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Marcelo J. Villena

Personal Details

First Name:Marcelo
Middle Name:J.
Last Name:Villena
Suffix:
RePEc Short-ID:pvi237
[This author has chosen not to make the email address public]
https://comercial.usm.cl/academicos/marcelo-villena/
Terminal Degree: (from RePEc Genealogy)

Affiliation

Departamento de Ingeniería Comercial, Universidad Técnico Federico Santa María

Santiago

Research output

as
Jump to: Working papers Articles

Working papers

  1. Quinteros, María José & Villena, Marcelo J. & Villena, Mauricio G., 2019. "Whistleblowing Behavior in Organizations," MPRA Paper 99215, University Library of Munich, Germany, revised 24 Nov 2019.
  2. Axel A. Araneda & Marcelo J. Villena, 2018. "Computing the CEV option pricing formula using the semiclassical approximation of path integral," Papers 1803.10376, arXiv.org.
  3. Mauricio Contreras & Rely Pellicer & Marcelo Villena, 2016. "Dynamic optimization and its relation to classical and quantum constrained systems," Papers 1607.01317, arXiv.org.
  4. Mauricio Contreras & Rely Pellicer & Daniel Santiagos & Marcelo Villena, 2015. "Calibration and simulation of arbitrage effects in a non-equilibrium quantum Black-Scholes model by using semiclassical methods," Papers 1512.05377, arXiv.org.
  5. Mauricio Contreras & Alejandro Llanquihu'en & Marcelo Villena, 2015. "On the Solution of the Multi-asset Black-Scholes model: Correlations, Eigenvalues and Geometry," Papers 1510.02768, arXiv.org.
  6. Roberto Ortiz & Mauricio Contreras & Marcelo Villena, 2015. "On the Efficient Market Hypothesis of Stock Market Indexes: The Role of Non-synchronous Trading and Portfolio Effects," Papers 1510.03926, arXiv.org.
  7. Marcelo J. Villena & Axel A. Araneda, 2015. "Dynamics and Stability in Retail Competition," Papers 1510.04550, arXiv.org, revised Mar 2016.
  8. Marcelo J. Villena & Axel A. Araneda, 2014. "Option Pricing of Twin Assets," Papers 1401.6735, arXiv.org.
  9. Villena, Marcelo & Villena, Mauricio, 2011. "Option Pricing in an Oligopolistic Setting," MPRA Paper 57978, University Library of Munich, Germany, revised 16 Aug 2014.
  10. Villena, Mauricio G. & Villena, Marcelo J., 2010. "On the economics of whistle-blowing behavior: the role of incentives," MPRA Paper 35917, University Library of Munich, Germany, revised 24 Mar 2010.
  11. Marcelo Villena & Erick Monroy & Mauricio Villena, 2008. "IS RELATIVE RISK DUE TO AIR POLLUTION LINKED TO INCOME? Infant and Elderly Mortality in Santiago,Chile," Working Papers 06-2008, Departamento de Economía, Universidad de Concepción.
  12. Villena, Mauricio G. & Villena, Marcelo J., 2004. "Evolutionary Game Theory and Thorstein Veblen’s Evolutionary Economics: Is EGT Veblenian?," MPRA Paper 28889, University Library of Munich, Germany.
  13. Marcelo Villena & Mauricio Villena, 2001. "On The Evolution of Altruistic, Spiteful and Reciprocal Preferences in Local Commons UTFSM," Working Papers 01-2001, Departamento de Economía, Universidad de Concepción.

