• Gaussian Processes for Financial Time Series, a C++ Implementation. Technical report (pdf). Prof. Ferrando
  
  
• MartingalePricing: A C++ template library to price financial derivatives on trees. Technical report,(pdf) Prof. Ferrando
  
  
• C++ Implementation of Haar systems for Black-Scholes model. Technical report,(pdf) Prof. Ferrando
  
  
• Localized MC. Technical report,(pdf) Prof. Ferrando

• Localized Monte Carlo algorithm to compute prices of path dependent options on trees (pdf) Prof. Ferrando
  
  
• Haar Systems For Efficient Hedging and Approximation of derivatives (Pdf) Prof. Ferrando

• Non-Gaussian Mark to Future for Energy Forwards and Futures. Prof. Escobar

• A Partial Differential Equation for Credit Derivatives Pricing. Prof. Escobar

• Correlation Breakdown in the Valuation of Collateralized Fund Obligations. Prof. Escobar

• Generalized Affine Modelling of the Term Structures of Commodities. Prof. Escobar

• Modelling and Estimation of Financial Time Series. Non-Gaussian ARMA models. Prof. Escobar

• Probabilistic Matching Pursuit with Gabor Dictionaries (pdf) Prof. Ferrando

• Averages of Best Wavelet Basis Estimates for Denoising(pdf) Prof. Ferrando

• A Flexible Implementation of Matching Pursuit for Finite Gabor Sequences (pdf) Prof. Ferrando
  

• Upcrossing Inequalities for Powers of Nonlinear Operators and Chacon Processes (pdf) Prof. Ferrando
  
  
• Good sequences for Mean Ergodic Theorems in Lp Spaces (pdf) Prof. Ferrando
  
  
• A Repeated Filling Scheme for Upcrossings (pdf). Prof. Ferrando
  
  
• Pointwise Asymptotics for the Jumps of Ergodic Averages (pdf) Prof. Ferrando
  
  
• Lower Bounds for Generalized Upcrossings of Ergodic Averages (pdf) Prof. Ferrando