Alonso Pena

University of Cambridge

Trinity Ln

Cambridge, CB2 1TN

United Kingdom

Fitch Group

30 North Colonnade

Canary Wharf

London, E14 5GN

United Kingdom

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

On the Role of Behavioral Finance in the Pricing of Financial Derivatives: The Case of the S&P 500

Number of pages: 29 Posted: 26 Aug 2010
University of Bergamo, University of Cambridge and SDA Bocconi
Downloads 522 (53,101)
Citation 1

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Black-Scholes Equation, Prospect Theory, Heston Stochastic Volatility

On the Role of Behavioral Finance in the Pricing of Financial Derivatives: The Case of the S&P 500

CAREFIN Research Paper No. 03/2010
Number of pages: 30 Posted: 30 Mar 2011
University of Cambridge, SDA Bocconi and University of Bergamo
Downloads 436 (66,424)

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Black-Scholes Equation, Prospect Theory, Heston Stochastic Volatility Model, S&P500 Index, Option Pricing

2.

The Credit Valuation Adjustment of an Interest Rate Swap Step-by-Step (Static Formulation)

Number of pages: 11 Posted: 27 Nov 2017
Alonso Pena
University of Cambridge
Downloads 337 (90,652)

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counterparty credit risk, credit valuation adjustment, derivatives