This page is devoted to share some of my work on mathematical finance and stochastic analysis  with anyone who might find it useful.  

Written Documents








Articles in scientific journals

  1. A. Gulisashvili, R. Merino, M. Lagunas-Merino, J. Vives. Higher order approximation of call option prices under stochastic volatility models. Published in Journal of Computational Finance, Vol.24, No.1, (2020) pp.1-20.
  2. D. Baños, M. Lagunas-Merino, S. Ortiz-Latorre. Variance and interest rate risk in unit-linked insurance policies. Published in Risks, Vol.8, No.84, (2020) pp.1-23.
  3. Harang, F., Lagunas-Merino, M., & Ortiz-Latorre, S. (2021). Self-exciting multifractional processes. Journal of Applied Probability, 58(1), 22-41.

Preprints submitted for publication

  1. M. Lagunas-Merino, S. Ortiz-Latorre. A Decomposition Formula for Fractional Heston Jump Diffusion Models. Preprint available in arXiv

MsC Thesis

Malliavin Calculus Applied to Option Pricing Theory (2016)

Codes Programmed








PhD Thesis Source Codes

  1. SEMGamma
  2. HestonApprox2nd
  3. HestonFwdVarVasicek