Alfredo Ibáñez : Citation Profile


Are you Alfredo Ibáñez?

Instituto Tecnólogico Autónomo de México (ITAM)

3

H index

1

i10 index

39

Citations

RESEARCH PRODUCTION:

9

Articles

8

Papers

RESEARCH ACTIVITY:

   24 years (1994 - 2018). See details.
   Cites by year: 1
   Journals where Alfredo Ibáñez has often published
   Relations with other researchers
   Recent citing documents: 7.    Total self citations: 2 (4.88 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pib13
   Updated: 2020-09-26    RAS profile: 2019-01-15    
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Relations with other researchers


Works with:

Gimeno, Ricardo (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Alfredo Ibáñez.

Is cited by:

Musshoff, Oliver (3)

Ciccarelli, Matteo (2)

Fabozzi, Frank (2)

Figueroa, Marcelo (2)

Chiarella, Carl (1)

Scaillet, Olivier (1)

Alvarez, Luis (1)

Stentoft, Lars (1)

Hirschauer, Norbert (1)

Oosterlee, Cornelis (1)

Kovacevic, Raimund (1)

Cites to:

merton, robert (4)

Duffie, Darrell (2)

Huang, Jingzhi (2)

Jarrow, Robert (2)

Platen, Eckhard (2)

Singleton, Kenneth (2)

pan, jun (2)

Brennan, Michael (1)

Chiarella, Carl (1)

Roberts, Gordon (1)

Schlag, Christian (1)

Main data


Where Alfredo Ibáñez has published?


Journals with more than one article published# docs
Mathematical Finance2
Journal of Financial and Quantitative Analysis2

Working Papers Series with more than one paper published# docs
DEE - Working Papers. Business Economics. WB / Universidad Carlos III de Madrid. Departamento de Economía de la Empresa4
Working Papers / Banco de Espaa2

Recent works citing Alfredo Ibáñez (2020 and 2019)


YearTitle of citing document
2019Pricing American Options by Exercise Rate Optimization. (2019). Wolfers, Soren ; Tempone, Ra'ul ; Bayer, Christian. In: Papers. RePEc:arx:papers:1809.07300.

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2019A simple and efficient numerical method for pricing discretely monitored early-exercise options. (2019). Luo, Guo ; Huang, Min. In: Papers. RePEc:arx:papers:1905.13407.

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2020Deep combinatorial optimisation for optimal stopping time problems and stochastic impulse control. Application to swing options pricing and fixed transaction costs options hedging. (2020). Mikael, Joseph ; Deschatre, Thomas. In: Papers. RePEc:arx:papers:2001.11247.

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2019Analysis of a multiple year gas sales agreement with make-up, carry-forward and indexation. (2019). Kang, Boda ; Dong, Wenfeng. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:76-96.

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2019Carbon sequestration and biofuel production on forestland under three stochastic prices. (2019). Sun, Changyou ; Ning, Zhuo . In: Forest Policy and Economics. RePEc:eee:forpol:v:109:y:2019:i:c:s1389934119303879.

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2019Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method. (2019). Stentoft, Lars ; Letourneau, Pascal . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:190-:d:298216.

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2019Pricing and risk of swing contracts in natural gas markets. (2019). Kohrs, Hendrik ; Schuhmacher, Frank ; Auer, Benjamin R ; Muhlichen, Hermann. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:1:d:10.1007_s11147-018-9146-x.

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Works by Alfredo Ibáñez:


YearTitleTypeCited
2015Default near-the-default-point: the value of and the distance to default In: Working Papers.
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2017The eurozone (expected) inflation: an option’s eyes view. In: Working Papers.
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2018The eurozone (expected) inflation: An options eyes view.(2018) In: Journal of International Money and Finance.
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This paper has another version. Agregated cites: 3
article
2004Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities In: Mathematical Finance.
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article4
2002Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities.(2002) In: Computing in Economics and Finance 2002.
[Citation analysis]
This paper has another version. Agregated cites: 4
paper
2018The optimal method for pricing Bermudan options by simulation In: Mathematical Finance.
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article1
1995Medidas de dispersión como medidas del riesgo de inmunización In: DEE - Documentos de Trabajo. Economía de la Empresa. DB.
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paper0
1994When can you immunize a bond portfolio? In: DEE - Working Papers. Business Economics. WB.
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1995Maxmin portfolios in financial immunization In: DEE - Working Papers. Business Economics. WB.
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2002Shadow risk-free returns when hedging the interest rate risk In: DEE - Working Papers. Business Economics. WB.
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2005Option-pricing in incomplete markets: the hedging portfolio plus a risk premium-based recursive approach In: DEE - Working Papers. Business Economics. WB.
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2004Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier In: Journal of Financial and Quantitative Analysis.
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2010The Sensitivity of American Options to Suboptimal Exercise Strategies In: Journal of Financial and Quantitative Analysis.
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article2
2008Factorization of European and American option prices under complete and incomplete markets In: Journal of Banking & Finance.
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article1
2003Robust Pricing of the American Put Option: A Note on Richardson Extrapolation and the Early Exercise Premium In: Management Science.
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article3
2008The cross-section of average delta-hedge option returns under stochastic volatility In: Review of Derivatives Research.
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2010On the dynamics of a single-bit stochastic-resonance memory device In: The European Physical Journal B: Condensed Matter and Complex Systems.
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article0

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