5
H index
1
i10 index
74
Citations
Alfredo Ibáñez : Citation Profile
Instituto Tecnólogico Autónomo de México (ITAM) | RESEARCH PRODUCTION: 11 Articles 8 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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27 years (1994 - 2021). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Alfredo Ibáñez. | Is cited by:
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Main data
Where Alfredo Ibáñez has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Financial and Quantitative Analysis | 2 |
| Mathematical Finance | 2 |
| 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 Empresa | 4 |
| Working Papers / Banco de Espaa | 2 |
Recent works citing Alfredo Ibáñez (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | Fifty years at the interface between financial modeling and operations research. (2025). Fabozzi, Frank J ; Recchioni, Maria Cristina ; Ren, Roberto. In: European Journal of Operational Research. RePEc:eee:ejores:v:327:y:2025:i:1:p:1-21. Full description at Econpapers || Download paper |
| 2025 | Guaranteed bounds for optimal stopping problems using kernel-based non-asymptotic uniform confidence bands. (2025). Ch, Georg ; Maier, Sebastian ; Glanzer, Martin. In: European Journal of Operational Research. RePEc:eee:ejores:v:327:y:2025:i:1:p:162-173. Full description at Econpapers || Download paper |
| 2024 | Optimal investment-disinvestment choices in health-dependent variable annuity. (2024). Singh, Shakti ; D'Amico, Guglielmo ; Selvamuthu, Dharmaraja. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:1-15. Full description at Econpapers || Download paper |
| 2025 | Exploring the interplay between eurozone electricity sector stocks, real interest rates and inflation expectations. (2025). Jareo, Francisco ; Esparcia, Carlos ; Navarro, Eliseo. In: International Review of Economics & Finance. RePEc:eee:reveco:v:101:y:2025:i:c:s1059056025004150. Full description at Econpapers || Download paper |
| 2024 | Dynamic Programming for Designing and Valuing Two-Dimensional Financial Derivatives. (2024). Rmillard, Bruno ; Chrif, Rim ; Ben-Ameur, Hatem ; Ben-Abdellatif, Malek. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:12:p:183-:d:1526194. Full description at Econpapers || Download paper |
| 2024 | Leave‐one‐out least squares Monte Carlo algorithm for pricing Bermudan options. (2024). Woo, Jeechul ; Choi, Jaehyuk ; Liu, Chenru. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:8:p:1404-1428. Full description at Econpapers || Download paper |
Works by Alfredo Ibáñez:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2015 | Default near-the-default-point: the value of and the distance to default In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | The eurozone (expected) inflation: an option’s eyes view. In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2018 | The eurozone (expected) inflation: An options eyes view.(2018) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2004 | Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities In: Mathematical Finance. [Full Text][Citation analysis] | article | 8 |
| 2002 | Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities.(2002) In: Computing in Economics and Finance 2002. [Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2018 | The optimal method for pricing Bermudan options by simulation In: Mathematical Finance. [Full Text][Citation analysis] | article | 3 |
| 1995 | Medidas de dispersión como medidas del riesgo de inmunización In: DEE - Documentos de Trabajo. EconomÃa de la Empresa. DB. [Full Text][Citation analysis] | paper | 0 |
| 1994 | When can you immunize a bond portfolio? In: DEE - Working Papers. Business Economics. WB. [Full Text][Citation analysis] | paper | 0 |
| 1995 | Maxmin portfolios in financial immunization In: DEE - Working Papers. Business Economics. WB. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Shadow risk-free returns when hedging the interest rate risk In: DEE - Working Papers. Business Economics. WB. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Option-pricing in incomplete markets: the hedging portfolio plus a risk premium-based recursive approach In: DEE - Working Papers. Business Economics. WB. [Full Text][Citation analysis] | paper | 0 |
| 2004 | Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 36 |
| 2010 | The Sensitivity of American Options to Suboptimal Exercise Strategies In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 8 |
| 2020 | Recursive lower and dual upper bounds for Bermudan-style options In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 4 |
| 2008 | Factorization of European and American option prices under complete and incomplete markets In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 1 |
| 2003 | Robust Pricing of the American Put Option: A Note on Richardson Extrapolation and the Early Exercise Premium In: Management Science. [Full Text][Citation analysis] | article | 7 |
| 2008 | The cross-section of average delta-hedge option returns under stochastic volatility In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 0 |
| 2010 | On the dynamics of a single-bit stochastic-resonance memory device In: The European Physical Journal B: Condensed Matter and Complex Systems. [Full Text][Citation analysis] | article | 0 |
| 2021 | European Puts, Credit Protection, and Endogenous Default In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team