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Details about Alfredo Ibáñez

E-mail:
Homepage:http://alfre.ibanez.googlepages.com/
Workplace:Departamento Académico de Administración (Academic Department of Business), Instituto Tecnólogico Autónomo de México (ITAM) (Autonomous Technological Institute of Mexico), (more information at EDIRC)

Access statistics for papers by Alfredo Ibáñez.

Last updated 2021-03-16. Update your information in the RePEc Author Service.

Short-id: pib13


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Working Papers

2017

  1. The eurozone (expected) inflation: an option’s eyes view
    Working Papers, Banco de España Downloads View citations (2)
    See also Journal Article in Journal of International Money and Finance (2018)

2015

  1. Default near-the-default-point: the value of and the distance to default
    Working Papers, Banco de España Downloads

2005

  1. Option-pricing in incomplete markets: the hedging portfolio plus a risk premium-based recursive approach
    DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa Downloads View citations (1)

2002

  1. Shadow risk-free returns when hedging the interest rate risk
    DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa Downloads
  2. Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
    Computing in Economics and Finance 2002, Society for Computational Economics
    See also Journal Article in Mathematical Finance (2004)

1995

  1. Maxmin portfolios in financial immunization
    DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa Downloads
  2. Medidas de dispersión como medidas del riesgo de inmunización
    DEE - Documentos de Trabajo. Economía de la Empresa. DB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa Downloads

1994

  1. When can you immunize a bond portfolio?
    DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa Downloads

Journal Articles

2021

  1. European Puts, Credit Protection, and Endogenous Default
    Quarterly Journal of Finance (QJF), 2021, 11, (01), 1-24 Downloads

2020

  1. Recursive lower and dual upper bounds for Bermudan-style options
    European Journal of Operational Research, 2020, 280, (2), 730-740 Downloads

2018

  1. The eurozone (expected) inflation: An option's eyes view
    Journal of International Money and Finance, 2018, 86, (C), 70-92 Downloads View citations (2)
    See also Working Paper (2017)
  2. The optimal method for pricing Bermudan options by simulation
    Mathematical Finance, 2018, 28, (4), 1143-1180 Downloads View citations (1)

2010

  1. On the dynamics of a single-bit stochastic-resonance memory device
    The European Physical Journal B: Condensed Matter and Complex Systems, 2010, 76, (1), 49-55 Downloads
  2. The Sensitivity of American Options to Suboptimal Exercise Strategies
    Journal of Financial and Quantitative Analysis, 2010, 45, (6), 1563-1590 Downloads View citations (2)

2008

  1. Factorization of European and American option prices under complete and incomplete markets
    Journal of Banking & Finance, 2008, 32, (2), 311-325 Downloads View citations (1)
  2. The cross-section of average delta-hedge option returns under stochastic volatility
    Review of Derivatives Research, 2008, 11, (3), 205-244 Downloads

2004

  1. Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier
    Journal of Financial and Quantitative Analysis, 2004, 39, (2), 253-275 Downloads View citations (26)
  2. Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
    Mathematical Finance, 2004, 14, (2), 223-248 Downloads View citations (4)
    See also Working Paper (2002)

2003

  1. Robust Pricing of the American Put Option: A Note on Richardson Extrapolation and the Early Exercise Premium
    Management Science, 2003, 49, (9), 1210-1228 Downloads View citations (4)
 
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