Details about Manuel Moreno
Access statistics for papers by Manuel Moreno.
Last updated 2024-09-06. Update your information in the RePEc Author Service.
Short-id: pmo127
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Working Papers
2019
- A term structure model under cyclical fluctuations in interest rates
Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico 
See also Journal Article A term structure model under cyclical fluctuations in interest rates, Economic Modelling, Elsevier (2018) View citations (4) (2018)
- Long-term swings and seasonality in energy markets
Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico View citations (3)
See also Journal Article Long-term swings and seasonality in energy markets, European Journal of Operational Research, Elsevier (2019) View citations (6) (2019)
2015
- 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
2008
- 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 EconomÃa de la Empresa View citations (2)
See also Journal Article Statistical properties and economic implications of jump-diffusion processes with shot-noise effects, European Journal of Operational Research, Elsevier (2011) View citations (9) (2011)
2007
- GARCH modeling of robust market returns
Kiel Advanced Studies Working Papers, Kiel Institute for the World Economy (IfW Kiel)
- Pricing tranched credit products with generalized multifactor models
DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa
2003
- Australian Asian Options
Working Papers, Barcelona School of Economics 
Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2003) View citations (1)
2001
- On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (6)
See also Journal Article On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives, Review of Derivatives Research, Springer (2003) View citations (49) (2003)
1999
- On the relevance of modeling volatility for pricing purposes
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra
1997
- 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 View citations (1)
1996
- A two-mean reverting-factor model of the term structure of interest rates
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (2)
See also Journal Article A two‐mean reverting‐factor model of the term structure of interest rates, Journal of Futures Markets, John Wiley & Sons, Ltd. (2003) View citations (1) (2003)
- 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 View citations (2)
Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica (1995)
Journal Articles
2024
- Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models
Annals of Operations Research, 2024, 337, (1), 167-196
2023
- The impact of public attention during the COVID-19 pandemic
Finance Research Letters, 2023, 58, (PA) View citations (1)
2022
- Bond market completeness under stochastic strings with distribution-valued strategies
Quantitative Finance, 2022, 22, (2), 197-211 View citations (2)
- The generalized Vasicek credit risk model: A Machine Learning approach
Finance Research Letters, 2022, 47, (PA) View citations (1)
2020
- Random LGD adjustments in the Vasicek credit risk model
The European Journal of Finance, 2020, 26, (18), 1856-1875 View citations (1)
- Valuation of caps and swaptions under a stochastic string model
Physica A: Statistical Mechanics and its Applications, 2020, 559, (C) View citations (2)
2019
- Long-term swings and seasonality in energy markets
European Journal of Operational Research, 2019, 279, (3), 1011-1023 View citations (6)
See also Working Paper Long-term swings and seasonality in energy markets, Documentos de Trabajo del ICAE (2019) View citations (3) (2019)
- Momentum-dependent power law measured in an interacting quantum wire beyond the Luttinger limit
Nature Communications, 2019, 10, (1), 1-8 View citations (1)
2018
- A term structure model under cyclical fluctuations in interest rates
Economic Modelling, 2018, 72, (C), 140-150 View citations (4)
See also Working Paper A term structure model under cyclical fluctuations in interest rates, Documentos de Trabajo del ICAE (2019) (2019)
2017
- An approximate multi-period Vasicek credit risk model
Journal of Banking & Finance, 2017, 81, (C), 105-113 View citations (2)
- One-sided performance measures under Gram-Charlier distributions
Journal of Banking & Finance, 2017, 74, (C), 38-50 View citations (13)
2016
- Nonlinear spectra of spinons and holons in short GaAs quantum wires
Nature Communications, 2016, 7, (1), 1-8
- 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 View citations (4)
2015
- A cyclical square-root model for the term structure of interest rates
European Journal of Operational Research, 2015, 241, (1), 109-121 View citations (17)
- Portfolio selection with commodities under conditional copulas and skew preferences
Quantitative Finance, 2015, 15, (1), 151-170 View citations (15)
- Stochastic string models with continuous semimartingales
Physica A: Statistical Mechanics and its Applications, 2015, 433, (C), 229-246 View citations (5)
2014
- Estimating the distribution of total default losses on the Spanish financial system
Journal of Banking & Finance, 2014, 49, (C), 242-261
- Tail risk in energy portfolios
Energy Economics, 2014, 46, (C), 422-434 View citations (19)
2013
- Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
European Journal of Operational Research, 2013, 225, (3), 429-442 View citations (12)
2011
- Statistical properties and economic implications of jump-diffusion processes with shot-noise effects
European Journal of Operational Research, 2011, 214, (3), 656-664 View citations (9)
See also Working Paper Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects, DEE - Working Papers. Business Economics. WB (2008) View citations (2) (2008)
2008
- Australian Options
Australian Journal of Management, 2008, 33, (1), 69-93 View citations (3)
2003
- A two‐mean reverting‐factor model of the term structure of interest rates
Journal of Futures Markets, 2003, 23, (11), 1075-1105 View citations (1)
See also Working Paper A two-mean reverting-factor model of the term structure of interest rates, Economics Working Papers (1996) View citations (2) (1996)
- On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives
Review of Derivatives Research, 2003, 6, (2), 107-128 View citations (49)
See also Working Paper On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives, Economics Working Papers (2001) View citations (6) (2001)
Chapters
2012
- On the Empirical Behavior of Stochastic Volatility Models: Do Skewness and Kurtosis Matter?
A chapter in Derivative Securities Pricing and Modelling, 2012, pp 227-257
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