Publicacions en què col·labora amb MARIA LOURDES GOMEZ DEL VALLE (21)

2024

  1. Financial boundary conditions in a continuous model with discrete-delay for pricing commodity futures and its application to the gold market

    Chaos, Solitons & Fractals, Vol. 187, pp. 115476

2023

  1. Estimating and pricing commodity futures with time-delay stochastic processes

    Mathematical Methods in the Applied Sciences

2021

  1. Estimating risk-neutral freight rate dynamics: A nonparametric approach

    Journal of Futures Markets, Vol. 41, Núm. 11, pp. 1824-1842

  2. Including jumps in the stochastic valuation of freight derivatives

    Mathematics, Vol. 9, Núm. 2, pp. 1-17

2020

  1. Incorporating boundary conditions in a stochastic volatility model for the numerical approximation of bond prices

    Mathematical Methods in the Applied Sciences

  2. Two new strategies for pricing freight options by means of a valuation pde and by functional bounds

    Mathematics, Vol. 8, Núm. 4

2019

  1. The risk-neutral stochastic volatility in interest rate models with jump–diffusion processes

    Journal of Computational and Applied Mathematics, Vol. 347, pp. 49-61

2018

  1. A multiplicative seasonal component in commodity derivative pricing

    Journal of Computational and Applied Mathematics, Vol. 330, pp. 835-847

  2. Real-world versus risk-neutral measures in the estimation of an interest rate model with stochastic volatility

    Mathematical and Statistical Methods for Actuarial Sciences and Finance, MAF 2018 (Springer International Publishing AG), pp. 397-401

2017

  1. A new technique to estimate the risk-neutral processes in jump–diffusion commodity futures models

    Journal of Computational and Applied Mathematics, Vol. 309, pp. 435-441

  2. The Jump Size Distribution of the Commodity Spot Price and Its Effect on Futures and Option Prices

    Abstract and Applied Analysis, Vol. 2017

2016

  1. Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models

    Journal of Computational and Applied Mathematics, Vol. 291, pp. 48-57

2015

  1. The role of the risk-neutral jump size distribution in single-factor interest rate models

    Abstract and Applied Analysis, Vol. 2015

2013

  1. Advances in pricing commodity futures: Multifactor models

    Mathematical and Computer Modelling, Vol. 57, Núm. 7-8, pp. 1722-1731

2011

  1. A numerical approach to obtain the yield curves with different risk-neutral drifts

    Mathematical and Computer Modelling, Vol. 54, Núm. 7-8, pp. 1773-1780

2010

  1. Improving the term structure of interest rates: Two-factor models

    International Journal of Finance and Economics, Vol. 15, Núm. 3, pp. 275-287

2008

  1. Modelling the term structure of interest rates: An efficient nonparametric approach

    Journal of Banking and Finance, Vol. 32, Núm. 4, pp. 614-623

2007

  1. Comparación de un modelo multifactorial de la ETTI: paramétrico versus no paramétrico

    Anales de economía aplicada 2007

  2. Eficiencia de un método en diferencias finitas en la valoración de derivados de los tipos de interés

    Cuadernos del CIMBAGE, Núm. 9, pp. 1-25

2006

  1. Estimación de la tendencia neutral al riesgo de la ETTI utilizando Wavelets

    Anales de estudios económicos y empresariales, Núm. 16, pp. 167-186