Articles

  1. Harrison, Rodrigo & Parada-Contzen, Marcela & Villena, Marcelo, 2023. "Can auctions increase competition in the pension funds market? The Chilean experience," Journal of Policy Modeling, Elsevier, vol. 45(5), pages 975-993.
  2. Marcelo J. Villena & Hugo Osorio, 2023. "On the social discount rate for South American Countries," Applied Economics Letters, Taylor & Francis Journals, vol. 30(4), pages 429-434, February.
  3. María J. Quinteros & Marcelo J. Villena & Abdellatif Ben Makhlouf, 2022. "On the Dynamics and Stability of the Crime and Punishment Game," Complexity, Hindawi, vol. 2022, pages 1-14, March.
  4. Contreras, M. & Echeverría, J. & Peña, J.P. & Villena, M., 2020. "Resonance phenomena in option pricing with arbitrage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
  5. Jeltsje de Kraker & Katarzyna Kujawa-Roeleveld & Marcelo J. Villena & Claudia Pabón-Pereira, 2019. "Decentralized Valorization of Residual Flows as an Alternative to the Traditional Urban Waste Management System: The Case of Peñalolén in Santiago de Chile," Sustainability, MDPI, vol. 11(22), pages 1-26, November.
  6. Villena, Marcelo & Greve, Fernando, 2018. "On resource depletion and productivity: The case of the Chilean copper industry," Resources Policy, Elsevier, vol. 59(C), pages 553-562.
  7. Villena, Marcelo J. & Araneda, Axel A., 2017. "Dynamics and stability in retail competition," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 134(C), pages 37-53.
  8. Bitrán, Eduardo & Duarte, Fabián & Fernandes, Dalila & Villena, Marcelo, 2017. "Impacto del Plan Garantizado de Salud con prima comunitaria única en la demanda del seguro privado de salud en Chile," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), December.
  9. Contreras, Mauricio & Pellicer, Rely & Villena, Marcelo, 2017. "Dynamic optimization and its relation to classical and quantum constrained systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 12-25.
  10. Bitrán, Eduardo & Duarte, Fabián & Fernandes, Dalila & Villena, Marcelo, 2017. "Impact of the Guaranteed Health Plan with a single community premium on the demand for private health insurance in Chile," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), December.
  11. Villena, Marcelo J. & Reus, Lorenzo, 2016. "On the strategic behavior of large investors: A mean-variance portfolio approach," European Journal of Operational Research, Elsevier, vol. 254(2), pages 679-688.
  12. Eduardo, Bitran & Cristián, González U. & Fernando, Greve & Marcelo, Villena, 2014. "¿Innovar para exportar o exportar para innovar?: Un análisis a nivel de firma de la industria manufacturera chilena,1995-2010," Estudios Públicos, Centro de Estudios Públicos, vol. 0(134), pages 109-130.
  13. González, Eduardo & Villena, Marcelo, 2011. "Spatial Lanchester models," European Journal of Operational Research, Elsevier, vol. 210(3), pages 706-715, May.
  14. Contreras, Mauricio & Pellicer, Rely & Villena, Marcelo & Ruiz, Aaron, 2010. "A quantum model of option pricing: When Black–Scholes meets Schrödinger and its semi-classical limit," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(23), pages 5447-5459.
  15. Contreras, Mauricio & Montalva, Rodrigo & Pellicer, Rely & Villena, Marcelo, 2010. "Dynamic option pricing with endogenous stochastic arbitrage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(17), pages 3552-3564.
  16. Marcelo J. Villena & Rodrigo Harrison & Mauricio Villena, 2008. "Impacto económico de la política de acuerdos de cielos abiertos en Chile," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 23(1), pages 107-149, June.
  17. Mauricio G. Villena & Marcelo J. Villena, 2005. "La teoría de juegos evolutivos y la economía evolutiva de Thorstein Veblen: ¿es vebleniana la TJE?," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, March.
  18. Mauricio Villena & Marcelo J. Villena, 2005. "La teoría de juegos evolutivos (TJE) y la economía evolutiva de Thorstein Veblen: ¿es vebleniana la TJE?," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, July.
  19. Mauricio G. Villena & Marcelo J. Villena, 2004. "Evolutionary Game Theory and Thorstein Veblen’s Evolutionary Economics: Is EGT Veblenian?," Journal of Economic Issues, Taylor & Francis Journals, vol. 38(3), pages 585-610, September.
  20. Terry Barker & Jonathan Köhler & Marcelo Villena, 2002. "Costs of greenhouse gas abatement: meta-analysis of post-SRES mitigation scenarios," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 5(2), pages 135-166, June.

