Cobertizo San Pedro Martir s/n
Toledo, Toledo 45071
Spain
University of Castilla-La Mancha
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Credit risk, Machine Learning, Deep Learning
Least-Squares Monte Carlo, Option Pricing, American Options
Credit risk, model risk, parameter uncertainty, Vasicek model, Basel capital requirement
Portfolio selection, commodity futures, conditional copulas, skew preferences
Asymmetric DCC, multivariate generalized hyperbolic distributions, tail risk, skewness, risk measure backtests
Malliavin calculus, stochastic string, barrier option, optimal portfolio, mutual fund theorem
Stochastic string, Continuous-time process, Multi-factor model, Option pricing, Term structure
Finance, credit risk, approximate methods, multi-period models
Fourier series, Energy Markets, Seasonality, Periodic fluctuations, Long-term swing
Asian Options, Arithmetic Average, Geometric Average, Edgeworth Expansion, Lognormal Distribution, Gamma Distribution
Stochastic string model, LIBOR market model, Black formulas, Caps, Swaptions
Real options, R&D, Economic risk, Fourier series, Pharmaceutical industry, Risk factor
Risk management, approximate methods, random recoveries
Term structure of interest rates, bond pricing equation, two-factor models, Ornstein-Uhlenbeck process, CIR process
square-root process, interest rates, term structure, continuous-time model, harmonic waves, martingale
Risk management, approximate methods, multifactor adjustments, random recoveries, VaR, expected shortfall.
Shot Noise, Characteristic Function, Spectral Density
CKLS model, interest rates, term structure, continuous-time model, harmonic waves, martingale
Stochastic calculus, Semimartingales, Stochastic strings, Derivatives pricing, Term structure, Interest rates
Lower/Upper partial moment, Certainty Equivalent, Rank correlation, SNP distribution.
Kyoto protocol, Price transmission, Volatility transmission, Certified Emissions Reduction
Incomplete Markets, Stochastic Volatility Model, CIR Process, Ornstein-Uhlenbeck Process, Good-deal Bounds
Completeness, stochastic string, generalized function, hedging, martingale measure, bond market, term structure of interest rates
Credit risk, macroprudential supervision, approximate methods, saddlepoint, risk allocation, VaR, expected shortfall.
Monte Carlo, importance sampling, credit risk, macroprudential supervision, risk allocation, VaR, expected shortfall.
