Alberto Bueno-Guerrero

IES Francisco Ayala

Av Francisco Ayala, 0

Granada, 18014

Spain

SCHOLARLY PAPERS

10

DOWNLOADS

1,304

SSRN CITATIONS
Rank 39,236

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Top 39,236

in Total Papers Citations

10

CROSSREF CITATIONS

15

Scholarly Papers (10)

1.

Malliavin Calculus for Stochastic Strings with Applications To Barrier Options and Optimal Portfolios

Number of pages: 42 Posted: 21 Mar 2017
Alberto Bueno-Guerrero, Manuel Moreno and Javier F. Navas
IES Francisco Ayala, University of Castilla-La Mancha and Universidad Pablo de Olavide
Downloads 261 (219,892)
Citation 3

Abstract:

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Malliavin calculus, stochastic string, barrier option, optimal portfolio, mutual fund theorem

2.

The Stochastic String Model as a Unifying Theory of the Term Structure of Interest Rates

Number of pages: 53 Posted: 28 May 2014 Last Revised: 05 Nov 2014
Alberto Bueno-Guerrero, Manuel Moreno and Javier F. Navas
IES Francisco Ayala, University of Castilla-La Mancha and Universidad Pablo de Olavide
Downloads 253 (226,787)
Citation 6

Abstract:

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Stochastic string, Continuous-time process, Multi-factor model, Option pricing, Term structure

3.

Immunization of Bond Portfolios: A New General Framework

Number of pages: 25 Posted: 23 Jul 2015
Alberto Bueno-Guerrero, Manuel Moreno and Javier F. Navas
IES Francisco Ayala, University of Castilla-La Mancha and Universidad Pablo de Olavide
Downloads 246 (233,062)

Abstract:

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4.

Valuation of Caps and Swaptions under a Stochastic String Model

Number of pages: 46 Posted: 21 May 2014 Last Revised: 24 Apr 2015
Alberto Bueno-Guerrero, Manuel Moreno and Javier F. Navas
IES Francisco Ayala, University of Castilla-La Mancha and Universidad Pablo de Olavide
Downloads 168 (330,758)
Citation 6

Abstract:

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Stochastic string model, LIBOR market model, Black formulas, Caps, Swaptions

5.

Stochastic String Models with Continuous Semimartingales

Number of pages: 31 Posted: 19 May 2014 Last Revised: 19 Mar 2017
Alberto Bueno-Guerrero, Manuel Moreno and Javier F. Navas
IES Francisco Ayala, University of Castilla-La Mancha and Universidad Pablo de Olavide
Downloads 116 (443,589)
Citation 1

Abstract:

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Stochastic calculus, Semimartingales, Stochastic strings, Derivatives pricing, Term structure, Interest rates

6.

A Quantum Mechanics for Interest Rate Derivatives Markets

Number of pages: 26 Posted: 17 Jan 2020 Last Revised: 16 Apr 2021
Alberto Bueno-Guerrero
IES Francisco Ayala
Downloads 112 (455,390)

Abstract:

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Quantum Mechanics, Hamiltonian operator, Schrödinger equation, option pricing, perturbation theory

7.
Downloads 42 (588,955)
Citation 1

Bond Power Exchange Options

Number of pages: 20 Posted: 18 Mar 2021
Lloyd P. Blenman, Alberto Bueno-Guerrero and Steven P. Clark
University of North Carolina (UNC) at Charlotte - Department of Finance & Business Law, IES Francisco Ayala and University of North Carolina (UNC) at Charlotte
Downloads 42 (801,029)
Citation 2

Abstract:

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Stochastic string, power option, pricing, hedging, Malliavin calculus

8.

Bond Market Completeness Under Stochastic Strings with Distribution-Valued Strategies

Number of pages: 41 Posted: 25 Apr 2015 Last Revised: 14 Jul 2020
Alberto Bueno-Guerrero, Manuel Moreno and Javier F. Navas
IES Francisco Ayala, University of Castilla-La Mancha and Universidad Pablo de Olavide
Downloads 67 (625,842)
Citation 7

Abstract:

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Completeness, stochastic string, generalized function, hedging, martingale measure, bond market, term structure of interest rates

9.

Valuation of an Option to Exchange one Powered Bond for Another

Number of pages: 30 Posted: 08 Jul 2021
Lloyd P. Blenman and Alberto Bueno-Guerrero
University of North Carolina (UNC) at Charlotte - Department of Finance & Business Law and IES Francisco Ayala
Downloads 39 (803,129)

Abstract:

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Stochastic string, power option, pricing, hedging, Malliavin calculus

10.

Revisiting the Classical Models: Black-Scholes and Heston With Stochastic Interest Rates and Term Structure of Volatilities

Posted: 23 Jun 2018 Last Revised: 28 Sep 2020
Alberto Bueno-Guerrero
IES Francisco Ayala

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Black-Scholes Model, Heston Model, Hybrid Model, Volatility Surface, Volatility Smile, Term Structure of Volatilities, Squared Bessel Process