Sebastian Ferrando

Research

I am involved in several research areas: convergence problems in ergodic theory, mathematical signal and image processing, its software implementation and applications, some computational aspects of financial mathematics and some aspects of time series analysis.

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. Several of the latest preprints and papers can be found at arxiv.org
and www.ssrn.com/en/

Financial Mathematics
Abstract GP Gaussian Processes for Financial Time Series, a C++ Implementation. Technical report (pdf) Gaussian Processes for Financial Time Series, a C++ Implementation. Library (tar-zip file) Abstract martingalePricing martingalePricing: A C++ template library to price financial derivatives on trees. Technical report,(pdf) martingalePricing: A C++ Template Library to Price Financial Derivatives on Trees. Library (tar-gzip file) Abstract Haar Hedging C++ Implementation of Haar systems for Black-Scholes model. Technical report,(pdf) HaarHedging: A C++ implementation of Haar systems for Black-Scholes model. Library (tar-gzip file) Abstract Localized MC Software Localized MC. Technical report,(pdf) Localized MC . Library (tar-gzip file) 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) Efficient Binary Hedging (Pdf)
Signal Analysis
Wave++ is a C++ library for adaptive wavelet analysis, a brief summary of the library can be downloaded here. For people interested in downloading the original version (V 1.0) of Wave++ (written in collaboration with L. Kolasa and N. Kovacevic), please visit Wave++. A short introduction to the library can be downloaded here. 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) Adaptive Martingale Approximations (pdf) Cell Recognition Using Wavelet Templates (pdf) Tree Structured Pursuit for Simultaneous Image Approximation (pdf) Adaptive Orthonormal Bases for Video Compression Adaptive Vector Valued Martingales and Applications
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)