Ricardo Crisóstomo

Comisión Nacional del Mercado de Valores (CNMV)

C/ Edison, 4

Madrid, Madrid 28006

Spain

National Distance Education University (UNED)

Calle Bravo Murillo, 38

Madrid , Madrid 28015

Spain

SCHOLARLY PAPERS

6

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14

CROSSREF CITATIONS

10

Scholarly Papers (6)

An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration Using Matlab

CNMV Working Paper No 58
Number of pages: 34 Posted: 20 Nov 2014 Last Revised: 29 Jul 2016
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 388 (93,334)
Citation 3

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Stochastic volatility, Heston, Black-Scholes biases, calibration, characteristic functions

An Analyisis of the Heston Stochastic Volatility Model: Implementation and Calibration Using Matlab

CNMV Working Paper No. 58, 2014
Number of pages: 46 Posted: 07 Jun 2019
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 179 (206,053)
Citation 3

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Stochastic volatility, Heston, Black-Scholes biases, calibration, character-istic functions

2.

ETFs and Financial Stability: A Compendium of Possible Risk Sources

CNMV Bulletin, Quarter IV, 2018, pages 71-82
Number of pages: 10 Posted: 06 Mar 2019 Last Revised: 28 Apr 2019
Ricardo Crisóstomo and Jorge Medina Sanchez-Seco
Comisión Nacional del Mercado de Valores (CNMV) and Comisión Nacional del Mercado de Valores (CNMV)
Downloads 120 (284,241)

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ETFs; Systemic Risk; Financial Stability

Financial Contagion with Spillover Effects: A Multiplex Network Approach

ESRB Working Paper Series No 32
Number of pages: 27 Posted: 19 Jan 2016 Last Revised: 22 Dec 2016
Gustavo Peralta and Ricardo Crisóstomo
CNMV and Comisión Nacional del Mercado de Valores (CNMV)
Downloads 114 (296,089)
Citation 1

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Multiplex networks; financial contagion; spillover effects, financial regulation; systemic risk; simulations.

Financial Contagion with Spillover Effects: A Multiplex Network Approach

ESRB: Working Paper Series No. 2016/32
Number of pages: 27 Posted: 05 Nov 2020
Gustavo Peralta and Ricardo Crisóstomo
CNMV and Comisión Nacional del Mercado de Valores (CNMV)
Downloads 5 (772,313)

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multiplex networks, financial contagion, spillover effects, financial regulation, systemic risk, simulations

Financial Density Forecasts: A Comprehensive Comparison of Risk-Neutral and Historical Schemes

Journal of Forecasting. Doi.org/10.1002/for.2521
Number of pages: 25 Posted: 11 Sep 2017 Last Revised: 03 Feb 2020
Ricardo Crisóstomo and Lorena Couso
Comisión Nacional del Mercado de Valores (CNMV) and Caixa Bank Asset Management
Downloads 104 (315,910)

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Probabilistic forecasts, risk-neutral densities, ARCH models, ensemble predictions, model validation

Financial Density Forecasts: A Comprehensive Comparison of Risk-Neutral and Historical Schemes

CNMV Working Paper No. 67 (2017)
Number of pages: 42 Posted: 10 Jun 2019
Ricardo Crisóstomo and Lorena Couso
Comisión Nacional del Mercado de Valores (CNMV) and Caixa Bank Asset Management
Downloads 11 (721,576)
Citation 5

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probabilistic forecasts, risk-neutral densities, ARCH models, ensemble predictions, model validation

Estimating Real-world Probabilities: a Forward-looking Behavioral Framework

Number of pages: 35 Posted: 18 Dec 2020 Last Revised: 26 Jan 2021
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 52 (468,755)

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Sentiment, density forecasts, pricing kernel, options data, behavioral finance

Estimating Real World Probabilities: A Forward-Looking Behavioral Framework

CNMV Working Paper No. 73
Number of pages: 52 Posted: 27 Jan 2021 Last Revised: 11 Feb 2021
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 28 (591,606)

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models, risk-preference, behavioral

Speed and Biases of Fourier-Based Pricing Choices: A Numerical Analysis

International Journal of Computer Mathematics. https://doi.org/10.1080/00207160.2017.1322691
Number of pages: 20 Posted: 28 Jul 2016 Last Revised: 13 May 2018
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 58 (445,345)
Citation 3

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Jump processes, Bates model, Variance Gamma, Fourier transforms, pricing errors, speed comparisons

Speed and Biases of Fourier-Based Pricing Choices: Analysis of the Bates and Asymmetric Variance Gamma Models

CNMV Working Paper No. 64, 2017
Number of pages: 46 Posted: 07 Jun 2019 Last Revised: 15 Jun 2019
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 6 (763,760)

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Jump processes, Bates model, Variance Gamma, Fourier transforms, pricing errors, speed comparisons