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.

Working papers

  1. Mauricio Contreras & Rely Pellicer & Marcelo Villena, 2016. "Dynamic optimization and its relation to classical and quantum constrained systems," Papers 1607.01317, arXiv.org.

    Cited by:

    1. Mauricio Contreras G, 2020. "An Application of Dirac's Interaction Picture to Option Pricing," Papers 2010.06747, arXiv.org.
    2. Godinho, Cresus F.L. & Abreu, Everton M.C., 2021. "The analysis of the dynamic optimization problem in econophysics from the point of view of the symplectic approach for constrained systems," Chaos, Solitons & Fractals, Elsevier, vol. 145(C).
    3. G., Mauricio Contreras & Peña, Juan Pablo, 2019. "The quantum dark side of the optimal control theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 450-473.
    4. Contreras G., Mauricio & Peña, Juan Pablo & Aros, Rodrigo, 2021. "Second class constraints and the consistency of optimal control theory in phase space," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 562(C).

  2. Mauricio Contreras & Rely Pellicer & Daniel Santiagos & Marcelo Villena, 2015. "Calibration and simulation of arbitrage effects in a non-equilibrium quantum Black-Scholes model by using semiclassical methods," Papers 1512.05377, arXiv.org.

    Cited by:

    1. Contreras, M. & Echeverría, J. & Peña, J.P. & Villena, M., 2020. "Resonance phenomena in option pricing with arbitrage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    2. Mauricio Contreras G, 2020. "Endogenous Stochastic Arbitrage Bubbles and the Black--Scholes model," Papers 2009.09329, arXiv.org.
    3. Mauricio Contreras G. & Roberto Ortiz H, 2021. "Three little arbitrage theorems," Papers 2104.10187, arXiv.org.

  3. Mauricio Contreras & Alejandro Llanquihu'en & Marcelo Villena, 2015. "On the Solution of the Multi-asset Black-Scholes model: Correlations, Eigenvalues and Geometry," Papers 1510.02768, arXiv.org.

    Cited by:

    1. Panumart Sawangtong & Kamonchat Trachoo & Wannika Sawangtong & Benchawan Wiwattanapataphee, 2018. "The Analytical Solution for the Black-Scholes Equation with Two Assets in the Liouville-Caputo Fractional Derivative Sense," Mathematics, MDPI, vol. 6(8), pages 1-14, July.
    2. Bustamante, M. & Contreras, M., 2016. "Multi-asset Black–Scholes model as a variable second class constrained dynamical system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 540-572.
    3. Tristan Guillaume, 2019. "On the multidimensional Black–Scholes partial differential equation," Annals of Operations Research, Springer, vol. 281(1), pages 229-251, October.

  4. Roberto Ortiz & Mauricio Contreras & Marcelo Villena, 2015. "On the Efficient Market Hypothesis of Stock Market Indexes: The Role of Non-synchronous Trading and Portfolio Effects," Papers 1510.03926, arXiv.org.

    Cited by:

    1. Mosoeu, Selebogo & Kodongo, Odongo, 2022. "The Fama-French five-factor model and emerging market equity returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 55-76.

  5. Marcelo J. Villena & Axel A. Araneda, 2015. "Dynamics and Stability in Retail Competition," Papers 1510.04550, arXiv.org, revised Mar 2016.

    Cited by:

    1. Yu, Yu & Yu, Weisheng, 2021. "The stability and duality of dynamic Cournot and Bertrand duopoly model with comprehensive preference," Applied Mathematics and Computation, Elsevier, vol. 395(C).
    2. Gao, Wei & Yan, Li & Saeedi, Mohammadhossein & Saberi Nik, Hassan, 2018. "Ultimate bound estimation set and chaos synchronization for a financial risk system," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 154(C), pages 19-33.

