Lorenzo Naranjo

University of Miami - Department of Finance

P.O. Box 248094

Coral Gables, FL 33124-6552

United States

SCHOLARLY PAPERS

10

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2,393

SSRN CITATIONS
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Top 28,613

in Total Papers Citations

16

CROSSREF CITATIONS

9

Scholarly Papers (10)

1.

Term Structure Estimation in Low-Frequency Transaction Markets: A Kalman Filter Approach with Incomplete Panel-Data

EFA 2004 Maastricht Meetings Paper No. 3102
Number of pages: 38 Posted: 26 Jul 2004
Gonzalo Cortazar, Eduardo S. Schwartz and Lorenzo Naranjo
Pontificia Universidad Catolica de Chile, Simon Fraser University (SFU) and University of Miami - Department of Finance
Downloads 591 (47,520)
Citation 1

Abstract:

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2.

Multi-Factor Stochastic Model and Estimation Procedure for the Valuation and Hedging of Commodity Contingent Claims

Number of pages: 30 Posted: 07 Dec 2003
Gonzalo Cortazar and Lorenzo Naranjo
Pontificia Universidad Catolica de Chile and University of Miami - Department of Finance
Downloads 522 (55,639)
Citation 16

Abstract:

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Financial Engineering, Risk Management, Natural Resources, Economic Modelling, Kalman Filter

3.

Credit Risk Determinants of Insurance Companies

Number of pages: 39 Posted: 15 Sep 2013 Last Revised: 11 Mar 2014
Liliana Gonzalez and Lorenzo Naranjo
ESSEC Business School - Finance Department and University of Miami - Department of Finance
Downloads 321 (98,849)
Citation 1

Abstract:

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Insurance Companies, Credit Risk, Credit Default Swaps, Financial Crisis

4.

The Dynamics of Trading in Commodity Futures

26th Australasian Finance and Banking Conference 2013
Number of pages: 37 Posted: 18 Aug 2013
Aditya Kaul, Lorenzo Naranjo and Carmen Stefanescu
University of Alberta - Department of Finance and Statistical Analysis, University of Miami - Department of Finance and ESSEC Business School
Downloads 251 (128,524)

Abstract:

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Speculation, Trading, Futures Markets, Futures Prices, Commodities

5.

A Multifactor Stochastic Volatility Model of Commodity Prices

Number of pages: 60 Posted: 20 Jul 2016
Gonzalo Cortazar, Matias Lopez and Lorenzo Naranjo
Pontificia Universidad Catolica de Chile, University of California, Berkeley, Haas School of Business, Financial Engineering, Students and University of Miami - Department of Finance
Downloads 222 (145,019)
Citation 1

Abstract:

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Commodities, Multifactor Models, Stochastic Volatility, Derivatives

6.

Implied Interest Rates in a Market with Frictions

Number of pages: 75 Posted: 02 Dec 2008 Last Revised: 19 Mar 2009
Lorenzo Naranjo
University of Miami - Department of Finance
Downloads 209 (153,458)
Citation 10

Abstract:

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implied interest rates, frictions, kalman filter, limited arbitrage

7.

A Parallel Algorithm for Pricing American Options

Number of pages: 41 Posted: 15 Sep 2013
Gonzalo Cortazar, Leonardo Medina and Lorenzo Naranjo
Pontificia Universidad Catolica de Chile, Pontifical Catholic University of Chile and University of Miami - Department of Finance
Downloads 205 (156,312)
Citation 2

Abstract:

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American Options, Parallel Computing, Numerical Methods

8.

Dislocations in World Index Futures

Number of pages: 40 Posted: 15 Sep 2013
Pontificia Universidad Catolica de Chile, University of Miami - Department of Finance, Pontifical Catholic University of Chile and ESSEC Business School
Downloads 72 (340,628)

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Market Dislocations, Futures-Cash Parity, Limits to Arbitrage, International Markets, Financial Contagion

9.

Term-Structure Estimation in Markets with Infrequent Trading

Cortazar, G., Schwartz, E. S. and Naranjo, L. F. (2007), Term-Structure Estimation in Markets with Infrequent Trading. Int. J. Fin. Econ., 12: 353–369
Posted: 15 Sep 2013
Gonzalo Cortazar, Eduardo S. Schwartz and Lorenzo Naranjo
Pontificia Universidad Catolica de Chile, Simon Fraser University (SFU) and University of Miami - Department of Finance

Abstract:

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Term-structure estimation, emerging markets, infrequent trading

10.

An N-Factor Gaussian Model of Oil Futures Prices

Cortazar, G. and Naranjo, L. (2006), An N-factor Gaussian model of oil futures prices. J. Fut. Mark., 26: 243–268.
Posted: 02 Mar 2005 Last Revised: 13 Sep 2013
Gonzalo Cortazar and Lorenzo Naranjo
Pontificia Universidad Catolica de Chile and University of Miami - Department of Finance

Abstract:

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Commodity futures, oil prices, Kalman filter