Jacinto Marabel Romo

Grupo Banco Bilbao Vizcaya Argentaria (BBVA)

Equity Derivatives Trader

c/ Sauceda, 28

Madrid

Spain

Department of Management Sciences, University of Alcalá

Plaza de la Victoria s/n

Alcala de Henares, Madrid 28802

Spain

SCHOLARLY PAPERS

14

DOWNLOADS
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2,186

CITATIONS

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Scholarly Papers (14)

1.

Volatility Regimes for the VIX Index

Revista de Economía Aplicada, XX, (2012) 114-134,
Number of pages: 35 Posted: 12 Sep 2011 Last Revised: 08 Oct 2012
Jacinto Marabel Romo
Grupo Banco Bilbao Vizcaya Argentaria (BBVA)
Downloads 342 (64,830)

Abstract:

VIX index, Markov chain, volatility regimes

2.

Worst-of Options and Correlation Skew Under a Stochastic Correlation Framework

International Journal of Theoretical and Applied Finance, Vol. 15, No. 7, 2012
Number of pages: 33 Posted: 07 May 2012 Last Revised: 28 Jul 2013
Jacinto Marabel Romo
Grupo Banco Bilbao Vizcaya Argentaria (BBVA)
Downloads 213 (91,295)

Abstract:

Wishart process, stochastic volatility, stochastic correlation, skew of correlalation

3.

Fitting the Skew with an Analytical Local Volatility Function

International Review of Applied Financial Issues and Economics, Vol. 3, pp. 721-736, 2011
Number of pages: 33 Posted: 31 Dec 2011 Last Revised: 28 Feb 2013
Jacinto Marabel Romo
Grupo Banco Bilbao Vizcaya Argentaria (BBVA)
Downloads 202 (94,688)

Abstract:

local volatility, implied volatility, volatility skew, risk-neutral density function

4.

Dynamics of the Implied Volatility Surface: Theory and Empirical Evidence

Quantitative Finance DOI:10.1080/14697688.2012.686668
Number of pages: 22 Posted: 10 May 2012 Last Revised: 26 Dec 2014
Jacinto Marabel Romo
Grupo Banco Bilbao Vizcaya Argentaria (BBVA)
Downloads 151 (104,928)

Abstract:

Sticky delta rule, sticky strike rule, implied volatility surface

5.

Stochastic Skew and Target Volatility Options

Journal of Futures Markets. Forthcoming
Number of pages: 25 Posted: 02 Apr 2014 Last Revised: 30 Mar 2015
Martino Grasselli and Jacinto Marabel Romo
University of Padova - Department of Mathematics and Grupo Banco Bilbao Vizcaya Argentaria (BBVA)
Downloads 139 (117,506)

Abstract:

target volatility options, stochastic volatility, multifactor, stochastic skew, forward-start options

6.

Pricing Forward Skew Dependent Derivatives: Multifactor Versus Single-Factor Stochastic Volatility Models

Journal of Futures Markets (2014), 34, 124-144.
Number of pages: 29 Posted: 01 Mar 2013 Last Revised: 07 Jan 2014
Jacinto Marabel Romo
Grupo Banco Bilbao Vizcaya Argentaria (BBVA)
Downloads 123 (146,253)

Abstract:

stochastic volatility, multifactor, stochastic skew, forward start options

7.

Pricing Digital Outperformance Options with Uncertain Correlation

International Journal of Theoretical and Applied Finance, Vol. 14, No. 5, 2011
Number of pages: 16 Posted: 12 Sep 2011 Last Revised: 09 Mar 2013
Jacinto Marabel Romo
Grupo Banco Bilbao Vizcaya Argentaria (BBVA)
Downloads 109 (178,614)

Abstract:

Digital outperformance options, uncertain correlation, cross-gamma

8.

Pricing Volatility Options Under Stochastic Skew with Application to the VIX Index

The European Journal of Finance. Forthcoming
Number of pages: 31 Posted: 17 Jul 2014 Last Revised: 19 Sep 2015
Jacinto Marabel Romo
Grupo Banco Bilbao Vizcaya Argentaria (BBVA)
Downloads 105 (167,346)

Abstract:

volatility options, multifactor stochastic volatility, stochastic skew, mean reversion, forward-start

9.

Modeling Credit Spreads Under Multifactor Stochastic Volatility

The Spanish Review of Financial Economics, 12, (2014) 40–45,
Number of pages: 14 Posted: 07 Jul 2013 Last Revised: 28 Aug 2014
Jacinto Marabel Romo
Grupo Banco Bilbao Vizcaya Argentaria (BBVA)
Downloads 98 (204,208)

Abstract:

credit spreads, credit rating, stochastic volatility, multifactor, structural models

10.

The Quanto Adjustment and the Smile

Journal of Futures Markets, Vol. 32, No. 9, pp. 877-908, 2012
Number of pages: 37 Posted: 12 Sep 2011 Last Revised: 28 Jul 2013
Jacinto Marabel Romo
Grupo Banco Bilbao Vizcaya Argentaria (BBVA)
Downloads 81 (160,804)

Abstract:

quanto adjustment, volatility skew, volatility smile, model risk

11.

Investment Decisions with Financial Constraints: Evidence from Spanish Firms

Quantitative Finance 14 (2014) 1079-1095
Number of pages: 39 Posted: 11 Mar 2013 Last Revised: 28 Aug 2014
Jacinto Marabel Romo
Grupo Banco Bilbao Vizcaya Argentaria (BBVA)
Downloads 66 (264,911)

Abstract:

hierarchy of fi nance, Euler equation, user cost of capital, measurement error, Generalized Method of Moments

12.

A Closed-Form Solution for Outperformance Options with Stochastic Correlation and Stochastic Volatility

Journal of Industrial and Management Optimization. Forthcoming
Number of pages: 33 Posted: 26 Aug 2014
Jacinto Marabel Romo
Grupo Banco Bilbao Vizcaya Argentaria (BBVA)
Downloads 43 (292,069)

Abstract:

Outperformance option, Wishart process, stochastic volatility, stochastic correlation, correlation term structure.

13.

Is the Information Obtained from European Options on Equally Weighted Baskets Enough to Determine the Prices of Exotic Derivatives Such as Worst of Options?

Review of Derivatives Research, Forthcoming
Number of pages: 17 Posted: 26 Dec 2014 Last Revised: 19 Sep 2015
Jacinto Marabel Romo
Grupo Banco Bilbao Vizcaya Argentaria (BBVA)
Downloads 39 (304,886)

Abstract:

stochastic correlation, stochastic volatility, multifactor, worst of options, outperformance options, equally weighted basket options

14.

Pricing Composite and Quanto Derivatives Under Stochastic Correlation and Stochastic Volatility

Journal of Derivatives, Vol. 21, No. 4, 2014
Posted: 11 Jun 2014
Jacinto Marabel Romo
Grupo Banco Bilbao Vizcaya Argentaria (BBVA)

Abstract:

quanto options, composite options, stochastic correlation, stochastic volatility, forward-start