Juan Arismendi Zambrano, D.Phil. 

Annals of Operations Research, 2024 ( https://doi.org/10.1007/s10479-024-06414-6 ) Abstract Can a single personal communication have a...

(Accepted for publication in "Review of Asset Pricing Studies") Abstract We illustrate the role of left tail dependence variables – left...

(Accepted for publication in "Journal of Financial Stability") Abstract This paper investigates the counterparty credit risk of interest...

Abstract Exact and approximate expressions for tail probabilities and partial moments of quadratic forms in multivariate generalized...

Abstract In this study the tail systemic risk of the Brazilian banking system is examined, using the conditional quantile as the risk...

Abstract In this study, we derive analytic expressions for the elliptical truncated moment generating function (MGF), the zeroth-,...

Abstract The price of a European option can be computed as the expected value of the payoff function under the risk-neutral measure. For ...

Abstract Technical analysis and trading systems have been widely used by practitioners in financial markets. Since some academic studies...

Abstract This study aims to evaluate the techniques used for the validation of default probability (DP) models. By generating simulated...

Abstract An algorithm to generate samples with approximate first-order, second-order, third-order, and fourth-ordermoments is presented...

Abstract We derived a model-free analytical approximation of the price of a multi-asset option defined over an arbitrary multivariate...

Abstract Many commodity markets contain a strong seasonal component not only at the price level, but also in volatility. In this paper,...

Abstract We derive formulae for the higher order tail moments of the lower truncated multivariate standard normal (MVSN), Student’s t, logno