José Manuel Corcuera

PhD in Mathematics from UB
Research areas: Probability

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 lines

  • 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.