Lourdes Gómez-Valle
Lourdes Gómez-Valle
Verified email at eco.uva.es
Title
Cited by
Cited by
Year
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
232008
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
142016
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
122017
Advances in pricing commodity futures: Multifactor models
L Gómez-Valle, J Martínez-Rodríguez
Mathematical and Computer Modelling 57 (7-8), 1722-1731, 2013
92013
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
62018
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
62015
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
62009
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
32010
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
22020
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
22020
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
22019
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
22017
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
22011
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, 397-401, 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
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