Details about Javier F. Navas

Access statistics for papers by Javier F. Navas.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pna163

Working Papers

2003

1. 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

2. 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)

Journal Articles

2022

1. Bond market completeness under stochastic strings with distribution-valued strategies
   Quantitative Finance, 2022, 22, (2), 197-211 View citations (2)

2021

2. Secured Debt, Agency Problems, and the Classic Model of the Firm
   Quarterly Journal of Finance (QJF), 2021, 11, (03), 1-45

2020

3. Valuation of caps and swaptions under a stochastic string model
   Physica A: Statistical Mechanics and its Applications, 2020, 559, (C) View citations (2)

2016

4. 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

5. Stochastic string models with continuous semimartingales
   Physica A: Statistical Mechanics and its Applications, 2015, 433, (C), 229-246 View citations (5)

2013

6. Pricing levered warrants with dilution using observable variables
   Quantitative Finance, 2013, 13, (8), 1199-1209 View citations (7)

2009

7. Valuing the option to purchase an asset at a proportional discount: A correction
   The Quarterly Review of Economics and Finance, 2009, 49, (2), 720-724

2008

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

2003

9. 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)