Publicacions (27) Publicacions de Francisco Javier Fernández Navas

2022

  1. Bond market completeness under stochastic strings with distribution-valued strategies

    Quantitative Finance, Vol. 22, Núm. 2, pp. 197-211

2021

  1. Secured Debt, Agency Problems, and the Classic Model of the Firm

    Quarterly Journal of Finance, Vol. 11, Núm. 3

2020

  1. Valuation of caps and swaptions under a stochastic string model

    Physica A: Statistical Mechanics and its Applications, Vol. 559

2018

  1. Hedging asian bond options with malliavin calculus under stochastic string models

    Contributions to Management Science (Springer), pp. 169-180

  2. Sensitivity analysis and hedging in stochastic string models

    Contributions to Management Science (Springer), pp. 151-167

2016

  1. The stochastic string model as a unifying theory of the term structure of interest rates

    Physica A: Statistical Mechanics and its Applications, Vol. 461, pp. 217-237

2015

  1. Stochastic string models with continuous semimartingales

    Physica A: Statistical Mechanics and its Applications, Vol. 433, pp. 229-246

2013

  1. Hedging Strategies with Variable Purchase Options

    Rethinking Valuation and Pricing Models (Elsevier Inc.), pp. 429-442

  2. Pricing levered warrants with dilution using observable variables

    Quantitative Finance, Vol. 13, Núm. 8, pp. 1199-1209

2012

  1. Hedging strategies with variable purchase options

    Rethinking Valuation and Pricing Models: Lessons Learned from the Crisis and Future Challenges (Elsevier), pp. 429-442

  2. On the empirical behavior of stochastic volatility models: Do skewness and kurtosis matter?

    Contemporary Studies in Economic and Financial Analysis, Vol. 94, pp. 227-257

2009

  1. Land valuation using a real option approach

    Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas ( RACSAM ), Vol. 103, Núm. 2, pp. 407-420

  2. Pricing levered warrants with dilution using observable variables

    Notas técnicas: [continuación de Documentos de Trabajo FUNCAS]

  3. Reestructurarse o morir

    Universia Business Review, Núm. 21, pp. 14-35

  4. Valoración de una empresa con dos deudas mediante opciones extensibles

    Cuadernos aragoneses de economía, Vol. 19, Núm. 1, pp. 29-42

  5. Valuing the option to purchase an asset at a proportional discount: A correction

    Quarterly Review of Economics and Finance, Vol. 49, Núm. 2, pp. 720-724

2008

  1. Australian Options

    Australian Journal of Management, Vol. 33, Núm. 1, pp. 69-93

  2. Pricing the equity of a firm using extendible options

    Revista de economía financiera, Núm. 15, pp. 22-48

2007

  1. Liquidación voluntaria: un estudio empírico

    Revista europea de dirección y economía de la empresa, Vol. 16, Núm. 2, pp. 53-60

2005

  1. Pricing LYONs under stochastic interest rates

    Revista de economía financiera, Núm. 7, pp. 12-25