Lorenzo Naranjo

University of Miami - Department of Finance

P.O. Box 248094

Coral Gables, FL 33124-6552

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 21,972

SSRN RANKINGS

Top 21,972

in Total Papers Downloads

2,448

SSRN CITATIONS
Rank 30,348

SSRN RANKINGS

Top 30,348

in Total Papers Citations

17

CROSSREF CITATIONS

9

Scholarly Papers (10)

1.

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

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 597 (49,972)
Citation 1

Abstract:

Loading...

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 524 (58,957)
Citation 17

Abstract:

Loading...

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 338 (99,253)
Citation 1

Abstract:

Loading...

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 256 (133,651)

Abstract:

Loading...

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 230 (148,454)
Citation 1

Abstract:

Loading...

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 216 (157,584)
Citation 10

Abstract:

Loading...

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 213 (159,612)
Citation 2

Abstract:

Loading...

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 74 (353,901)

Abstract:

Loading...

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:

Loading...

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:

Loading...

Commodity futures, oil prices, Kalman filter