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Default near-the-default-point : the value of and the distance to default

Ibáñez, Alfredo - 2015

Persistent link: https://www.econbiz.de/10011789308

When can you immunize a bond portfolio?

Balbás de la Corte, Alejandro - In: Journal of banking & finance 22 (1998) 12, pp. 1571-1595

Persistent link: https://www.econbiz.de/10001252586

Dispersion measures as immunization risk measures

Balbás de la Corte, Alejandro; Ibáñez, Alfredo; … - In: Journal of banking & finance 26 (2002) 6, pp. 1229-1244

Persistent link: https://www.econbiz.de/10001670773

Valuation by simulation of contingent claims with multiple early exercise opportunities

Ibáñez, Alfredo - In: Mathematical finance : an international journal of … 14 (2004) 2, pp. 223-248

Persistent link: https://www.econbiz.de/10002032694

Monte Carlo valuation of American options through computation of the optimal exercise frontier

Ibáñez, Alfredo; Zapatero, Fernando - In: Journal of financial and quantitative analysis : JFQA 39 (2004) 2, pp. 253-275

Persistent link: https://www.econbiz.de/10002103593

The Eurozone (Expected) Inflation : An Option's Eyes View

Gimeno, Ricardo - 2017

We estimate inflation risk-neutral densities (RNDs) in the Euro area since 2009. We use Euro inflation swaps and caps/floors options, and introduce a simple and parsimonious approach to jointly estimate the RNDs across horizons. This way, we obtain the implicit RND for forward measures, like the...

Persistent link: https://www.econbiz.de/10012954824