Manuel Moreno Fuentes-rekin lankidetzan egindako argitalpenak (12)

2022

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

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

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

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

2008

  1. Australian Options

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

2005

  1. Valoración de activos derivados de renta fija bajo un modelo con dos factores correlacionados

    Cuadernos económicos de ICE, Núm. 69, pp. 67-98

2003

  1. On the robustness of Least-Squares Monte Carlo (LSM) for pricing American derivatives

    Review of Derivatives Research, Vol. 6, Núm. 2, pp. 107-128