Ricardo Crisóstomo

Comisión Nacional del Mercado de Valores (CNMV)

C/ Edison, 4

Madrid, Madrid 28006

Spain

Universidad Nacional de Educacion a Distancia (UNED)

Calle Bravo Murillo, 38

Madrid , Madrid 28015

Spain

SCHOLARLY PAPERS

5

DOWNLOADS

502

CITATIONS

0

Scholarly Papers (5)

1.

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 271 (109,822)

Abstract:

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

2.

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

Journal of Forecasting. https://doi.org/10.1002/for.2521
Number of pages: 25 Posted: 11 Sep 2017 Last Revised: 20 Jul 2018
Ricardo Crisóstomo and Lorena Couso
Comisión Nacional del Mercado de Valores (CNMV) and Caixa Bank Asset Management
Downloads 88 (281,554)

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

3.

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 83 (291,948)

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

4.

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 41 (411,164)

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

5.

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 19 (515,520)

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ETFs; Systemic Risk; Financial Stability