Details about Juan Carlos Arismendi Zambrano

Access statistics for papers by Juan Carlos Arismendi Zambrano.

Last updated 2018-07-28. Update your information in the RePEc Author Service.

Short-id: par392

Working Papers

2016

1. Multivariate Elliptical Truncated Moments
   ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University
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

2014

3. A Multi-Asset Option Approximation for General Stochastic Processes
   ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (1)
4. 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
5. Monte Carlo Approximate Tensor Moment Simulations
   ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (2)

Journal Articles

2018

1. Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network
   Emerging Markets Review, 2018, 35, (C), 164-189 View citations (2)

2016

2. A moment-based analytic approximation of the risk-neutral density of American options
   Applied Mathematical Finance, 2016, 23, (6), 409-444
3. Seasonal Stochastic Volatility: Implications for the pricing of commodity options
   Journal of Banking & Finance, 2016, 66, (C), 53-65 View citations (7)
4. 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 View citations (2)
5. Validation of default probability models: A stress testing approach
   International Review of Financial Analysis, 2016, 47, (C), 70-85

2013

6. Multivariate truncated moments
   Journal of Multivariate Analysis, 2013, 117, (C), 41-75 View citations (8)