Universidad del País Vasco
Eva Ferreira is full professor at the University of Basque Country. She specialized in PDEs, Probability and Statistics in the master at NYU (Courant Institute) and got a Phd in Economics. Her research is generally related with Probability and Statistics, mostly interested in stochastic models applied to Economics, Finance and Social Sciences in general. She is very open to different research problems. Among others, she has developed different nonparametric techniques and algorithms to estimate regression curves and variances in a context of locally stationary variables, motivated by beta pricing models. The use of stochastic processes to model the dynamics of different selection procedures in job promotion, and the effect of a gender bias in the long run, is another problem of her recent interest. She has studied also different algorithms to compute the zero coupon rates from market quotes. Her works have been published in international journals as Journal of American Statistical Association, Journal of Econometrics, Journal of Banking and Finance, Journal of Applied Probability or Computational Statistics and data Analysis.
In this paper, the authors develop a procedure to reduce the variance when numerically computing the Greeks obtained via Malliavin calculus for jump–diffusion models with stochastic volatility.