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pablo olivares
pablo olivares
professor of mathematics, ryerson university
Adresse e-mail validée de ryerson.ca
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Pricing of mountain range derivatives under a principal component stochastic volatility model
M Escobar, P Olivares
Applied Stochastic Models in Business and Industry 29 (1), 31-44, 2013
212013
Méthodes d'estimation pour des lois stables avec des applications en finance
A Alvarez, P Olivares
Journal de la société française de statistique 146 (4), 23-54, 2005
132005
Pricing two dimensional derivatives under stochastic correlation
A Alvarez, M Escobar, P Olivares
International Journal of Financial Markets and Derivatives 2 (4), 265-287, 2011
112011
Arbitrage and hedging in a non probabilistic framework
A Alvarez, S Ferrando, P Olivares
Mathematics and Financial Economics 7, 1-28, 2013
92013
Single and Double Black–Cox: Two approaches for modelling debt restructuring
I Abínzano, L Seco, M Escobar, P Olivares
Economic Modelling 26 (5), 910-917, 2009
92009
Stable Distributions: a survey on simulation and calibration methodologies
P Olivares, L Seco
Risk Lab Technical Report, 2003
62003
Pricing basket options by polynomial approximations
P Olivares, A Alvarez
Journal of Applied Mathematics 2016, 2016
52016
Pricing spread options under stochastic correlation and jump-diffusion models
P Olivares, M Cane
arXiv preprint arXiv:1409.1175, 2014
42014
Risk management under a factor stochastic volatility model
M Escobar, P Olivares
Asia-Pacific Journal of Operational Research 28 (01), 65-80, 2011
42011
A Switching Threshold Model for Oil Prices
AP Ennio, O Pablo
Systems Engineering Procedia 1, 490-498, 2011
42011
MAL’IN Logiciel de conduite d’études, Méthodes d’Aide à L’INnovation
JP Nadeau, J Pailhes, P Olivares
Paris: diffusion SERAM, 2004
42004
Pricing Bitcoin Derivatives under Jump-Diffusion Models
P Olivares
arXiv preprint arXiv:2002.07117, 2020
32020
Risk management and portfolio selection using\alpha-stable regime switching models
A Reuss, P Olivares, L Seco, R Zagst
Applied Mathematical Sciences 10, 549-582, 2016
32016
A multivariate default model with spread and event risk
JF Mai, P Olivares, S Schenk, M Scherer
Applied Mathematical Finance 21 (1), 51-83, 2014
32014
Pricing energy contracts under regime switching time-changed models
K Gajewski, S Ferrando, P Olivares
arXiv preprint arXiv:2005.14361, 2020
22020
Multivariate stochastic covariance models and applications to pricing and risk management
P Olivares, M Escobar, A Alvarez, L Seco
Journal of Financial Decision Making 6 (2), 2010
22010
On the expected discounted penalty function for a risk model perturbed by spectraly negative Lévy process
M Morales, P Olivares
Journal of Applied Stochastic Models in Business and Industry 22, 2008
22008
On the expected discounted penalty function for risk process driven by a spectrally negative Lévy process
M Morales, P Olivares
Tech. Rep, 2008
22008
Estimation of risk measures for large credit portfolios
J Hauptmann, P Olivares, R Zagst
Journal of Credit Risk 10 (2), 2014
12014
A Note on the Pricing of Basket Options Using Taylor Approximations
P Olivares, A Alvarez
arXiv preprint arXiv:1404.3229, 2014
12014
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