Alfredo Ibañez

Comillas Pontifical University

Alberto Aguilera 21

Madrid, Madrid 28015

Spain

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 38,494

SSRN RANKINGS

Top 38,494

in Total Papers Downloads

1,480

SSRN CITATIONS
Rank 14,967

SSRN RANKINGS

Top 14,967

in Total Papers Citations

6

CROSSREF CITATIONS

70

Scholarly Papers (11)

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 Universidad Carlos III de Madrid - Department of Economics
Downloads 368 (98,121)
Citation 1

Abstract:

Loading...

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

The Optimal Method for Pricing Bermudan Options by Simulation

Mathematical Finance, Vol. 28, Issue 4, pp. 1143-1180, 2018
Number of pages: 38 Posted: 17 Sep 2018
Alfredo Ibañez and Carlos Velasco
Comillas Pontifical University and Universidad Carlos III de Madrid - Department of Economics
Downloads 1 (806,592)
Citation 1
  • Add to Cart

Abstract:

Loading...

American and Bermudan options, local least‐squares, optimal stopping‐times, optimization, simulation

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 267 (139,793)
Citation 3

Abstract:

Loading...

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 254 (146,986)

Abstract:

Loading...

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 222 (167,479)
Citation 3

Abstract:

Loading...

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

5.

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 Universidad Carlos III de Madrid - Department of Economics
Downloads 81 (363,583)
Citation 1

Abstract:

Loading...

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

6.

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 77 (374,397)

Abstract:

Loading...

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

7.

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 Universidad Carlos III de Madrid - Department of Economics
Downloads 72 (388,681)
Citation 1

Abstract:

Loading...

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

8.

Debt Maturity and Growth Options

Number of pages: 55 Posted: 18 Dec 2017 Last Revised: 27 Aug 2020
Alfredo Ibañez
Comillas Pontifical University
Downloads 69 (397,795)

Abstract:

Loading...

Dynamic debt maturity, Endogenous default, Rollover and credit risk, Outstanding and newly-issued debt, Growth options

9.

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 48 (472,402)
Citation 57

Abstract:

Loading...

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

10.

Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities

Number of pages: 26 Posted: 06 May 2004
Alfredo Ibañez
Comillas Pontifical University
Downloads 21 (615,248)
Citation 1
  • Add to Cart

Abstract:

Loading...

American options, simulation methods, swing options, take-or-pay options, commodities, energy securities

Abstract:

Loading...

option pricing, incomplete markets, hedging, risk premium

Other Papers (3)

Total Downloads: 137
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 70

Abstract:

Loading...

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 39

Abstract:

Loading...

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 28

Abstract:

Loading...

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