Manuel Moreno

University of Castilla-La Mancha

Cobertizo San Pedro Martir s/n

Toledo, Toledo 45071

Spain

SCHOLARLY PAPERS

29

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4,177

CITATIONS

1

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 986 (16,932)

Abstract:

2.

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 493 (39,046)

Abstract:

Least-Squares Monte Carlo, Option Pricing, American Options

3.

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 478 (45,534)

Abstract:

4.

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
Universidad Carlos III de Madrid, University of Castilla-La Mancha and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 309 (73,544)

Abstract:

Portfolio selection, commodity futures, conditional copulas, skew preferences

5.

Tail Risk in Energy Portfolios

Energy Economics, Forthcoming
Number of pages: 38 Posted: 15 Jan 2013 Last Revised: 02 Aug 2014
Universidad Carlos III de Madrid, University of Castilla-La Mancha and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 293 (79,405)

Abstract:

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

6.

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 150 (159,353)

Abstract:

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

7.

Australian Options

EFMA 2004 Basel Meetings Paper
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 141 (163,955)

Abstract:

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

8.

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 128 (175,675)

Abstract:

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

9.

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 100 (217,020)

Abstract:

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

10.

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 65 (209,844)
Citation 1

Abstract:

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

11.

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
Universidad del País Vasco (UPV/EHU) - Department of Applied Economics III (Econometrics and Statistics) and University of Castilla-La Mancha
Downloads 65 (274,712)

Abstract:

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

12.

ETS Markets and Electricity Futures Prices

Number of pages: 36 Posted: 22 Apr 2011
Manuel Moreno and Samy Dana Sr.
University of Castilla-La Mancha and School of Economics of Sao Paulo - Department of Finance
Downloads 62 (288,293)

Abstract:

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

13.

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 50 (285,943)

Abstract:

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

14.

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 48 (274,712)

Abstract:

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

15.

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 43 (254,090)

Abstract:

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

16.

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 33 (346,568)

Abstract:

Shot Noise, Characteristic Function, Spectral Density

17.

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 23 (292,995)

Abstract:

18.

Real Options Valuation Under Uncertainty

Number of pages: 42 Posted: 20 Aug 2015
Marie Lambert, Manuel Moreno and Federico Platania
University of Liege - HEC Management School, University of Castilla-La Mancha and University of Liege
Downloads 22 (281,340)

Abstract:

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

19.

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 12 (427,791)

Abstract:

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

20.

Bond Market Completeness Under Stochastic Strings with Distribution-Valued Strategies

Number of pages: 26 Posted: 25 Apr 2015
IES Francisco Ayala, University of Castilla-La Mancha and Universidad Pablo de Olavide
Downloads 10 (474,071)

Abstract:

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

21.

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 8 (458,624)

Abstract:

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

22.

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 0 (331,091)

Abstract:

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

23.

Extended Saddlepoint Methods for Credit Risk Measurement

Journal of Computational Finance, Vol. 20, No. 2, 2016
Number of pages: 38 Posted: 14 Jun 2016
Rubén García-Céspedes and Manuel Moreno
BBVA and University of Castilla-La Mancha
Downloads 0 (548,341)

Abstract:

credit risk, macroprudential supervision, saddlepoint, risk allocation, value-at-risk, expected shortfall

24.

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 Liege
Downloads 0 (313,722)

Abstract:

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

25.

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 0 (290,654)

Abstract:

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

26.

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 0 (349,765)

Abstract:

Risk management, approximate methods, random recoveries

27.

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 0 (334,041)

Abstract:

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

28.

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 0 (297,926)

Abstract:

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

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 - Department of Business Administration

Abstract: