Zobrazeno 1 - 10
of 17
pro vyhledávání: '"Lorenzo Naranjo"'
Publikováno v:
European Journal of Operational Research. 288:634-647
The Least-Squares Monte Carlo Method (LSM) has become the standard tool to solve real options modeled as an optimal switching problem. The method has been shown to deliver accurate valuation results under complex and high dimensional stochastic proce
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bf7ca41bcb41b7241c971ce2a2a5bf44
https://doi.org/10.1016/j.ejor.2020.06.010
https://doi.org/10.1016/j.ejor.2020.06.010
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4adf31b6946bfe29e1dd5dc8724b3df3
https://doi.org/10.2139/ssrn.4020009
https://doi.org/10.2139/ssrn.4020009
Autor:
Lorenzo Naranjo Tapia
Publikováno v:
Revista chilena de enfermedades respiratorias v.33 n.4 2017
SciELO Chile
CONICYT Chile
instacron:CONICYT
SciELO Chile
CONICYT Chile
instacron:CONICYT
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6da8bd64de905e79ad26b49a91ddcf29
http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-73482017000400272
http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-73482017000400272
Publikováno v:
SSRN Electronic Journal.
We propose a novel representation of commodity spot prices in which the cost-of-carry and the spot price volatility are both driven by an arbitrary number of risk factors, nesting many existing specifications. The model exhibits unspanned stochastic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::df1cba5381cbbf81277f31e13e90a66d
https://doi.org/10.2139/ssrn.2811860
https://doi.org/10.2139/ssrn.2811860
Autor:
Gonzalo Cortazar, Lorenzo Naranjo
Publikováno v:
JOURNAL OF FUTURES MARKETS
Artículos CONICYT
CONICYT Chile
instacron:CONICYT
Artículos CONICYT
CONICYT Chile
instacron:CONICYT
This article studies the ability of an N-factor Gaussian model to explain the stochastic behavior of oil futures prices when estimated with the use of all available price information, as opposed to traditional approaches of aggregating data for a set
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c63b33647a01d6622dd894bf4fc12d3d
https://doi.org/10.1002/fut.20198
https://doi.org/10.1002/fut.20198
Publikováno v:
SSRN Electronic Journal.
We examine weekly trading imbalances for speculators and small investors in the commodity futures market and their price and volatility effects over the period 1986-2012. First, speculators behave like short term momentum traders and long-term contra
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a2ea408eca122d0d50bb5b1e7cc4213d
https://doi.org/10.2139/ssrn.2311859
https://doi.org/10.2139/ssrn.2311859
Publikováno v:
SSRN Electronic Journal.
In this paper we study deviations from the standard textbook no-arbitrage relationship of 14 index futures from Asia, Europe, and North America between 2001 and 2012. We find strong empirical evidence that such deviations are pervasive across differe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d34384e3c20645a99af50c9a0e1de28a
https://doi.org/10.2139/ssrn.2325373
https://doi.org/10.2139/ssrn.2325373
Autor:
Lorenzo Naranjo, Liliana Gonzalez
Publikováno v:
SSRN Electronic Journal.
This paper investigates the determinants of credit risk in insurance companies in the U.S. and Europe. Consistent with recent results for non-financial firms in the U.S., we find that equity volatility is a major determinant and predictor of CDS spre
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::19e613207b07553482a4ec961d972c7b
https://doi.org/10.2139/ssrn.2325457
https://doi.org/10.2139/ssrn.2325457
Publikováno v:
SSRN Electronic Journal.
We propose a novel, fast, accurate parallel algorithm for pricing American options. We perform a thorough numerical analysis of existing methodologies and find that ours performs significantly better. The proposed method is stable, robust, and conver
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::41448cedf6736aa32e3a70d9b2aa8a03
https://doi.org/10.2139/ssrn.2325377
https://doi.org/10.2139/ssrn.2325377
Autor:
Rafael, Selman A, Andrés, Kursbaum E, Matías, Ubilla S, Eduardo, Turner G, Christian, Espinoza S, Juan, Espinoza H, Rodrigo, González F, Mauricio, Villavicencio T, Elizabeth, Valladares J, Lorenzo, Naranjo T, Erhard, Oppliger P
Publikováno v:
Revista medica de Chile. 138(8)
Tipe A aortic dissection involves the ascending aorta and has high mortality rates without surgical treatment.To report the results of surgical treatment of type A aortic dissection.Retrospective review of medical records of 100 patients aged 17 to 7
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=pmid________::5ea31e7f2c9ba7f0dcb93a3708a3d823
https://pubmed.ncbi.nlm.nih.gov/21140055
https://pubmed.ncbi.nlm.nih.gov/21140055