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Details about Juan Carlos Arismendi Zambrano

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Workplace:ICMA Centre for Financial Markets, Henley Business School, University of Reading, (more information at EDIRC)

Access statistics for papers by Juan Carlos Arismendi Zambrano.

Last updated 2017-04-07. Update your information in the RePEc Author Service.

Short-id: par392


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Working Papers

2016

  1. Multivariate Elliptical Truncated Moments
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  2. Tail Systemic Risk And Banking Network Contagion: Evidence From the Brazilian Banking System
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads

2014

  1. A Multi-Asset Option Approximation for General Stochastic Processes
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  2. An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  3. Monte Carlo Approximate Tensor Moment Simulations
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (2)

Journal Articles

2016

  1. Seasonal Stochastic Volatility: Implications for the pricing of commodity options
    Journal of Banking & Finance, 2016, 66, (C), 53-65 Downloads
  2. The profitability of moving average trading rules in BRICS and emerging stock markets
    The North American Journal of Economics and Finance, 2016, 38, (C), 86-101 Downloads
  3. Validation of default probability models: A stress testing approach
    International Review of Financial Analysis, 2016, 47, (C), 70-85 Downloads

2013

  1. Multivariate truncated moments
    Journal of Multivariate Analysis, 2013, 117, (C), 41-75 Downloads View citations (5)
 
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