Weak Kyle-Back Equilibrium Models for Max and ArgMax. - Arturo Kohatsu-Higa; Salvador Ortiz-Latorre (SIAM J. Financial Math., 2010)

Optimal simulation schemes for Lévy driven stochastic differential equations. - Arturo Kohatsu-Higa; Salvador Ortiz-Latorre; Peter Tankov (Math. Comput., 2014)

A Pricing Measure to Explain the Risk Premium in Power Markets. - Fred Espen Benth; Salvador Ortiz-Latorre (SIAM J. Financial Math., 2014)

Pathwise approximations for the solution of the non-linear filtering problem. - Dan Crisan; Alexander Lobbe; Salvador Ortiz-Latorre (CoRR, 2021)

Particle representation for the solution of the filtering problem. Application to the error expansion of filtering discretizations. - Dan Crisan; Thomas G. Kurtz; Salvador Ortiz-Latorre (CoRR, 2021)

SPDE bridges with observation noise and their spatial approximation. - Giulia Di Nunno; Salvador Ortiz-Latorre; Andreas Petersson (CoRR, 2021)

Self-exciting multifractional processes. - Fabian A. Harang; Marc Lagunas-Merino; Salvador Ortiz-Latorre (J. Appl. Probab., 2021)

An application of the splitting-up method for the computation of a neural network representation for the solution for the filtering equations. - Dan Crisan; Alexander Lobbe; Salvador Ortiz-Latorre (CoRR, 2022)