Iñaki Rodríguez-Longarela

Stockholm University - Stockholm Business School

Stockholm

Sweden

UiT-The Arctic University of Norway - School of Business and Economics

Associate Professor

Tromsø, 9037

Norway

SCHOLARLY PAPERS

11

DOWNLOADS

667

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (11)

1.

Gain, Loss, and Asset Pricing: It is Much Easier. A Note

SSE/EFI Working Paper in Economics and Finance No. 401
Number of pages: 5 Posted: 30 Oct 2000
Iñaki Rodríguez-Longarela
Stockholm University - Stockholm Business School
Downloads 205 (153,941)

Abstract:

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2.

Risk Arbitrage Opportunities for Stock Index Options

Number of pages: 44 Posted: 15 May 2018 Last Revised: 04 Dec 2019
Thierry Post and Iñaki Rodríguez-Longarela
Graduate School of Business of Nazarbayev University and Stockholm University - Stockholm Business School
Downloads 184 (169,993)
Citation 3

Abstract:

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Options Pricing, Risk Arbitrage, Options Trading, Stochastic Dominance, Empirical Likelihood, Linear Programming

3.

A Theory of Inefficient Quotes: Empirical Evidence in Options Markets

EFA 2007 Ljubljana Meetings Paper
Number of pages: 34 Posted: 05 Mar 2007
Iñaki Rodríguez-Longarela and Silvia Mayoral
Stockholm University - Stockholm Business School and Universidad Carlos III de Madrid
Downloads 125 (234,411)

Abstract:

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Inefficienct Quotes, Bid-Ask Spread, Law of One Price, Index Options

4.

A General Framework for the Derivation of Asset Price Bounds: An Application to Stochastic Volatility Option Models

Review of Derivatives Research, Vol. 12, pp. 81-107, 2009
Number of pages: 29 Posted: 14 Oct 2011 Last Revised: 06 Apr 2015
Oleg Bondarenko and Iñaki Rodríguez-Longarela
University of Illinois at Chicago - Department of Finance and Stockholm University - Stockholm Business School
Downloads 71 (338,524)
Citation 1

Abstract:

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Option Pricing, Incomplete Markets, Good-Deal Bounds, Benchmark Stochastic Discount Factor, Stochastic Volatility Model, Continuous Time

5.

Revisiting Static Portfolio Theory for Hara Investors

Number of pages: 20 Posted: 05 Sep 2007
Iñaki Rodríguez-Longarela
Stockholm University - Stockholm Business School
Downloads 50 (402,148)

Abstract:

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6.

A Characterization of the SSD-Efficient Frontier of Portfolio Weights with an Application to SSD-Spanning

Number of pages: 26 Posted: 22 Nov 2015
Iñaki Rodríguez-Longarela
Stockholm University - Stockholm Business School
Downloads 32 (474,593)
Citation 1

Abstract:

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stochastic dominance, mixed-integer linear programming, portfolio theory, spanning, intersection

7.

A Characterization of the SSD-Efficient Frontier of Portfolio Weights by Means of a Set of Mixed-Integer Linear Constraints

Management Science, Forthcoming
Posted: 22 Nov 2015
Iñaki Rodríguez-Longarela
Stockholm University - Stockholm Business School

Abstract:

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stochastic dominance, mixed-integer linear programming, portfolio theory

8.

Quote Inefficiency in Options Markets

Journal of Banking and Finance, Vol. 55, 2015
Posted: 22 Nov 2015
Iñaki Rodríguez-Longarela and Silvia Mayoral Blaya
Stockholm University - Stockholm Business School and Universidad Carlos III de Madrid

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Inefficient quotes, Bid-ask spread, Law of one price, Index options

9.

Integration and Arbitrage in the Spanish Financial Markets: An Empirical Approach

The Journal of Futures Markets, Vol. 20, No. 4, pp. 321-344, 2000
Posted: 30 Aug 2007
Alejandro Balbás, Iñaki Rodríguez-Longarela and Ángel Pardo Tornero
Universidad Carlos III de Madrid - Department of Business Administration, Stockholm University - Stockholm Business School and University of Valencia - Department of Financial Economics

Abstract:

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10.

How Financial Theory Applies to Catastrophe-Linked Derivatives. An Empirical Test of Several Pricing Models

The Journal of Risk and Insurance, Vol. 66, No. 4, pp. 551-582, 1999
Posted: 30 Aug 2007
Alejandro Balbás, Iñaki Rodríguez-Longarela and Julio J. Lucia
Universidad Carlos III de Madrid - Department of Business Administration, Stockholm University - Stockholm Business School and University of Valencia - Faculty of Economics

Abstract:

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11.

A Simple Linear Programming Approach to Gain, Loss and Asset Pricing

Topics in Theoretical Economics, Vol. 2, No. 1, 2002
Posted: 17 Feb 2003
Iñaki Rodríguez-Longarela
Stockholm University - Stockholm Business School

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