All Stories

  1. Stochastic Skew and Target Volatility Options

    Article • Journal of Futures Markets, March 2015, Wiley

    Dr Jacinto Marabel

  2. A closed-form solution for outperformance options with stochastic correlation and stochastic volatility

    Article • Journal of Industrial & Management Optimization, March 2015, American Institute of Mathematical Sciences (AIMS)

    Dr Jacinto Marabel

  3. Pricing Composite and Quanto Derivatives under Stochastic Correlation and Stochastic Volatility

    Article • The Journal of Derivatives, May 2014, Institutional Investor Journals

    Dr Jacinto Marabel

  4. Modeling credit spreads under multifactor stochastic volatility

    Article • The Spanish Review of Financial Economics, January 2014, Elsevier

    Dr Jacinto Marabel

  5. Investment decisions with financial constraints. Evidence from Spanish firms

    Article • Quantitative Finance, June 2013, Taylor & Francis

    Dr Jacinto Marabel

  6. Pricing Forward Skew Dependent Derivatives. Multifactor Versus Single-Factor Stochastic Volatility Models

    Article • Journal of Futures Markets, February 2013, Wiley

    Dr Jacinto Marabel

  7. WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK

    Article • International Journal of Theoretical and Applied Finance, November 2012, World Scientific Pub Co Pte Lt

    Dr Jacinto Marabel

  8. Dynamics of the implied volatility surface. Theory and empirical evidence

    Article • Quantitative Finance, June 2012, Taylor & Francis

    Dr Jacinto Marabel

  9. The Quanto Adjustment and the Smile

    Article • Journal of Futures Markets, September 2011, Wiley

    Dr Jacinto Marabel

  10. PRICING DIGITAL OUTPERFORMANCE OPTIONS WITH UNCERTAIN CORRELATION

    Article • International Journal of Theoretical and Applied Finance, August 2011, World Scientific Pub Co Pte Lt

    Dr Jacinto Marabel