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Alfredo Ibáñez

This is information that was supplied by Alfredo Ibáñez in registering through RePEc. If you are Alfredo Ibáñez , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name:Alfredo
Middle Name:
Last Name:Ibáñez
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RePEc Short-ID:pib13
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Homepage:http://alfre.ibanez.googlepages.com/
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This author is featured on the following reading lists, publication compilations or Wikipedia entries:

  1. Universidad Carlos III de Madrid Economics PhD Alumni
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  1. Alfredo Ibañez, 2005. "Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach," Business Economics Working Papers wb058121, Universidad Carlos III, Departamento de Economía de la Empresa.
  2. Alfredo Ibáñez, 2002. "Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities," Computing in Economics and Finance 2002 114, Society for Computational Economics.
  3. Alejandro Balbás & Alfredo Ibáñez & Rosario Romera, 2002. "Shadow Risk-Free Returns When Hedging The Interest Rate Risk," Business Economics Working Papers wb020501, Universidad Carlos III, Departamento de Economía de la Empresa.
  1. Ibáñez, Alfredo & Paraskevopoulos, Ioannis, 2011. "The Sensitivity of American Options to Suboptimal Exercise Strategies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(06), pages 1563-1590, January.
  2. S. A. Ibáñez & P. I. Fierens & R. P.J. Perazzo & G. A. Patterson & D. F. Grosz, 2010. "On the dynamics of a single-bit stochastic-resonance memory device," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 76(1), pages 49-55, July.
  3. Ibáñez, Alfredo, 2008. "Factorization of European and American option prices under complete and incomplete markets," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 311-325, February.
  4. Alfredo Ibáñez, 2008. "The cross-section of average delta-hedge option returns under stochastic volatility," Review of Derivatives Research, Springer, vol. 11(3), pages 205-244, October.
  5. Alfredo Ibáñez, 2004. "Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities," Mathematical Finance, Wiley Blackwell, vol. 14(2), pages 223-248.
  6. Ibáñez, Alfredo & Zapatero, Fernando, 2004. "Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(02), pages 253-275, June.
  7. Alfredo Ibáñez, 2003. "Robust Pricing of the American Put Option: A Note on Richardson Extrapolation and the Early Exercise Premium," Management Science, INFORMS, vol. 49(9), pages 1210-1228, September.
3 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CMP: Computational Economics (1) 2003-10-20. Author is listed
  2. NEP-FIN: Finance (1) 2003-04-09. Author is listed
  3. NEP-FMK: Financial Markets (1) 2003-04-09. Author is listed
  4. NEP-IAS: Insurance Economics (1) 2003-04-09. Author is listed
  5. NEP-RMG: Risk Management (2) 2003-04-09 2003-10-20. Author is listed

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