Jacinto Marabel Romo

Personal Details

First Name:	Jacinto
Middle Name:
Last Name:	Marabel Romo
Suffix:
RePEc Short-ID:	pma1576
	[This author has chosen not to make the email address public]

Affiliation

(60%) BBVA (BBVA)

http://www.bbva.com/TLBB/tlbb/jsp/esp/home/index.jsp
Spain, Madrid

(40%) Facultad de Ciencias Económicas, Empresariales y Turismo
Universidad de Alcalá de Henares

Alcalá de Henares, Spain
http://www.uah.es/centros_departamentos/facultades/cceet/
RePEc:edi:fcalces (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

1. Martino Grasselli & Jacinto Marabel Romo, 2016. "Stochastic Skew and Target Volatility Options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(2), pages 174-193, February.

   Cited by:

   1. Elisa Alos & Rupak Chatterjee & Sebastian Tudor & Tai-Ho Wang, 2018. "Target volatility option pricing in lognormal fractional SABR model," Papers 1801.08215, arXiv.org.
   2. Wang, Xingchun, 2021. "Pricing volatility-equity options under the modified constant elasticity of variance model," Finance Research Letters, Elsevier, vol. 38(C).
   3. Roberto Daluiso & Emanuele Nastasi & Andrea Pallavicini & Stefano Polo, 2021. "Reinforcement learning for options on target volatility funds," Papers 2112.01841, arXiv.org.
   4. Hongkai Cao & Alexandru Badescu & Zhenyu Cui & Sarath Kumar Jayaraman, 2020. "Valuation of VIX and target volatility options with affine GARCH models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(12), pages 1880-1917, December.

2. Jacinto Marabel Romo, 2014. "Pricing Forward Skew Dependent Derivatives. Multifactor Versus Single‐Factor Stochastic Volatility Models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(2), pages 124-144, February.

   Cited by:

   1. Lee Kyungsub, 2016. "Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(1), pages 19-36, February.
   2. Choi, Sun-Yong, 2019. "The influence of shock signals on the change in volatility term structure," Economics Letters, Elsevier, vol. 183(C), pages 1-1.
   3. Yanhong Zhong & Guohe Deng, 2019. "Geometric Asian Options Pricing under the Double Heston Stochastic Volatility Model with Stochastic Interest Rate," Complexity, Hindawi, vol. 2019, pages 1-13, January.

3. Jacinto Marabel Romo, 2014. "Investment decisions with financial constraints. Evidence from Spanish firms," Quantitative Finance, Taylor & Francis Journals, vol. 14(6), pages 1079-1095, June.

   Cited by:

   1. Pinglin He & Jing Ning & Zhongfu Yu & Hao Xiong & Huayu Shen & Hui Jin, 2019. "Can Environmental Tax Policy Really Help to Reduce Pollutant Emissions? An Empirical Study of a Panel ARDL Model Based on OECD Countries and China," Sustainability, MDPI, vol. 11(16), pages 1-32, August.
   2. Pasquale Marcello Falcone & Edgardo Sica, 2019. "Assessing the Opportunities and Challenges of Green Finance in Italy: An Analysis of the Biomass Production Sector," Sustainability, MDPI, vol. 11(2), pages 1-14, January.

4. Jacinto Marabel Romo, 2014. "Dynamics of the implied volatility surface. Theory and empirical evidence," Quantitative Finance, Taylor & Francis Journals, vol. 14(10), pages 1829-1837, October.

   Cited by:

   1. Wang, Ximei & Zhao, Yanlong & Bao, Ying, 2019. "Arbitrage-free conditions for implied volatility surface by Delta," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 819-834.
   2. Itkin, Andrey, 2015. "To sigmoid-based functional description of the volatility smile," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 264-291.
      • Andrey Itkin, 2014. "To sigmoid-based functional description of the volatility smile," Papers 1407.0256, arXiv.org, revised Dec 2014.

5. Jacinto Marabel Romo, 2012. "The Quanto Adjustment and the Smile," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(9), pages 877-908, September.

   Cited by:

   1. Julien Hok & Philip Ngare & Antonis Papapantoleon, 2018. "Expansion formulas for European quanto options in a local volatility FX-LIBOR model," Papers 1801.01205, arXiv.org, revised Apr 2018.
   2. Long Teng & Matthias Ehrhardt & Michael Günther, 2018. "Quanto Pricing In Stochastic Correlation Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-20, August.
   3. Julien Hok & Sergei Kucherenko, 2021. "Pricing and Risk Analysis in Hyperbolic Local Volatility Model with Quasi Monte Carlo," Papers 2106.08421, arXiv.org.
   4. Julien Hok & Philip Ngare & Antonis Papapantoleon, 2018. "Expansion Formulas For European Quanto Options In A Local Volatility Fx-Libor Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-43, March.

6. Jacinto Marabel Romo, 2012. "Volatility Regimes For The Vix Index," Revista de Economia Aplicada, Universidad de Zaragoza, Departamento de Estructura Economica y Economia Publica, vol. 20(2), pages 111-134, Autumn.

   Cited by:

   1. Oscar V. De la Torre-Torres & Francisco Venegas-Martínez & Mᵃ Isabel Martínez-Torre-Enciso, 2021. "Enhancing Portfolio Performance and VIX Futures Trading Timing with Markov-Switching GARCH Models," Mathematics, MDPI, vol. 9(2), pages 1-22, January.
   2. Jyothi Chittineni,, 2017. "Regime switching behavior of Indian VIX and its time dependent correlation with select developed economies," Business and Economic Horizons (BEH), Prague Development Center, vol. 13(5), pages 666-675, December.

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