Grupo de Investigación en
FINANZAS DE MERCADO Y ECONOMETRÍA FINANCIERA

 

Angel León
Angel León

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Artículos:

Publicados:

"New measures of monetary policy surprises and jumps in interest rates" (con S. Sebestyén), Journal of Banking and Finance, 36, 2323-2343, 2012.


"Does stock return predictability affect ESO fair value?"> (con J. Carmona y A. Vaello), European Journal of Operations Research, 223, 188-202, 2012.


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


"A simulation-based algorithm for American executive stock option valuation" (con A. Vaello), Finance Research Letters, 7, 14-23, 2010.


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


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


"Modeling the Euro Overnight Rate" (con F. Benito y J. Nave), Journal of Empirical Finance, 14, 756-782, 2007.


"The Relationship between Risk and Expected Return in Europe" (con J. Nave y G. Rubio), Journal of Banking and Finance, 31, 495-512, 2007.


"Investment Option under CIR interest rates" (con J. Carmona), Finance Research Letters, 4, 242-253, 2007.


"Autoregresive Conditional Volatility, Skewness and Kurtosis", (con G. Serna y G. Rubio), The Quarterly Review of Economics and Finance, 45, 599-618, 2005.


"An empirical comparison of the performance of alternative option pricing models" (con E. Ferreira, M. Gago y G. Rubio), Investigaciones Económicas, 29, 483-523, 2005.


"Modelos alternativos de valoración de opciones sobre acciones: una aplicación al mercado español" (con G. Serna), Cuadernos Económicos de ICE, 69, 33-49, 2005.


"Smiling under stochastic volatility" (con G. Rubio), Spanish Economic Review, 6, 53-75, 2004.


"Modelización de la Volatilidad del Tipo de Interés a Corto Plazo" (con F. Benito y J. Nave), Revista Economía Financiera, 3, 64-79, 2004.


"A note on adjusting correlation matrices" (con J. Peris, J. Silva y B. Subiza), Applied Mathematical Finance, 9, 61-67, 2002.


"Estimation and empirical performance of Heston’s stochastic volatility model: the case of a thinly traded market" (con G. Fiorentini y G. Rubio), Journal of Empirical Finance, 9, 225-255, 2002.


"Measurement of formal harmonization. The IASC experience" (con P. Garrido y A. Zorio), The International Journal of Accounting, 37, 1-26, 2002.


"La estimación diaria de la prima de riesgo de la volatilidad" (con G. Fiorentini y G. Rubio), Revista Española de Financiación y Contabilidad, 100, 89-110, 1999.


"Modelling conditional heteroskedasticity: Application to the Ibex-35 stock-return index" (con J. Mora), Spanish Economic Review, 1, 215-238, 1999.


"The information content of options on the Ibex-35" (con H. Dewachter), Revista Española de Economía, 13, 159-180, 1996.

Documentos de Trabajo:

"Valuation of a Biotech Company: a Real Options Approach", (con D. Piñeiro), CEMFI Working Paper, Nº0420, 2004. Una versión corta en Revista Bolsa Madrid, 133, 66-68, 2004.


"Evaluation of a Taxi Sector Reform: a Real Options Approach", (con M. Albertí y G. Llobet), CEMFI Working Paper, Nº0312, 2003.


"Pricing Options on Assets with predictable white noise", (con E. Sentana), CEMFI Working Paper, Nº9704, 1997.

Trabajo en Curso:

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


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


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


"Stock option incentives for loss-averse executives" (con A. Madoz y A. Vaello).

 

Libros y Capítulos:

"The anchoring of money market expectations in a corridor system implementation framework" (con F. Benito y D. Rodríguez), New Frontiers in Insurance and Bank Risk Management, McGraw-Hill, 193-206, 2009.


"Testing for Weekly Seasonal Unit Roots in the Spanish Power Pool" (con A. Rubia), Modelling Prices in Competitive Electricity Markets, John Wiley & Sons, UK, chapter 5, 131-159, 2004.


"Forecasting Time-Varying Covariance Matrices in the Intradaily Spot Market of Argentina" (con A. Rubia), Modelling Prices in Competitive Electricity Markets, John Wiley & Sons, UK, chapter 8, 177-189, 2004.

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