Manuel Moreno

University of Castilla-La Mancha

Cobertizo San Pedro Martir s/n

Toledo, Toledo 45071

Spain

SCHOLARLY PAPERS

29

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7,704

SSRN CITATIONS
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SSRN RANKINGS

Top 29,429

in Total Papers Citations

23

CROSSREF CITATIONS

15

Scholarly Papers (29)

1.

Risk Management Under a Two-Factor Model of the Term Structure of Interest Rates

Economic working paper 254
Number of pages: 47 Posted: 21 Feb 1998
Manuel Moreno
University of Castilla-La Mancha
Downloads 1,042 (40,618)
Citation 2

Abstract:

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2.

The Vasicek Credit Risk Model: A Machine Learning Approach

Number of pages: 34 Posted: 04 May 2021
Rubén García-Céspedes and Manuel Moreno
BBVA and University of Castilla-La Mancha
Downloads 893 (50,444)

Abstract:

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Credit risk, Machine Learning, Deep Learning

3.

On the Robustness of Least - Squares Monte Carlo (LSM) for Pricing American Derivatives

Review of Derivatives Research, Vol. 6, No. 2, 2003
Number of pages: 41 Posted: 20 Nov 2007 Last Revised: 07 Dec 2007
Manuel Moreno and Javier F. Navas
University of Castilla-La Mancha and Universidad Pablo de Olavide
Downloads 718 (67,537)
Citation 1

Abstract:

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Least-Squares Monte Carlo, Option Pricing, American Options

4.

Probability of Default Uncertainty in the Vasicek Credit Risk Framework

Number of pages: 24 Posted: 11 Apr 2016
Rubén García-Céspedes and Manuel Moreno
BBVA and University of Castilla-La Mancha
Downloads 673 (73,423)

Abstract:

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Credit risk, model risk, parameter uncertainty, Vasicek model, Basel capital requirement

5.

A Two-Mean Reverting-Factor Model of the Term Structure of Interest Rates

Finance and Banking Discussion Paper 23
Number of pages: 65 Posted: 05 Feb 1997
Manuel Moreno
University of Castilla-La Mancha
Downloads 528 (99,552)
Citation 1

Abstract:

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6.

Portfolio Selection with Commodities Under Conditional Copulas and Skew Preferences

Quantitative Finance (Forthcoming)
Number of pages: 41 Posted: 19 Apr 2012 Last Revised: 02 Aug 2014
Banco de España, University of Castilla-La Mancha and Universidad Carlos III de Madrid
Downloads 385 (144,442)

Abstract:

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Portfolio selection, commodity futures, conditional copulas, skew preferences

7.

Tail Risk in Energy Portfolios

Energy Economics, Forthcoming
Number of pages: 38 Posted: 15 Jan 2013 Last Revised: 02 Aug 2014
Banco de España, University of Castilla-La Mancha and Universidad Carlos III de Madrid
Downloads 360 (155,603)

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Asymmetric DCC, multivariate generalized hyperbolic distributions, tail risk, skewness, risk measure backtests

8.

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

Number of pages: 42 Posted: 21 Mar 2017
IES Francisco Ayala, University of Castilla-La Mancha and Universidad Pablo de Olavide
Downloads 259 (219,506)
Citation 3

Abstract:

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

9.

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
IES Francisco Ayala, University of Castilla-La Mancha and Universidad Pablo de Olavide
Downloads 252 (225,611)
Citation 6

Abstract:

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

10.

Immunization of Bond Portfolios: A New General Framework

Number of pages: 25 Posted: 23 Jul 2015
IES Francisco Ayala, University of Castilla-La Mancha and Universidad Pablo de Olavide
Downloads 240 (236,633)

Abstract:

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11.

An Approximate Multi-Period Vasicek Credit Risk Model

Number of pages: 19 Posted: 11 Apr 2016
Rubén García-Céspedes and Manuel Moreno
BBVA and University of Castilla-La Mancha
Downloads 220 (257,186)

Abstract:

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Finance, credit risk, approximate methods, multi-period models

12.

Australian Options

Number of pages: 55 Posted: 18 May 2004
Manuel Moreno and Javier F. Navas
University of Castilla-La Mancha and Universidad Pablo de Olavide
Downloads 189 (295,563)

Abstract:

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Asian Options, Arithmetic Average, Geometric Average, Edgeworth Expansion, Lognormal Distribution, Gamma Distribution

13.

Long-Term Swings and Seasonality in Energy Markets

Number of pages: 43 Posted: 04 Jun 2016
University of Castilla-La Mancha, Universidad Complutense de Madrid and University of Liège
Downloads 176 (314,788)
Citation 5

Abstract:

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Fourier series, Energy Markets, Seasonality, Periodic fluctuations, Long-term swing

14.

On the Relevance of Modeling Volatility for Pricing Purposes

Universitat Pompeu Fabra, Economics and Business Working Paper No. 431
Number of pages: 41 Posted: 19 Sep 2000
Manuel Moreno
University of Castilla-La Mancha
Downloads 171 (322,888)

Abstract:

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Term structure of interest rates, bond pricing equation, two-factor models, Ornstein-Uhlenbeck process, CIR process

15.

Valuation of Caps and Swaptions under a Stochastic String Model

Number of pages: 46 Posted: 21 May 2014 Last Revised: 24 Apr 2015
IES Francisco Ayala, University of Castilla-La Mancha and Universidad Pablo de Olavide
Downloads 166 (331,180)
Citation 6

Abstract:

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

16.

