Alfredo Ibañez

Comillas Pontifical University

Alberto Aguilera 21

Madrid, Madrid 28015

Spain

SCHOLARLY PAPERS

13

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1,974

SSRN CITATIONS
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Top 19,730

in Total Papers Citations

8

CROSSREF CITATIONS

59

Scholarly Papers (13)

1.

The Optimal Method for Pricing Bermudan Options by Simulation

Mathematical Finance, Forthcoming
Number of pages: 50 Posted: 18 Nov 2009 Last Revised: 22 Apr 2017
Alfredo Ibañez and Carlos Velasco
Comillas Pontifical University and Charles III University of Madrid - Department of Economics
Downloads 412 (133,942)
Citation 1

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American and Bermudan options, optimal stopping times, Monte Carlo simulation, least-squares, local polynomial estimates, series estimates

2.

On the Negative Market Volatility Risk-Premium: Bridging the Gap Between Option Returns and the Pricing of Options

Number of pages: 38 Posted: 19 Jun 2007
Alfredo Ibañez
Comillas Pontifical University
Downloads 299 (190,005)
Citation 3

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stochastic volatility, option returns, incomplete markets, option-pricing, dynamic hedging

3.

A Simple Measure of Default-Risk Based on Endogenous Credit-Risk Models

Number of pages: 57 Posted: 23 Oct 2014 Last Revised: 26 Jun 2020
Alfredo Ibañez
Comillas Pontifical University
Downloads 288 (197,559)

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Default and credit risk; Distance to default; Equity prices; Debt service and negative earnings; Equity volatility.

4.

The Sensitivity of American Options to Suboptimal Exercise Strategies

Number of pages: 42 Posted: 29 Mar 2008 Last Revised: 24 Jan 2009
Alfredo Ibañez and Ioannis Paraskevopoulos
Comillas Pontifical University and Bankia
Downloads 266 (214,118)
Citation 3

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American Options, suboptimal exercise, cost of suboptimal exercise, optimal exercise boundary, swaptions

5.

The Eurozone (Expected) Inflation: An Option's Eyes View

Banco de Espana Working Paper No. 1722
Number of pages: 46 Posted: 07 Jun 2017
Ricardo Gimeno and Alfredo Ibañez
Banco de España and Comillas Pontifical University
Downloads 115 (443,237)
Citation 60

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inflation compensation, inflation options, risk-neutral densities, inflation risk aversion, balance of inflation risks

6.

Recursive Lower- and Dual Upper-Bounds for Bermudan-Style Options

European Journal of Operational Research, Forthcoming
Number of pages: 31 Posted: 21 Oct 2014 Last Revised: 14 Jul 2019
Alfredo Ibañez and Carlos Velasco
Comillas Pontifical University and Charles III University of Madrid - Department of Economics
Downloads 112 (452,062)
Citation 1

Abstract:

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American and Bermudan options, optimal stopping-times, lower-bounds and upper-bounds, Monte Carlo methods, barrier options

7.

Dynamic Debt Maturity and Growth Options

Number of pages: 53 Posted: 18 Dec 2017 Last Revised: 12 Nov 2021
Alfredo Ibañez
Comillas Pontifical University
Downloads 106 (470,481)

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Dynamic debt maturity, Endogenous default, Rollover and credit risk, Short- and long-term debt, Growth options

8.

The Term Premium and Endogenous Debt-Maturity Dynamics

Boston University Questrom School of Business Research Paper No. 4282261
Number of pages: 49 Posted: 22 Nov 2022 Last Revised: 07 Dec 2023
Alfredo Ibañez and Fernando Zapatero
Comillas Pontifical University and Boston University - Questrom School of Business
Downloads 103 (480,319)

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Debt Refinancing; Dynamic debt maturity; The Term Premium; Procyclical rollover policies; Short- and long-term debt; Equilibrium and default.

9.

European Puts, Credit Protection, and Endogenous Default

Quarterly Journal of Finance
Number of pages: 33 Posted: 14 Dec 2018 Last Revised: 16 Sep 2020
Jorge Cruz Lopez and Alfredo Ibañez
University of Western Ontario and Comillas Pontifical University
Downloads 101 (486,710)

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equity puts, endogenous default, default corridor, credit risk, insurance

10.

One-Factor-Based Exercise Strategies for American Options in Multi-Factor Models

Number of pages: 34 Posted: 24 Sep 2012 Last Revised: 02 May 2017
Alfredo Ibañez and Carlos Velasco
Comillas Pontifical University and Charles III University of Madrid - Department of Economics
Downloads 93 (513,803)
Citation 1

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American options, suboptimal exercise, one-factor-based strategies, Black-Scholes model, model errors, optimal-stopping

11.

Releveraging/Deleveraging Dynamics: Debt Maturity and Operational Leverage

Number of pages: 53 Posted: 02 Jun 2023 Last Revised: 27 Sep 2023
Alfredo Ibañez
Comillas Pontifical University
Downloads 56 (679,307)

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Releveraging and Deleveraging Dynamics, Operational Leverage, Debt Maturity, Debt Ceiling, Buy back old debt

12.

DEFAULT NEAR-THE-DEFAULT-POINT: THE VALUE OF AND THE DISTANCE TO DEFAULT

Banco de Espana Working Paper No. 1514
Number of pages: 58 Posted: 25 Aug 2023
Alfredo Ibañez
Comillas Pontifical University
Downloads 23 (926,072)

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credit-risk, default-risk, Merton’s distance-to-default, equity prices to negative net cash-fl ow ratio endogenous default

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option pricing, incomplete markets, hedging, risk premium

Other Papers (3)

Total Downloads: 228
1.

Estimation with Applications of Two-Factor Affine Term Structure Models for Mexico, 1995-2004

Number of pages: 40 Posted: 01 Mar 2005
Julio Cacho-Diaz and Alfredo Ibañez
Princeton University - Department of Economics and Comillas Pontifical University
Downloads 125

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2.

The Cross-Section of Average Delta-Hedge Option Returns Under Stochastic Volatility

Number of pages: 43 Posted: 26 Mar 2008 Last Revised: 24 Jan 2009
Alfredo Ibañez
Comillas Pontifical University
Downloads 62

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option returns, option pricing, option risk premium, volatility risk premium, stochastic volatility jumps

3.

Factorization of European and American Option Prices under Complete and Incomplete Markets

Number of pages: 32 Posted: 01 Mar 2007
Alfredo Ibañez
Comillas Pontifical University
Downloads 41

Abstract:

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factorization option prices, option pricing, incomplete markets, dynamic hedging