Luis Fernandez

Argentière Capital AG

Quant PM Head

Landis + Gyr-Strasse 1

Zug, Zug 6300

Switzerland

SCHOLARLY PAPERS

3

DOWNLOADS

567

SSRN CITATIONS

0

CROSSREF CITATIONS

6

Scholarly Papers (3)

1.

Option Pricing with Realistic Arch Processes

Number of pages: 50 Posted: 10 Jun 2011
Gilles O. Zumbach and Luis Fernandez
Edgelab and Argentière Capital AG
Downloads 235 (243,381)
Citation 5

Abstract:

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Option pricing, implied volatility, ARCH process, Student innovations, long memory volatility, SP500 European options

2.

Realistic Processes for Stocks from One Day to One Year

Number of pages: 20 Posted: 27 Dec 2010
Gilles O. Zumbach, Luis Fernandez and Caroline Weber
Edgelab, Argentière Capital AG and Lombard Odier & Cie
Downloads 199 (284,221)
Citation 6

Abstract:

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Heteroskedasticity, leverage, fat-tail innovation, ARCH, long-memory, stock time series, L-statistics

3.

Fast and Realistic European ARCH Option Pricing and Hedging

Number of pages: 24 Posted: 20 Sep 2011
Gilles O. Zumbach and Luis Fernandez
Edgelab and Argentière Capital AG
Downloads 133 (399,519)
Citation 2

Abstract:

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Realistic option pricing, cross-product, implied volatility, replication risk, hedging, SP500 European options, ARCH processes