  6. Villena, Mauricio G. & Villena, Marcelo J., 2010. "On the economics of whistle-blowing behavior: the role of incentives," MPRA Paper 35917, University Library of Munich, Germany, revised 24 Mar 2010.

    Cited by:

    1. Sebastian Oelrich, 2019. "Making regulation fit by taking irrationality into account: the case of the whistleblower," Business Research, Springer;German Academic Association for Business Research, vol. 12(1), pages 175-207, April.
    2. Quinteros, María José & Villena, Marcelo J. & Villena, Mauricio G., 2019. "Whistleblowing Behavior in Organizations," MPRA Paper 99215, University Library of Munich, Germany, revised 24 Nov 2019.

  7. Marcelo Villena & Erick Monroy & Mauricio Villena, 2008. "IS RELATIVE RISK DUE TO AIR POLLUTION LINKED TO INCOME? Infant and Elderly Mortality in Santiago,Chile," Working Papers 06-2008, Departamento de Economía, Universidad de Concepción.

    Cited by:

    1. Nicolas R. Ziebarth & Maike Schmitt & Martin Karlsson, 2014. "The Short-Term Population Health Effects of Weather and Pollution: Implications of Climate Change," SOEPpapers on Multidisciplinary Panel Data Research 646, DIW Berlin, The German Socio-Economic Panel (SOEP).

  8. Villena, Mauricio G. & Villena, Marcelo J., 2004. "Evolutionary Game Theory and Thorstein Veblen’s Evolutionary Economics: Is EGT Veblenian?," MPRA Paper 28889, University Library of Munich, Germany.

    Cited by:

    1. Gräbner, Claudius, 2015. "Formal Approaches to Socio Economic Policy Analysis - Past and Perspectives," MPRA Paper 61348, University Library of Munich, Germany.
    2. Villena, Mauricio G. & Villena, Marcelo J., 2010. "On the economics of whistle-blowing behavior: the role of incentives," MPRA Paper 35917, University Library of Munich, Germany, revised 24 Mar 2010.
    3. Rodrigo Harrison & Mauricio Villena, 2008. "The Evolution of Social Norms and Individual Preferences," Documentos de Trabajo 333, Instituto de Economia. Pontificia Universidad Católica de Chile..
    4. Narges TALEBIMOTLAGH & Farzad HASHEMZADEH & Amir RIKHTEHGAR GHIASI & Sehraneh GHAEMI, 2017. "A Novel Method of Modeling Dynamic Evolutionary Game with Rational Agents for Market Forecasting," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 51(1), pages 281-302.
    5. Heinrich, Torsten, 2016. "The Narrow and the Broad Approach to Evolutionary Modeling in Economics," MPRA Paper 75797, University Library of Munich, Germany.
    6. Gräbner, Claudius, 2014. "Agent-Based Computational Models - A Formal Heuristic for Institutionalist Pattern Modelling?," MPRA Paper 56415, University Library of Munich, Germany.
    7. Torsten Heinrich & Henning Schwardt, 2013. "Institutional Inertia and Institutional Change in an Expanding Normal-Form Game," Games, MDPI, vol. 4(3), pages 1-28, August.
    8. César A.Salazar & Mauricio G.Villena, 2005. "Evolución de preferencias bajo escenarios de información completa e incompleta: teoría y evidencia experimental," Estudios de Economia, University of Chile, Department of Economics, vol. 32(2 Year 20), pages 159-186, December.
    9. Geoffrey Hodgson & Kainan Huang, 2012. "Evolutionary game theory and evolutionary economics: are they different species?," Journal of Evolutionary Economics, Springer, vol. 22(2), pages 345-366, April.

Articles

  1. María J. Quinteros & Marcelo J. Villena & Abdellatif Ben Makhlouf, 2022. "On the Dynamics and Stability of the Crime and Punishment Game," Complexity, Hindawi, vol. 2022, pages 1-14, March.

    Cited by:

    1. Bansal, Komal & Mathur, Trilok & Agarwal, Shivi, 2023. "Fractional-order crime propagation model with non-linear transmission rate," Chaos, Solitons & Fractals, Elsevier, vol. 169(C).

