Lluis Navarro

CaixaBank

Middle-Office Quantitative Modeler

Diagonal 621

Barcelona, Barcelona

Spain

SCHOLARLY PAPERS

3

DOWNLOADS

143

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Screening Rules and Portfolio Performance

Number of pages: 42 Posted: 06 Mar 2018 Last Revised: 03 Jun 2018
Angel Leon, Lluis Navarro and Belen Nieto
Universidad de Alicante, CaixaBank and University of Alicante
Downloads 110 (268,577)

Abstract:

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Performance Measure, Ranking, Stochastic Dominance, Skewness

2.

An Empirical Comparison of Single-Factor Consistent Models: Some Evidence from the Spanish Interest-Rate Cap Data

Number of pages: 24 Posted: 17 Jan 2014 Last Revised: 31 Mar 2019
Lluis Navarro
CaixaBank
Downloads 33 (489,417)

Abstract:

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Consistent Models, Calibration, Derivatives Pricing, Numerical Methods

3.

Finite Difference Methods for Hull-White Pricing of Interest Rate Derivatives with Dynamical Consistent Curves

Posted: 22 Oct 2013 Last Revised: 13 Feb 2014
Universidad CEU Cardenal Herrera - Faculty of Social and Jurisdictional Sciences, CaixaBank and University of Coruña - Department of Mathematics

Abstract:

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PDE, Finite Difference Methods, Hull-White Model, Single-Curve Framework, Consistent Rate Curves, Interest Rate Options, Binary Options