Alberto Aguilera 21
Madrid, Madrid 28015
Spain
Comillas Pontifical University
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American and Bermudan options, optimal stopping times, Monte Carlo simulation, least-squares, local polynomial estimates, series estimates
stochastic volatility, option returns, incomplete markets, option-pricing, dynamic hedging
Default and credit risk; Distance to default; Equity prices; Debt service and negative earnings; Equity volatility.
American Options, suboptimal exercise, cost of suboptimal exercise, optimal exercise boundary, swaptions
Dynamic debt maturity, Refinancing, Term premium, Procyclical rollover policies, Short- and long-term debt, Equilibrium and default
American and Bermudan options, optimal stopping-times, lower-bounds and upper-bounds, Monte Carlo methods, barrier options
Dynamic debt maturity, Endogenous default, Rollover and credit risk, Short- and long-term debt, Growth options
inflation compensation, inflation options, risk-neutral densities, inflation risk aversion, balance of inflation risks
equity puts, endogenous default, default corridor, credit risk, insurance
American options, suboptimal exercise, one-factor-based strategies, Black-Scholes model, model errors, optimal-stopping
Releveraging and Deleveraging Dynamics, Operational Leverage, Debt Maturity, Debt Ceiling, Buy back old debt
Static capital, dynamic leverage, debt-to-equity ratio, solvency, deleveraging
credit-risk, default-risk, Merton’s distance-to-default, equity prices to negative net cash-fl ow ratio endogenous default
option pricing, incomplete markets, hedging, risk premium
option returns, option pricing, option risk premium, volatility risk premium, stochastic volatility jumps
factorization option prices, option pricing, incomplete markets, dynamic hedging