  2. Contreras, M. & Echeverría, J. & Peña, J.P. & Villena, M., 2020. "Resonance phenomena in option pricing with arbitrage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).

    Cited by:

    1. Mauricio Contreras G, 2020. "An Application of Dirac's Interaction Picture to Option Pricing," Papers 2010.06747, arXiv.org.
    2. Yeşiltaş, Özlem, 2023. "The Black–Scholes equation in finance: Quantum mechanical approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 623(C).
    3. Contreras G., Mauricio, 2021. "Endogenous stochastic arbitrage bubbles and the Black–Scholes model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 583(C).
    4. Mauricio Contreras G. & Roberto Ortiz H, 2021. "Three little arbitrage theorems," Papers 2104.10187, arXiv.org.

  3. Jeltsje de Kraker & Katarzyna Kujawa-Roeleveld & Marcelo J. Villena & Claudia Pabón-Pereira, 2019. "Decentralized Valorization of Residual Flows as an Alternative to the Traditional Urban Waste Management System: The Case of Peñalolén in Santiago de Chile," Sustainability, MDPI, vol. 11(22), pages 1-26, November.

    Cited by:

    1. Kartik Kapoor & Nikhil Sayi Amydala & Anubhav Ambooken & Anne Scheinberg, 2023. "Measuring Circularity in Cities: A Review of the Scholarly and Grey Literature in Search of Evidence-Based, Measurable and Actionable Indicators," Sustainability, MDPI, vol. 15(19), pages 1-26, September.
    2. Marini, Michele & Caro, Dario & Thomsen, Marianne, 2023. "Investigating local policy instruments for different types of urban agriculture in four European cities: A case study analysis on the use and effectiveness of the applied policy instruments," Land Use Policy, Elsevier, vol. 131(C).
    3. Joris Baars & Mohammad Ali Rajaeifar & Oliver Heidrich, 2022. "Quo vadis MFA? Integrated material flow analysis to support material efficiency," Journal of Industrial Ecology, Yale University, vol. 26(4), pages 1487-1503, August.
    4. Marcelo Alves de Souza & Juliana Teixeira Gonçalves & William Azalim do Valle, 2023. "In My Backyard? Discussing the NIMBY Effect, Social Acceptability, and Residents’ Involvement in Community-Based Solid Waste Management," Sustainability, MDPI, vol. 15(9), pages 1-24, April.
    5. Piotr Sulewski & Karolina Kais & Marlena Gołaś & Grzegorz Rawa & Klaudia Urbańska & Adam Wąs, 2021. "Home Bio-Waste Composting for the Circular Economy," Energies, MDPI, vol. 14(19), pages 1-25, September.
    6. Cecilia Bruni & Çağrı Akyol & Giulia Cipolletta & Anna Laura Eusebi & Donatella Caniani & Salvatore Masi & Joan Colón & Francesco Fatone, 2020. "Decentralized Community Composting: Past, Present and Future Aspects of Italy," Sustainability, MDPI, vol. 12(8), pages 1-20, April.

  4. Villena, Marcelo & Greve, Fernando, 2018. "On resource depletion and productivity: The case of the Chilean copper industry," Resources Policy, Elsevier, vol. 59(C), pages 553-562.

    Cited by:

    1. Reni Pantcheva, 2023. "Circular Use of Materials: Drivers of the Circularity Rate in the European Union," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 148-161.
    2. Rodríguez, Xosé A. & Loureiro, Maria L. & Arias, Carlos, 2021. "Measuring productivity in the extractive industries. Evidence from Spanish fluorite mining," Resources Policy, Elsevier, vol. 73(C).
    3. Ahmad, Shabbir & Steen, John & Ali, Saleem & Valenta, Rick, 2023. "Carbon-adjusted efficiency and technology gaps in gold mining," Resources Policy, Elsevier, vol. 81(C).

