Details about Alfredo Ibáñez
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
- The eurozone (expected) inflation: an option’s eyes view
Working Papers, Banco de España View citations (2)
See also Journal Article The eurozone (expected) inflation: An option's eyes view, Journal of International Money and Finance, Elsevier (2018) View citations (5) (2018)
2015
- Default near-the-default-point: the value of and the distance to default
Working Papers, Banco de España
2005
- 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 EconomÃa de la Empresa View citations (1)
2002
- Shadow risk-free returns when hedging the interest rate risk
DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa
- 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 Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities, Mathematical Finance, Wiley Blackwell (2004) View citations (8) (2004)
1995
- Maxmin portfolios in financial immunization
DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa
- Medidas de dispersión como medidas del riesgo de inmunización
DEE - Documentos de Trabajo. EconomÃa de la Empresa. DB, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa
1994
- When can you immunize a bond portfolio?
DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa
Journal Articles
2021
- European Puts, Credit Protection, and Endogenous Default
Quarterly Journal of Finance (QJF), 2021, 11, (01), 1-24
2020
- Recursive lower and dual upper bounds for Bermudan-style options
European Journal of Operational Research, 2020, 280, (2), 730-740 View citations (2)
2018
- The eurozone (expected) inflation: An option's eyes view
Journal of International Money and Finance, 2018, 86, (C), 70-92 View citations (5)
See also Working Paper The eurozone (expected) inflation: an option’s eyes view, Working Papers (2017) View citations (2) (2017)
- The optimal method for pricing Bermudan options by simulation
Mathematical Finance, 2018, 28, (4), 1143-1180 View citations (3)
2010
- 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
- The Sensitivity of American Options to Suboptimal Exercise Strategies
Journal of Financial and Quantitative Analysis, 2010, 45, (6), 1563-1590 View citations (8)
2008
- Factorization of European and American option prices under complete and incomplete markets
Journal of Banking & Finance, 2008, 32, (2), 311-325 View citations (1)
- The cross-section of average delta-hedge option returns under stochastic volatility
Review of Derivatives Research, 2008, 11, (3), 205-244
2004
- Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier
Journal of Financial and Quantitative Analysis, 2004, 39, (2), 253-275 View citations (36)
- Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
Mathematical Finance, 2004, 14, (2), 223-248 View citations (8)
See also Working Paper Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities, Computing in Economics and Finance 2002 (2002) (2002)
2003
- Robust Pricing of the American Put Option: A Note on Richardson Extrapolation and the Early Exercise Premium
Management Science, 2003, 49, (9), 1210-1228 View citations (8)
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