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Publications

by members of

Universidad Torcuato Di Tella → Escuela de Negocios → Centro de Investigación en Finanzas

Torcuato di Tella University → School of Business → Center for Financial Research

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2015

  1. Janzen, Joseph P. & Merener, Nicolas, 2015, "Supply Shocks, Futures Prices, and Trader Positions," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California, Agricultural and Applied Economics Association, number 205622, May, DOI: 10.22004/ag.econ.205622.

2012

  1. Nicolas Merener, 2012, "Globally Distributed Production and Asset Pricing:the Rise of Latin America in CME Soybean Futures," Business School Working Papers, Universidad Torcuato Di Tella, number 2012-01.

2010

  1. Nicolás Merener & Leonardo Vicchi, 2010, "Efficient Monte Carlo for Discrete Variance Contracts," Business School Working Papers, Universidad Torcuato Di Tella, number 2010-05.

2009

  1. Nicolas Merener, 2009, "Swap Rate Variance Swaps," Business School Working Papers, Universidad Torcuato Di Tella, number 2009-02, Feb.

Journal articles

2016

  1. Nicolas Merener, 2016, "Concentrated Production and Conditional Heavy Tails in Commodity Returns," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 36, issue 1, pages 46-65, January.

2015

  1. Nicolas Merener, 2015, "Globally Distributed Production and the Pricing of CME Commodity Futures," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 35, issue 1, pages 1-30, January.

2012

  1. Nicolas Merener, 2012, "Swap rate variance swaps," Quantitative Finance, Taylor & Francis Journals, volume 12, issue 2, pages 249-261, May, DOI: 10.1080/14697688.2010.497493.

2003

  1. Nicolas Merener & Paul Glasserman, 2003, "Numerical solution of jump-diffusion LIBOR market models," Finance and Stochastics, Springer, volume 7, issue 1, pages 1-27.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.