  5. Villena, Marcelo J. & Araneda, Axel A., 2017. "Dynamics and stability in retail competition," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 134(C), pages 37-53.
    See citations under working paper version above.
  6. Contreras, Mauricio & Pellicer, Rely & Villena, Marcelo, 2017. "Dynamic optimization and its relation to classical and quantum constrained systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 12-25.
    See citations under working paper version above.
  7. Villena, Marcelo J. & Reus, Lorenzo, 2016. "On the strategic behavior of large investors: A mean-variance portfolio approach," European Journal of Operational Research, Elsevier, vol. 254(2), pages 679-688.

    Cited by:

    1. Deng, Chao & Zeng, Xudong & Zhu, Huiming, 2018. "Non-zero-sum stochastic differential reinsurance and investment games with default risk," European Journal of Operational Research, Elsevier, vol. 264(3), pages 1144-1158.

  8. González, Eduardo & Villena, Marcelo, 2011. "Spatial Lanchester models," European Journal of Operational Research, Elsevier, vol. 210(3), pages 706-715, May.

    Cited by:

    1. Connor McLemore & Donald Gaver & Patricia Jacobs, 2016. "A model for geographically distributed combat interactions of swarming naval and air forces," Naval Research Logistics (NRL), John Wiley & Sons, vol. 63(7), pages 562-576, October.

  9. Contreras, Mauricio & Pellicer, Rely & Villena, Marcelo & Ruiz, Aaron, 2010. "A quantum model of option pricing: When Black–Scholes meets Schrödinger and its semi-classical limit," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(23), pages 5447-5459.

    Cited by:

    1. Kartono, Agus & Solekha, Siti & Sumaryada, Tony & Irmansyah,, 2021. "Foreign currency exchange rate prediction using non-linear Schrödinger equations with economic fundamental parameters," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
    2. Will Hicks, 2020. "Pseudo-Hermiticity, Martingale Processes and Non-Arbitrage Pricing," Papers 2009.00360, arXiv.org, revised Apr 2021.
    3. Axel A. Araneda & Marcelo J. Villena, 2018. "Computing the CEV option pricing formula using the semiclassical approximation of path integral," Papers 1803.10376, arXiv.org.
    4. Mauricio Contreras G, 2020. "An Application of Dirac's Interaction Picture to Option Pricing," Papers 2010.06747, arXiv.org.
    5. G., Mauricio Contreras & Peña, Juan Pablo, 2019. "The quantum dark side of the optimal control theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 450-473.
    6. Contreras, M. & Echeverría, J. & Peña, J.P. & Villena, M., 2020. "Resonance phenomena in option pricing with arbitrage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    7. Contreras, Mauricio & Pellicer, Rely & Villena, Marcelo, 2017. "Dynamic optimization and its relation to classical and quantum constrained systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 12-25.
    8. Jena, Rajarama Mohan & Chakraverty, Snehashish & Baleanu, Dumitru, 2020. "A novel analytical technique for the solution of time-fractional Ivancevic option pricing model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
    9. Denis M. Filatov & Maksim A. Vanyarkho, 2014. "An Unconventional Attempt to Tame Mandelbrot's Grey Swans," Papers 1406.5718, arXiv.org.
    10. Chowdhury, Reaz & Mahdy, M.R.C. & Alam, Tanisha Nourin & Al Quaderi, Golam Dastegir & Arifur Rahman, M., 2020. "Predicting the stock price of frontier markets using machine learning and modified Black–Scholes Option pricing model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 555(C).
    11. Bustamante, M. & Contreras, M., 2016. "Multi-asset Black–Scholes model as a variable second class constrained dynamical system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 540-572.
    12. Mauricio Contreras G, 2020. "Endogenous Stochastic Arbitrage Bubbles and the Black--Scholes model," Papers 2009.09329, arXiv.org.
    13. Anantya Bhatnagar & Dimitri D. Vvedensky, 2022. "Quantum effects in an expanded Black–Scholes model," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 95(8), pages 1-12, August.
    14. Mauricio Contreras & Rely Pellicer & Daniel Santiagos & Marcelo Villena, 2015. "Calibration and simulation of arbitrage effects in a non-equilibrium quantum Black-Scholes model by using semiclassical methods," Papers 1512.05377, arXiv.org.
    15. Contreras, Mauricio & Hojman, Sergio A., 2014. "Option pricing, stochastic volatility, singular dynamics and constrained path integrals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 393(C), pages 391-403.
    16. Reaz Chowdhury & M. R. C. Mahdy & Tanisha Nourin Alam & Golam Dastegir Al Quaderi, 2018. "Predicting the Stock Price of Frontier Markets Using Modified Black-Scholes Option Pricing Model and Machine Learning," Papers 1812.10619, arXiv.org.
    17. Contreras G., Mauricio, 2021. "Endogenous stochastic arbitrage bubbles and the Black–Scholes model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 583(C).
    18. Rotundo, Giulia, 2014. "Black–Scholes–Schrödinger–Zipf–Mandelbrot model framework for improving a study of the coauthor core score," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 404(C), pages 296-301.
    19. Mauricio Contreras G. & Roberto Ortiz H, 2021. "Three little arbitrage theorems," Papers 2104.10187, arXiv.org.

