JULIA
MARTINEZ RODRIGUEZ
CATEDRATICOS DE UNIVERSIDAD
MARIA LOURDES
GOMEZ DEL VALLE
PROFESORES TITULARES DE UNIVERSIDAD
Publikationen, an denen er mitarbeitet MARIA LOURDES GOMEZ DEL VALLE (20)
2023
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Estimating and pricing commodity futures with time-delay stochastic processes
Mathematical Methods in the Applied Sciences
2021
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Estimating risk-neutral freight rate dynamics: A nonparametric approach
Journal of Futures Markets, Vol. 41, Núm. 11, pp. 1824-1842
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Including jumps in the stochastic valuation of freight derivatives
Mathematics, Vol. 9, Núm. 2, pp. 1-17
2020
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Incorporating boundary conditions in a stochastic volatility model for the numerical approximation of bond prices
Mathematical Methods in the Applied Sciences
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Two new strategies for pricing freight options by means of a valuation pde and by functional bounds
Mathematics, Vol. 8, Núm. 4
2019
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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
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A multiplicative seasonal component in commodity derivative pricing
Journal of Computational and Applied Mathematics, Vol. 330, pp. 835-847
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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
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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
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The Jump Size Distribution of the Commodity Spot Price and Its Effect on Futures and Option Prices
Abstract and Applied Analysis, Vol. 2017
2016
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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
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The role of the risk-neutral jump size distribution in single-factor interest rate models
Abstract and Applied Analysis, Vol. 2015
2013
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Advances in pricing commodity futures: Multifactor models
Mathematical and Computer Modelling, Vol. 57, Núm. 7-8, pp. 1722-1731
2011
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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
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Improving the term structure of interest rates: Two-factor models
International Journal of Finance and Economics, Vol. 15, Núm. 3, pp. 275-287
2008
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Modelling the term structure of interest rates: An efficient nonparametric approach
Journal of Banking and Finance, Vol. 32, Núm. 4, pp. 614-623
2007
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Comparación de un modelo multifactorial de la ETTI: paramétrico versus no paramétrico
Anales de economía aplicada 2007
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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
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Estimación de la tendencia neutral al riesgo de la ETTI utilizando Wavelets
Anales de estudios económicos y empresariales, Núm. 16, pp. 167-186
2000
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Estructura temporal de los tipos de interés: incorporación del tiempo en el precio del riesgo de mercado
Matemática financiera y actuarial : ponencias del V Congreso Nacional y III Hispano-Italiano, Bilbao, 26, 27 y 28 de abril de 2000