Alfredo Ibañez

Comillas Pontifical University

Alberto Aguilera 21

Madrid, Madrid 28015

Spain

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 34,892

SSRN RANKINGS

Top 34,892

in Total Papers Downloads

1,302

SSRN CITATIONS
Rank 12,362

SSRN RANKINGS

Top 12,362

in Total Papers Citations

4

CROSSREF CITATIONS

71

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 351 (86,088)
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 (697,564)
  • 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 262 (119,163)
Citation 3

Abstract:

Loading...

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

3.

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 217 (143,868)
Citation 3

Abstract:

Loading...

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

4.

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

Number of pages: 44 Posted: 23 Oct 2014 Last Revised: 22 Nov 2019
Alfredo Ibañez
Comillas Pontifical University
Downloads 211 (147,707)

Abstract:

Loading...

Default risk, Endogenous Default, Distance to default, Credit risk, Equity prices to negative net cash-flows

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 70 (336,830)
Citation 1

Abstract:

Loading...

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

6.

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 68 (342,056)
Citation 1

Abstract:

Loading...

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

7.

Debt Maturity and Growth Options

Number of pages: 49 Posted: 18 Dec 2017 Last Revised: 04 Nov 2019
Alfredo Ibañez
Comillas Pontifical University
Downloads 49 (400,562)

Abstract:

Loading...

Dynamic debt maturity, Endogenous default, Rollover risk, Credit risk, Growth options

8.

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 34 (459,370)
Citation 57

Abstract:

Loading...

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

9.

Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities

Mathematical Finance, Vol. 14, No. 2, pp. 223-248, April 2004
Number of pages: 26 Posted: 06 May 2004
Alfredo Ibañez
Comillas Pontifical University
Downloads 21 (527,755)
Citation 1
  • Add to Cart

Abstract:

Loading...

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

10.

European Puts, Credit Protection, and Endogenous Default

Number of pages: 33 Posted: 14 Dec 2018 Last Revised: 17 Oct 2019
Alfredo Ibañez
Comillas Pontifical University
Downloads 18 (545,703)
Citation 1

Abstract:

Loading...

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

Abstract:

Loading...

option pricing, incomplete markets, hedging, risk premium

Other Papers (3)

Total Downloads: 126
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 65

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 35

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 26

Abstract:

Loading...

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