Details about Gerardo Hernández-del-Valle

Access statistics for papers by Gerardo Hernández-del-Valle.

Last updated 2025-03-20. Update your information in the RePEc Author Service.

Short-id: phe789

Working Papers

2023

1. Explicit formulae for the valuation of European options with price impacts
   CEMLA Working Paper Series, CEMLA
2. On the heat equation with a moving boundary and applications to hitting times for Brownian motion
   CEMLA Working Paper Series, CEMLA
3. The Stock Market Effects of Committing and Setting GHG Targets: Evidence from the Science-Based Initiative
   Working Papers, Banco de México

2018

4. Do heterogeneous countries respond differently to oil price shocks?
   Working Papers, Banco de México View citations (2)

2016

5. A Functional Approach to Test Trending Volatility
   Working Papers, Banco de México View citations (1)
6. Inflation expectations derived from a portfolio model
   MPRA Paper, University Library of Munich, Germany

2015

7. On the pricing of defaultable bonds and Hitting times of Ito processes
   Working Papers, Banco de México

2014

8. On a new class of barrier options
   Working Papers, Banco de México
9. Valuation of credit default swaps via Bessel bridges
   Working Papers, Banco de México

2009

10. Optimal execution of Portfolio transactions with geometric price process
    Papers, arXiv.org

Journal Articles

2018

1. A Hybrid Metaheuristic for the Efficient Solution of GARCH with Trend Models
   Computational Economics, 2018, 52, (1), 145-166 View citations (1)