Access Statistics for Manuel Moreno

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A two-mean reverting-factor model of the term structure of interest rates 0 0 0 679 1 1 7 2,362
Australian Asian Options 0 0 0 0 0 3 13 35
Australian Asian options 0 0 1 217 0 3 14 702
GARCH modeling of robust market returns 0 0 0 186 0 1 7 492
Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers 0 0 1 20 0 1 14 98
On the relevance of modeling volatility for pricing purposes 0 0 0 328 0 0 2 912
On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives 1 1 3 1,165 1 1 13 2,553
On the term structure of Interbank interest rates: Jump-diffusion processes and option pricing 0 0 0 29 0 1 9 315
On the term structure of Interbank interest rates: jump-diffusion processes and option pricing 0 0 0 0 0 0 6 12
Pricing tranched credit products with generalized multifactor models 0 0 0 48 0 1 5 208
Risk management under a two-factor model of the term structure of interest rates 0 0 0 601 0 1 5 2,297
Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects 0 0 0 77 0 0 6 270
Total Working Papers 1 1 5 3,350 2 13 101 10,256


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A cyclical square-root model for the term structure of interest rates 0 0 3 12 0 0 10 56
A two‐mean reverting‐factor model of the term structure of interest rates 0 0 0 1 0 0 1 20
An approximate multi-period Vasicek credit risk model 0 1 6 16 3 4 17 57
Australian Options 0 0 0 3 1 1 3 28
Estimating the distribution of total default losses on the Spanish financial system 0 0 0 8 2 3 11 49
On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives 0 0 0 205 0 0 4 589
One-sided performance measures under Gram-Charlier distributions 0 0 0 8 0 0 10 39
Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter? 0 0 0 8 0 0 0 37
Portfolio selection with commodities under conditional copulas and skew preferences 0 0 0 4 0 0 6 39
Statistical properties and economic implications of jump-diffusion processes with shot-noise effects 0 0 1 19 1 1 7 75
Stochastic string models with continuous semimartingales 0 0 0 4 0 0 2 36
Tail risk in energy portfolios 0 0 0 6 0 2 11 49
The stochastic string model as a unifying theory of the term structure of interest rates 0 0 0 3 0 0 1 26
Total Journal Articles 0 1 10 297 7 11 83 1,100


Statistics updated 2021-01-03