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Details about Manuel Moreno

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Workplace:Departament d'Economia i Empresa (Department of Economics and Business), Universitat Pompeu Fabra (Pompeu Fabra University), Barcelona Graduate School of Economics (Barcelona GSE), (more information at EDIRC)
Departamento de Analisis Económico y Finanzas (Department of Economic Analysis and Finance), Facultad de Derecho y Ciencias Sociales (Faculty of Law and Social Sciences), Universidad de Castilla La Mancha (University of Castilla La Mancha), (more information at EDIRC)

Access statistics for papers by Manuel Moreno.

Last updated 2017-11-06. Update your information in the RePEc Author Service.

Short-id: pmo127


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Working Papers

2015

  1. Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers
    QM&ET Working Papers, University of Alicante, D. Quantitative Methods and Economic Theory Downloads

2008

  1. Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects
    DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa Downloads View citations (2)
    See also Journal Article in European Journal of Operational Research (2011)

2007

  1. GARCH modeling of robust market returns
    Kiel Advanced Studies Working Papers, Kiel Institute for the World Economy (IfW) Downloads
  2. Pricing tranched credit products with generalized multifactor models
    DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa Downloads

2003

  1. Australian Asian Options
    Working Papers, Barcelona Graduate School of Economics Downloads
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2003) Downloads View citations (1)

2001

  1. On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (5)
    See also Journal Article in Review of Derivatives Research (2003)

1999

  1. On the relevance of modeling volatility for pricing purposes
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads

1997

  1. Risk management under a two-factor model of the term structure of interest rates
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (1)

1996

  1. A two-mean reverting-factor model of the term structure of interest rates
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (2)
    See also Journal Article in Journal of Futures Markets (2003)
  2. On the term structure of Interbank interest rates: Jump-diffusion processes and option pricing
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (2)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1995) Downloads

Journal Articles

2017

  1. An approximate multi-period Vasicek credit risk model
    Journal of Banking & Finance, 2017, 81, (C), 105-113 Downloads
  2. One-sided performance measures under Gram-Charlier distributions
    Journal of Banking & Finance, 2017, 74, (C), 38-50 Downloads View citations (4)

2016

  1. The stochastic string model as a unifying theory of the term structure of interest rates
    Physica A: Statistical Mechanics and its Applications, 2016, 461, (C), 217-237 Downloads

2015

  1. A cyclical square-root model for the term structure of interest rates
    European Journal of Operational Research, 2015, 241, (1), 109-121 Downloads View citations (10)
  2. Portfolio selection with commodities under conditional copulas and skew preferences
    Quantitative Finance, 2015, 15, (1), 151-170 Downloads View citations (5)
  3. Stochastic string models with continuous semimartingales
    Physica A: Statistical Mechanics and its Applications, 2015, 433, (C), 229-246 Downloads View citations (2)

2014

  1. Estimating the distribution of total default losses on the Spanish financial system
    Journal of Banking & Finance, 2014, 49, (C), 242-261 Downloads
  2. Tail risk in energy portfolios
    Energy Economics, 2014, 46, (C), 422-434 Downloads View citations (6)

2013

  1. Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
    European Journal of Operational Research, 2013, 225, (3), 429-442 Downloads View citations (10)

2011

  1. Statistical properties and economic implications of jump-diffusion processes with shot-noise effects
    European Journal of Operational Research, 2011, 214, (3), 656-664 Downloads View citations (3)
    See also Working Paper (2008)

2008

  1. Australian Options
    Australian Journal of Management, 2008, 33, (1), 69-93 Downloads View citations (2)

2003

  1. A two‐mean reverting‐factor model of the term structure of interest rates
    Journal of Futures Markets, 2003, 23, (11), 1075-1105 Downloads
    See also Working Paper (1996)
  2. On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives
    Review of Derivatives Research, 2003, 6, (2), 107-128 Downloads View citations (33)
    See also Working Paper (2001)
 
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