Publications, Software

DATA/SOFTWARE

with Applications - Vol 23, Issue 5, pp. 825-847)

Code

ACADEMIC PAPERS

Finance (Asset Pricing/Volatility)

Equity Risk Premium Predictability from Cross-Sectoral Downturns

Jose Faias, Juan Arismendi Zambrano

Nov 25, 20211 min read

Equity Risk Premium Predictability from Cross-Sectoral Downturns

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

57 views

Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options (JBF - Vol 66)

Juan Arismendi, Janis Back, Marcel Prokopczuk

Jan 23, 20161 min read

Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options (JBF - Vol 66)

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

18 views

Banking

The Implications of Dependence, Tail Dependence, and Bounds’ Measures for Counterparty Credit Risk

Juan Arismendi-Zambrano, Vladimir Belitsky, Vinicius Amorim Sobreiro, Herbert Kimura

Nov 19, 20211 min read

The Implications of Dependence, Tail Dependence, and Bounds’ Measures for Counterparty Credit Risk

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

8 views

Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network

M Rivera-Castro, A Ugolini, J Arismendi Zambrano

Jun 1, 20181 min read

Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network

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

14 views

Validation of default probability models: A stress testing approach (Int. Rev. Fin. Ana. - Vol 47)

J. C. Arismendi

Oct 1, 20161 min read

Validation of default probability models: A stress testing approach (Int. Rev. Fin. Ana. - Vol 47)

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

10 views

Econometrics/Statistics/Math

On quadratic forms in multivariate generalized hyperbolic random vectors

Simon Broda, Juan Arismendi Zambrano

Aug 26, 20201 min read

On quadratic forms in multivariate generalized hyperbolic random vectors

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

17 views

Multivariate Elliptical Truncated Moments (Journal of Multivariate Analysis - Vol 157, pp.29-44)

Juan C. Arismendi, Simon Broda

May 1, 20171 min read

Multivariate Elliptical Truncated Moments (Journal of Multivariate Analysis - Vol 157, pp.29-44)

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

19 views

Monte Carlo Approximate Tensor Moment Simulations (Numerical Linear Algebra with Applications - Vol

Juan Arismendi, Herbert Kimura

Jul 8, 20161 min read

Monte Carlo Approximate Tensor Moment Simulations (Numerical Linear Algebra with Applications - Vol

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

7 views

Multivariate Truncated Moments (Journal of Multivariate Analysis - Vol 117, p.41-75)

J. C. Arismendi

May 1, 20131 min read

Multivariate Truncated Moments (Journal of Multivariate Analysis - Vol 117, p.41-75)

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

28 views

Quantitative Finance

A Moment-based Analytic Approximation of the Risk-Neutral Density of American Options (AMF - Vol 23)

J. Arismendi, M. Prokopczuk

Mar 8, 20171 min read

A Moment-based Analytic Approximation of the Risk-Neutral Density of American Options (AMF - Vol 23)

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

8 views

The profitability of moving average trading rules in BRICS and emerging stock markets

J Arismendi Zambrano

Nov 1, 20161 min read

The profitability of moving average trading rules in BRICS and emerging stock markets

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

11 views

A Monte Carlo Multi-Asset Option Approximation for General Stochastic Processes

Juan Arismendi, Alan De Genaro

Jan 23, 20161 min read

A Monte Carlo Multi-Asset Option Approximation for General Stochastic Processes

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

8 views

WORKING PAPERS

Implicit Entropic Market Risk-Premium from Interest Rate Derivatives

J.C. Arismendi-Zambrano, R. Azevedo

Oct 10, 20201 min read

Implicit Entropic Market Risk-Premium from Interest Rate Derivatives

Abstract Implicit in interest rate derivatives are Arrow-Debreu prices (or state price densities, SPDs) that contain fundamental...

12 views

Juan Arismendi Zambrano, D.Phil. (Ph.D.)

DATA/SOFTWARE

Multivariate Truncated Moments (Journal of Multivariate Analysis - Vol 117, p.41-75)

A Monte Carlo multi-asset option pricing approximation for general stochastic

processes (Chaos, Solitons & Fractals - Vol 88, p.75-99)

Monte Carlo approximate tensor moment simulations (Numerical Linear Algebra

with Applications - Vol 23, Issue 5, pp. 825-847)

ACADEMIC PAPERS

Finance (Asset Pricing/Volatility)

Banking

Econometrics/Statistics/Math

Quantitative Finance

WORKING PAPERS