Rafael Azevedo

Getulio Vargas Foundation (FGV)

R. Dr. Neto de Araujo 320 cj 1307

Rio de Janeiro, Rio de Janeiro 22250-900

Brazil

  • Getulio Vargas Foundation (FGV)

SCHOLARLY PAPERS

2

DOWNLOADS

416

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (2)

Actions:
Email selected abstracts
1.

Nonparametric Option Pricing with Generalized Entropic Estimators

Number of pages: 35 Posted: 10 Dec 2014 Last Revised: 02 May 2022
Caio Almeida, Gustavo Freire, Rafael Azevedo and Kym Ardison
Princeton University, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Getulio Vargas Foundation (FGV) and Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças
Downloads 338 (164,319)
Citation 1

Abstract:

Loading...

Risk-Neutral Measure, Option Pricing, Risk Premium, Nonparametric Estimation, Stochastic Volatility, Jumps, Cressie-Read Discrepancies

2.

Implicit Entropic Market Risk-Premium from Interest Rate Derivatives

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 21-5
Number of pages: 31 Posted: 19 Aug 2020 Last Revised: 12 Mar 2021
Juan Arismendi-Zambrano and Rafael Azevedo
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students and Getulio Vargas Foundation (FGV)
Downloads 78 (567,883)

Abstract:

Loading...

Risk management, Risk analysis, Nonparametric Asset Pricing, State Price Density, Interest Rate Derivatives.