Derivatives Pricing Under a New Macro-Financial Square-Root Process for the Term Structure of Interest Rates

Number of pages: 34 Posted: 09 Feb 2011
Manuel Moreno and Federico Platania
University of Castilla-La Mancha and University of Castilla-La Mancha
Downloads 163 (336,373)

Abstract:

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square-root process, interest rates, term structure, continuous-time model, harmonic waves, martingale

17.

Random LGD Adjustments in the Vasicek Credit Risk Model

Number of pages: 26 Posted: 11 Apr 2016
Rubén García-Céspedes and Manuel Moreno
BBVA and University of Castilla-La Mancha
Downloads 151 (358,617)
Citation 1

Abstract:

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Risk management, approximate methods, random recoveries

18.

Real Options Valuation Under Uncertainty

Number of pages: 42 Posted: 20 Aug 2015
Marie Lambert, Manuel Moreno and Federico Platania
University of Liège - HEC Liège, University of Castilla-La Mancha and University of Liège
Downloads 142 (376,755)

Abstract:

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Real options, R&D, Economic risk, Fourier series, Pharmaceutical industry, Risk factor

19.

Taylor Expansion Based Methods to Measure Credit Risk

Number of pages: 33 Posted: 20 Jan 2015
Rubén García-Céspedes and Manuel Moreno
BBVA and University of Castilla-La Mancha
Downloads 141 (378,860)

Abstract:

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Risk management, approximate methods, multifactor adjustments, random recoveries, VaR, expected shortfall.

20.

Business Cycle and Interest Rates: Pricing and Risk Management under a New Term Structure Model

Number of pages: 24 Posted: 21 Mar 2011
Manuel Moreno and Federico Platania
University of Castilla-La Mancha and University of Castilla-La Mancha
Downloads 136 (389,667)

Abstract:

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CKLS model, interest rates, term structure, continuous-time model, harmonic waves, martingale

21.

Stochastic String Models with Continuous Semimartingales

Number of pages: 31 Posted: 19 May 2014 Last Revised: 19 Mar 2017
IES Francisco Ayala, University of Castilla-La Mancha and Universidad Pablo de Olavide
Downloads 113 (448,549)
Citation 1

Abstract:

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

22.

Estimation of Jump-Diffusion Processes With Shot-Noise Effects

Number of pages: 47 Posted: 06 Mar 2007
Manuel Moreno, Pedro Serrano and Winfried Stute
University of Castilla-La Mancha, affiliation not provided to SSRN and University of Giessen
Downloads 105 (473,093)

Abstract:

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Shot Noise, Characteristic Function, Spectral Density

23.

One-Sided Performance Measures Under Gram-Charlier Distributions

Number of pages: 33 Posted: 21 Mar 2016
Angel Leon and Manuel Moreno
Universidad de Alicante and University of Castilla-La Mancha
Downloads 103 (479,657)
Citation 3

Abstract:

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Lower/Upper partial moment, Certainty Equivalent, Rank correlation, SNP distribution.

24.

ETS Markets and Electricity Futures Prices

Number of pages: 36 Posted: 22 Apr 2011
Manuel Moreno and Samy Dana
University of Castilla-La Mancha and School of Economics of Sao Paulo - Department of Finance
Downloads 98 (495,979)

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Kyoto protocol, Price transmission, Volatility transmission, Certified Emissions Reduction

25.

Bounding Security Prices in Incomplete Markets - Does Stochastic Volatility Matter?

Number of pages: 44 Posted: 26 Nov 2010 Last Revised: 05 Dec 2010
Naroa Marroquin-Martinez and Manuel Moreno
University of the Basque Country - Department of Applied Economics III (Econometrics and Statistics) and University of Castilla-La Mancha
Downloads 98 (495,979)
Citation 1

Abstract:

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Incomplete Markets, Stochastic Volatility Model, CIR Process, Ornstein-Uhlenbeck Process, Good-deal Bounds

26.

Bond Market Completeness Under Stochastic Strings with Distribution-Valued Strategies

Number of pages: 41 Posted: 25 Apr 2015 Last Revised: 14 Jul 2020
IES Francisco Ayala, University of Castilla-La Mancha and Universidad Pablo de Olavide
Downloads 67 (620,634)
Citation 7

Abstract:

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

27.

Credit Risk in the Spanish Financial System a Saddlepoint Approach

Number of pages: 36 Posted: 20 Jan 2015
Rubén García-Céspedes and Manuel Moreno
BBVA and University of Castilla-La Mancha
Downloads 62 (645,919)

Abstract:

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Credit risk, macroprudential supervision, approximate methods, saddlepoint, risk allocation, VaR, expected shortfall.

28.

Importance Sampling and the Spanish Financial System

Number of pages: 33 Posted: 20 Jan 2015
Rubén García-Céspedes and Manuel Moreno
BBVA and University of Castilla-La Mancha
Downloads 53 (695,554)

Abstract:

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Monte Carlo, importance sampling, credit risk, macroprudential supervision, risk allocation, VaR, expected shortfall.

29.

On the Term Structure of Interbank Interest Rates: Jump- Diffusion Processes and Option Pricing

Finance and Banking Discussion Paper Series 24
Posted: 06 Feb 1997
Manuel Moreno and Juan Ignacio Peña
University of Castilla-La Mancha and Universidad Carlos III de Madrid

Abstract:

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