Gloria M. Soto

University of Murcia - Faculty of Business and Economics

Tenured Professor

Spain

  • University of Murcia - Faculty of Business and Economics

SCHOLARLY PAPERS

12

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Top 7,690

in Total Papers Downloads

9,315

SSRN CITATIONS

1

CROSSREF CITATIONS

9

Scholarly Papers (12)

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1.

Term Structure Estimation

Number of pages: 45 Posted: 21 Feb 2008 Last Revised: 06 Nov 2020
Sanjay K. Nawalkha and Gloria M. Soto
University of Massachusetts Amherst - Isenberg School of Management and University of Murcia - Faculty of Business and Economics
Downloads 3,258 (5,749)
Citation 2

Abstract:

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interest rates, term structure, bonds, fixed income, Excel

2.

Using Principal Component Analysis to Explain Term Structure Movements: Performance and Stability

Number of pages: 32 Posted: 14 May 2007
Gloria M. Soto
University of Murcia - Faculty of Business and Economics
Downloads 2,475 (8,837)
Citation 3

Abstract:

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interest rate, bond, risk management, factor model, principal component

3.

Managing Interest Rate Risk: The Next Challenge?

Number of pages: 29 Posted: 26 Apr 2009 Last Revised: 06 Nov 2020
Sanjay K. Nawalkha and Gloria M. Soto
University of Massachusetts Amherst - Isenberg School of Management and University of Murcia - Faculty of Business and Economics
Downloads 1,550 (18,562)
Citation 2

Abstract:

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interest rate risk, duration, convexity, key rate, inflation

4.

Multifactor Models for Managing Interest Rate Risk

Number of pages: 17 Posted: 06 Sep 2008
Sanjay K. Nawalkha and Gloria M. Soto
University of Massachusetts Amherst - Isenberg School of Management and University of Murcia - Faculty of Business and Economics
Downloads 1,108 (30,650)

Abstract:

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interest rate, yield curve, fixed income, duration, immunization, portfolio strategy

5.

Generalized M-Vector Models for Hedging Interest Rate Risk

Number of pages: 16 Posted: 09 Jul 2007
Sanjay K. Nawalkha, Gloria M. Soto and Jun Zhang
University of Massachusetts Amherst - Isenberg School of Management, University of Murcia - Faculty of Business and Economics and affiliation not provided to SSRN
Downloads 373 (124,158)

Abstract:

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immunization, duration, interest rate, risk management, fixed income

6.

A New Taxonomy of the Dynamic Term Structure Models

Number of pages: 44 Posted: 11 Sep 2008 Last Revised: 20 Sep 2010
Sanjay K. Nawalkha, Natalia Beliaeva and Gloria M. Soto
University of Massachusetts Amherst - Isenberg School of Management, Suffolk University - Department of Finance and University of Murcia - Faculty of Business and Economics
Downloads 301 (156,358)
Citation 6

Abstract:

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Affine models, quadratic models, HJM models, LIBOR/SABR models, Single-Plus models, Double-Plus models, Triple-Plus models, new taxonomy

7.

Portfolio Design and the Goal of Immunization

Number of pages: 26 Posted: 14 May 2007
Gloria M. Soto and Maria A. Prats
University of Murcia - Faculty of Business and Economics and Universidad de Murcia - Dpto. Economia Aplicada
Downloads 139 (317,177)

Abstract:

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immunization, duration, interest rate, risk management, fixed income

8.

Linear and Nonlinear Interest Rate Exposure of Spanish Firms

Number of pages: 26 Posted: 14 Apr 2006
Cristobal Gonzalez, Roman Ferrer and Gloria M. Soto
University of Valencia, University of Valencia and University of Murcia - Faculty of Business and Economics
Downloads 111 (374,335)
Citation 2

Abstract:

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interest rate exposure, stock, firm, sector, risk management

9.

Immunization Derived from a Polynomial Duration Vector in the Spanish Bond Market

Journal of Banking & Finance, Vol. 25, No. 6, June 2001
Posted: 16 May 2007
Gloria M. Soto
University of Murcia - Faculty of Business and Economics

Abstract:

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Immunization, Duration, Convexity, Portfolio management, Term structure

10.

Duration Models and IRR Management: A Question of Dimensions?

Journal of Banking & Finance, Vol. 28, No. 5, May 2004
Posted: 14 May 2007
Gloria M. Soto
University of Murcia - Faculty of Business and Economics

Abstract:

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Immunization, Duration, Interest rate, Risk management, Fixed income

11.

Pricing Credit Default Swaps Using Preference-Free Multifactor Affine and Quadratic Models

Posted: 07 May 2007 Last Revised: 15 Aug 2019
Natalia Beliaeva, Sanjay K. Nawalkha and Gloria M. Soto
Suffolk University - Department of Finance, University of Massachusetts Amherst - Isenberg School of Management and University of Murcia - Faculty of Business and Economics

Abstract:

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credit default swaps, CDS, reduced form models, interest rate models, term structure models, affine, quadratic

12.

Pricing American Interest Rate Options Under the Jump-Extended Vasicek Model

https://doi.org/10.3905/jod.2008.710896
Posted: 01 Mar 2007 Last Revised: 15 Aug 2019
Natalia Beliaeva, Sanjay K. Nawalkha and Gloria M. Soto
Suffolk University - Department of Finance, University of Massachusetts Amherst - Isenberg School of Management and University of Murcia - Faculty of Business and Economics

Abstract:

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Bond options, Interest Rate Trees, Jumps, Vasicek Model, American options