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Frederic Utzet · Study

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Frederic Utzet

7 works· latest 2010· 3 institutionscluster: provisional

h-index7

i107

Citations442

Works here7

90

02

06

07

10

Most cited in this library

Stein’s method and Normal approximation of Poisson functionals2010 · 152 citations
Canonical Lévy process and Malliavin calculus2006 · 76 citations
On Lévy processes, Malliavin calculus and market models with jumps2002 · 75 citations
Stratonovich integral and trace1990 · 48 citations
On the density of log-spot in the Heston volatility model2010 · 36 citations

Works

7 shown

On the density of log-spot in the Heston volatility model

Stochastic Processes and their Applications·2010·3 authors·Open access

36citations

Stein’s method and Normal approximation of Poisson functionals

The Annals of Probability·2010·4 authors·Open access

152citations

Chaos Expansions and Malliavin Calculus for Lévy Processes

Springer eBooks·2007·3 authors·chapter

32citations

Canonical L´ evy process and Malliavin calculus I

·2007·3 authors

23citations

Canonical Lévy process and Malliavin calculus

Stochastic Processes and their Applications·2006·3 authors·Open access

76citations

On Lévy processes, Malliavin calculus and market models with jumps

Finance and Stochastics·2002·4 authors

75citations

Stratonovich integral and trace

Stochastics and stochastics reports·1990·1 author

48citations