Sebastian Ferrando

Publications

The material made available here involves preprints and technical reports. Please, if you need to cite this work refer to the published version or contact me if you are not sure.

Financial Mathematics
Abstract GP Gaussian Processes for Financial Time Series, a C++ Implementation. Technical report (pdf) Abstract martingalePricing martingalePricing: A C++ template library to price financial derivatives on trees. Technical report,(pdf) Abstract Haar Hedging C++ Implementation of Haar systems for Black-Scholes model. Technical report,(pdf) Abstract Localized MC Software Localized MC. Technical report,(pdf) Abstract LMC (Paper) Localized Monte Carlo algorithm to compute prices of path dependent options on trees (pdf) Haar Systems For Efficient Hedging and Approximation of derivatives (Pdf) Efficient likelihood evaluation for VARMA processes with missing values (Pdf)
Signal Analysis
Abstract PMP Probabilistic Matching Pursuit with Gabor Dictionaries (pdf) Abstract Averages of BWB Averages of Best Wavelet Basis Estimates for Denoising(pdf) Abstract Matching Pursuit Gabor Sequences A Flexible Implementation of Matching Pursuit for Finite Gabor Sequences (pdf) Ideal Denoising for Signals in Sub-Gaussian Noise (pdf)
Ergodic Theory
Abstract Upcrossing Inequalities Upcrossing Inequalities for Powers of Nonlinear Operators and Chacon Processes (pdf) Abstract Good Sequences Good sequences for Mean Ergodic Theorems in Lp Spaces (pdf) Abstract Filling Scheme A Repeated Filling Scheme for Upcrossings (pdf) Abstract Pointwise Asymptotics Pointwise Asymptotics for the Jumps of Ergodic Averages (pdf) Abstract Lower Bounds Lower Bounds for Generalized Upcrossings of Ergodic Averages (pdf)