Eulogio Yustas

Banco Santander - Boadilla del Monte

Model Risk Internal Audit Manager

Castellana 24

Madrid, 28046

Spain

Model Risk Internal Audit, Banco Santander

Internal Audit Manager

Ciudad Financiera Grupo Santander

Avenida de Cantabria s/n

Boadilla del Monte , Madrid 28660

Spain

  • Banco Santander - Boadilla del Monte

  • Model Risk Internal Audit, Banco Santander

SCHOLARLY PAPERS

5

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Scholarly Papers (5)

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1.

Cross Currency Basis Formula

Number of pages: 7 Posted: 02 Mar 2012 Last Revised: 05 Mar 2012
Eulogio Yustas and Eulogio Yustas
Model Risk Internal Audit, Banco SantanderBanco Santander - Boadilla del Monte
Downloads 2,706 (10,917)

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Discounting, Swap, Basis, Basis Swap, Valuation, Counterparty Risk, Collateral, EONIA, OIS, multiple tenors, closed form formulas

2.

Comprehensive Theory of a Cross Currency Basis Spread Formula

Number of pages: 11 Posted: 18 Aug 2015
Eulogio Yustas and Eulogio Yustas
Model Risk Internal Audit, Banco SantanderBanco Santander - Boadilla del Monte
Downloads 630 (92,791)

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Discounting, Swap, Basis, Basis Swap, Valuation, Counterparty Risk, Collateral, EONIA, OIS, multiple tenors, closed form formulas

3.

The Price-Rate Duality: Theory of Basis Spreads

Number of pages: 10 Posted: 11 Aug 2012 Last Revised: 11 Sep 2012
Eulogio Yustas and Eulogio Yustas
Model Risk Internal Audit, Banco SantanderBanco Santander - Boadilla del Monte
Downloads 273 (241,927)

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Discounting, Swap, Basis, Basis Swap, Valuation, Counterparty Risk, Collateral, EONIA, OIS, multiple tenors, closed form formulas

4.

Self-Funding Portfolios and Collateralised Derivative Pricing

Number of pages: 12 Posted: 06 Jan 2013
Miguel Carrion Alvarez, Eulogio Yustas and Eulogio Yustas
Banco Santander, Global Risk Methodology and Model Risk Internal Audit, Banco SantanderBanco Santander - Boadilla del Monte
Downloads 256 (258,163)

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collateral, funding, Black-Scholes-Merton, martingale pricing, discounting

5.

How Does Stochastic Basis Change Mean Reversion? A Study on Bermudan Swaptions

Number of pages: 16 Posted: 14 Dec 2013
Gaspar Montesinos, Eulogio Yustas and Eulogio Yustas
Area of Methodology, Banco Santander and Model Risk Internal Audit, Banco SantanderBanco Santander - Boadilla del Monte
Downloads 244 (270,841)

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Bermudan swaptions, Callable swaps, interest rate model, derivatives, stochastic basis, curves, Libor, Hull & White, mean reversion, measure changes, closed form formulas.