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 | 21 | 2013 |
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 | 15 | 2005 |
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 | 12 | 2011 |
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 | 11 | 2009 |
Arbitrage and hedging in a non probabilistic framework A Alvarez, S Ferrando, P Olivares Mathematics and Financial Economics 7, 1-28, 2013 | 10 | 2013 |
Pricing basket options by polynomial approximations P Olivares, A Alvarez Journal of Applied Mathematics 2016 (1), 9747394, 2016 | 6 | 2016 |
Stable distributions: A survey on simulation and calibration methodologies P Olivares, L Seco Risk Lab Technical Report, 2003 | 6 | 2003 |
Pricing Spread options under stochastic correlation and jump-diffusion models P Olivares, M Cane arXiv preprint arXiv:1409.1175, 2014 | 4 | 2014 |
Risk management under a factor stochastic volatility model M Escobar, P Olivares Asia-Pacific Journal of Operational Research 28 (01), 65-80, 2011 | 4 | 2011 |
A Switching Threshold Model for Oil Prices AP Ennio, O Pablo Systems Engineering Procedia 1, 490-498, 2011 | 4 | 2011 |
MAL’IN Logiciel de conduite d’études, Méthodes d’Aide à L’INnovation JP Nadeau, J Pailhes, P Olivares Paris: diffusion SERAM, 2004 | 4 | 2004 |
Pricing energy contracts under regime switching time-changed models K Gajewski, S Ferrando, P Olivares arXiv preprint arXiv:2005.14361, 2020 | 3 | 2020 |
Pricing Bitcoin Derivatives under Jump-Diffusion Models P Olivares arXiv preprint arXiv:2002.07117, 2020 | 3 | 2020 |
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 | 3 | 2016 |
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 | 3 | 2014 |
Valuing Exchange Options under an Ornstein-Uhlenbeck Covariance Model E Villamor, P Olivares International Journal of Financial Studies 11 (2), 55, 2023 | 2 | 2023 |
Pricing Temperature Derivatives under a Time-Changed Levy Model P Olivares arXiv preprint arXiv:2005.14350, 2020 | 2 | 2020 |
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 | 2 | 2010 |
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 | 2 | 2008 |
On the expected discounted penalty function for risk process driven by a spectrally negative Lévy process M Morales, P Olivares Tech. Rep, 2008 | 2 | 2008 |