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

Working Papers

2019

1. 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)
2. 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 (4)
   See also Journal Article Long-term swings and seasonality in energy markets, European Journal of Operational Research, Elsevier (2019) View citations (7) (2019)

2015

3. 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

4. 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 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

5. GARCH modeling of robust market returns
   Kiel Advanced Studies Working Papers, Kiel Institute for the World Economy (IfW Kiel)
6. 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

2003

7. 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

8. 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

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

1997

10. 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

11. 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)
12. 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 Estadística (1995)

Journal Articles

2024

1. Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models
   Annals of Operations Research, 2024, 337, (1), 167-196

2023

2. The impact of public attention during the COVID-19 pandemic
   Finance Research Letters, 2023, 58, (PA) View citations (1)

2022

3. Bond market completeness under stochastic strings with distribution-valued strategies
   Quantitative Finance, 2022, 22, (2), 197-211 View citations (2)
4. The generalized Vasicek credit risk model: A Machine Learning approach
   Finance Research Letters, 2022, 47, (PA) View citations (1)

2020

5. Random LGD adjustments in the Vasicek credit risk model
   The European Journal of Finance, 2020, 26, (18), 1856-1875 View citations (1)
6. Valuation of caps and swaptions under a stochastic string model
   Physica A: Statistical Mechanics and its Applications, 2020, 559, (C) View citations (2)

2019

7. Long-term swings and seasonality in energy markets
   European Journal of Operational Research, 2019, 279, (3), 1011-1023 View citations (7)
   See also Working Paper Long-term swings and seasonality in energy markets, Documentos de Trabajo del ICAE (2019) View citations (4) (2019)
8. 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

9. 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

10. An approximate multi-period Vasicek credit risk model
    Journal of Banking & Finance, 2017, 81, (C), 105-113 View citations (3)
11. One-sided performance measures under Gram-Charlier distributions
    Journal of Banking & Finance, 2017, 74, (C), 38-50 View citations (14)

2016

12. Nonlinear spectra of spinons and holons in short GaAs quantum wires
    Nature Communications, 2016, 7, (1), 1-8
13. 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

14. 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)
15. Portfolio selection with commodities under conditional copulas and skew preferences
    Quantitative Finance, 2015, 15, (1), 151-170 View citations (15)
16. Stochastic string models with continuous semimartingales
    Physica A: Statistical Mechanics and its Applications, 2015, 433, (C), 229-246 View citations (5)

2014

17. Estimating the distribution of total default losses on the Spanish financial system
    Journal of Banking & Finance, 2014, 49, (C), 242-261
18. Tail risk in energy portfolios
    Energy Economics, 2014, 46, (C), 422-434 View citations (19)

2013

19. 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

20. 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

21. Australian Options
    Australian Journal of Management, 2008, 33, (1), 69-93 View citations (3)

2003

22. 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)
23. 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

1. 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