Research Group
MARKET FINANCE AND FINANCIAL ECONOMETRICS

 

Angel León
Angel León

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About me:

Associate Professor in Finance.

Ph.D. University of Alicante

 

Main field: Derivatives, Financial Econometrics, Interest rates.

Research Topics: Executive stock option valuation (fair value), modeling interest rates, Asset Allocation.

 

On this site you will find information about my current research, my recent publications and other interesting stuff.

Selected Publications

"Pricing executive stock options under employment shocks" (with J. Carmona and A. Vaello), Journal of Economic Dynamics and Control, 35, 97-114, 2011.


"American GARCH employee stock option valuation" (with A. Vaello), Journal of Banking and Finance, 33, 1129-1143, 2009.


"Parametric Properties of Semi-Nonparametric Distribution, with Application to Option Valuation" (with J. Mencía and E. Sentana), Journal of Business and Economic Statistics, 27:2, 176-192, 2009.

Work in Progress

"Monetary policy surprises and jumps in interest rates" (with S. Sebestyén).


"Stock options for risk-averse executives under stochastic volatility" (with A. Madoz and A. Vaello).


"Does stock return predictability affect ESO cost?" (with J. Carmona and A. Vaello).

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