Modelling the term structure of interest rates: An efficient nonparametric approach L Gómez-Valle, J Martínez-Rodríguez Journal of Banking & Finance 32 (4), 614-623, 2008 | 24 | 2008 |
Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models L Gómez-Valle, J Martínez-Rodríguez Journal of Computational and Applied Mathematics 291, 48-57, 2016 | 17 | 2016 |
A new technique to estimate the risk-neutral processes in jump–diffusion commodity futures models L Gómez-Valle, Z Habibilashkary, J Martínez-Rodríguez Journal of Computational and Applied Mathematics 309, 435-441, 2017 | 16 | 2017 |
Advances in pricing commodity futures: Multifactor models L Gómez-Valle, J Martínez-Rodríguez Mathematical and Computer Modelling 57 (7-8), 1722-1731, 2013 | 12 | 2013 |
A multiplicative seasonal component in commodity derivative pricing L Gómez-Valle, Z Habibilashkary, J Martínez-Rodríguez Journal of Computational and Applied Mathematics 330, 835-847, 2018 | 8 | 2018 |
The role of the risk-neutral jump size distribution in single-factor interest rate models L Gómez-Valle, J Martínez-Rodríguez Abstract and Applied Analysis 2015, 2015 | 7 | 2015 |
Two new strategies for pricing freight options by means of a valuation PDE and by functional bounds L Gómez-Valle, MA López-Marcos, J Martínez-Rodríguez Mathematics 8 (4), 620, 2020 | 6 | 2020 |
Including Jumps in the Stochastic Valuation of Freight Derivatives L Gómez-Valle, J Martínez-Rodríguez Mathematics 9 (2), 154, 2021 | 5 | 2021 |
A new approach for pricing commodity futures contracts L Gomez-Valle, J Martinez-Rodriguez International Journal of Economics and Business Research 1 (1), 109-117, 2009 | 4 | 2009 |
Incorporating boundary conditions in a stochastic volatility model for the numerical approximation of bond prices L Gómez‐Valle, MÁ López‐Marcos, J Martínez‐Rodríguez Mathematical Methods in the Applied Sciences 43 (14), 7993-8005, 2020 | 3 | 2020 |
The risk-neutral stochastic volatility in interest rate models with jump–diffusion processes L Gómez-Valle, J Martínez-Rodríguez Journal of Computational and Applied Mathematics 347, 49-61, 2019 | 3 | 2019 |
Improving the term structure of interest rates: two‐factor models L Gómez‐Valle, J Martínez‐Rodríguez International Journal of Finance & Economics 15 (3), 275-287, 2010 | 3 | 2010 |
The Jump Size Distribution of the Commodity Spot Price and Its Effect on Futures and Option Prices L Gómez-Valle, Z Habibilashkary, J Martínez-Rodríguez Abstract and Applied Analysis 2017, 2017 | 2 | 2017 |
A numerical approach to obtain the yield curves with different risk-neutral drifts L Gómez-Valle, J Martínez-Rodríguez Mathematical and Computer Modelling 54 (7-8), 1773-1780, 2011 | 2 | 2011 |
Estimating and pricing commodity futures with time‐delay stochastic processes L Gómez‐Valle, J Martínez‐Rodríguez Mathematical Methods in the Applied Sciences, 2023 | 1 | 2023 |
Estimating risk‐neutral freight rate dynamics: A nonparametric approach L Gómez‐Valle, I Kyriakou, J Martínez‐Rodríguez, NK Nomikos Journal of Futures Markets 41 (11), 1824-1842, 2021 | 1 | 2021 |
Including Jumps in the Stochastic Valuation of Freight Derivatives. Mathematics 2021, 9, 154 L Gómez-Valle, J Martínez-Rodríguez s Note: MDPI stays neu-tral with regard to jurisdictional clai-ms in …, 2021 | | 2021 |
Real-World Versus Risk-Neutral Measures in the Estimation of an Interest Rate Model with Stochastic Volatility L Gómez-Valle, J Martínez-Rodríguez Mathematical and Statistical Methods for Actuarial Sciences and Finance: MAF …, 2018 | | 2018 |
Jump-diffusion term structure models: some results L Gómez-Valle, J Martınez-Rodrıguez MODELLING FOR ENGINEERING AND HUMAN BEHAVIOUR 2013, 73, 2010 | | 2010 |
Numerical approximation of the term structure models with different risk-neutral drifts L Gómez-Valle, J Martınez-Rodrıguez MODELLING FOR ADDICTIVE BEHAVIOUR, MEDICINE AND ENGINEERING 2010, 100, 2010 | | 2010 |