Publicaciones en colaboración con investigadores/as de Universidad de Valladolid (15)

2023

  1. Estimating and pricing commodity futures with time-delay stochastic processes

    Mathematical Methods in the Applied Sciences

2021

  1. Estimating risk-neutral freight rate dynamics: A nonparametric approach

    Journal of Futures Markets, Vol. 41, Núm. 11, pp. 1824-1842

  2. Including jumps in the stochastic valuation of freight derivatives

    Mathematics, Vol. 9, Núm. 2, pp. 1-17

2020

  1. Incorporating boundary conditions in a stochastic volatility model for the numerical approximation of bond prices

    Mathematical Methods in the Applied Sciences

  2. Two new strategies for pricing freight options by means of a valuation pde and by functional bounds

    Mathematics, Vol. 8, Núm. 4

2019

  1. The risk-neutral stochastic volatility in interest rate models with jump–diffusion processes

    Journal of Computational and Applied Mathematics, Vol. 347, pp. 49-61

2018

  1. A multiplicative seasonal component in commodity derivative pricing

    Journal of Computational and Applied Mathematics, Vol. 330, pp. 835-847

2017

  1. A new technique to estimate the risk-neutral processes in jump–diffusion commodity futures models

    Journal of Computational and Applied Mathematics, Vol. 309, pp. 435-441

  2. The Jump Size Distribution of the Commodity Spot Price and Its Effect on Futures and Option Prices

    Abstract and Applied Analysis, Vol. 2017

2016

  1. Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models

    Journal of Computational and Applied Mathematics, Vol. 291, pp. 48-57

2015

  1. The role of the risk-neutral jump size distribution in single-factor interest rate models

    Abstract and Applied Analysis, Vol. 2015

2013

  1. Advances in pricing commodity futures: Multifactor models

    Mathematical and Computer Modelling, Vol. 57, Núm. 7-8, pp. 1722-1731

2011

  1. A numerical approach to obtain the yield curves with different risk-neutral drifts

    Mathematical and Computer Modelling, Vol. 54, Núm. 7-8, pp. 1773-1780

2010

  1. Improving the term structure of interest rates: Two-factor models

    International Journal of Finance and Economics, Vol. 15, Núm. 3, pp. 275-287

2008

  1. Modelling the term structure of interest rates: An efficient nonparametric approach

    Journal of Banking and Finance, Vol. 32, Núm. 4, pp. 614-623