Juan Arismendi Zambrano, D.Phil. 

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...

El presente libro presenta una introducción al mundo de los sistemas de inversión automatizados, utilizando herramientas del aprendizaje...

`Quantitative Finance' is defined as the science that uses and applies advanced mathematics to model the financial market. It has become...

Es un libro de nivel intermedio diseñado para conocer los detalles sobre el funcionamiento de los mercados financieros. Permite conocer...

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

Este libro brinda al lector una serie de modelos matemáticos desarrollados a partir de la Teoría Moderna de Portafolio. Estos modelos...