351.