  10. Contreras, Mauricio & Montalva, Rodrigo & Pellicer, Rely & Villena, Marcelo, 2010. "Dynamic option pricing with endogenous stochastic arbitrage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(17), pages 3552-3564.

    Cited by:

    1. Kartono, Agus & Solekha, Siti & Sumaryada, Tony & Irmansyah,, 2021. "Foreign currency exchange rate prediction using non-linear Schrödinger equations with economic fundamental parameters," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
    2. Mauricio Contreras G, 2020. "An Application of Dirac's Interaction Picture to Option Pricing," Papers 2010.06747, arXiv.org.
    3. Contreras, M. & Echeverría, J. & Peña, J.P. & Villena, M., 2020. "Resonance phenomena in option pricing with arbitrage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    4. Mauricio Contreras G, 2020. "Endogenous Stochastic Arbitrage Bubbles and the Black--Scholes model," Papers 2009.09329, arXiv.org.
    5. Mauricio Contreras & Rely Pellicer & Daniel Santiagos & Marcelo Villena, 2015. "Calibration and simulation of arbitrage effects in a non-equilibrium quantum Black-Scholes model by using semiclassical methods," Papers 1512.05377, arXiv.org.
    6. Contreras, Mauricio & Pellicer, Rely & Villena, Marcelo & Ruiz, Aaron, 2010. "A quantum model of option pricing: When Black–Scholes meets Schrödinger and its semi-classical limit," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(23), pages 5447-5459.
    7. Contreras G., Mauricio, 2021. "Endogenous stochastic arbitrage bubbles and the Black–Scholes model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 583(C).
    8. Rotundo, Giulia, 2014. "Black–Scholes–Schrödinger–Zipf–Mandelbrot model framework for improving a study of the coauthor core score," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 404(C), pages 296-301.
    9. Mauricio Contreras G. & Roberto Ortiz H, 2021. "Three little arbitrage theorems," Papers 2104.10187, arXiv.org.

  11. Mauricio G. Villena & Marcelo J. Villena, 2005. "La teoría de juegos evolutivos y la economía evolutiva de Thorstein Veblen: ¿es vebleniana la TJE?," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, March.

    Cited by:

    1. Fabio David Nieto, 2016. "Discriminación y diferenciales de salarios en el mercado laboral," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, vol. 18(34), pages 115-134, January-J.

  12. Mauricio G. Villena & Marcelo J. Villena, 2004. "Evolutionary Game Theory and Thorstein Veblen’s Evolutionary Economics: Is EGT Veblenian?," Journal of Economic Issues, Taylor & Francis Journals, vol. 38(3), pages 585-610, September.
    See citations under working paper version above.
  13. Terry Barker & Jonathan Köhler & Marcelo Villena, 2002. "Costs of greenhouse gas abatement: meta-analysis of post-SRES mitigation scenarios," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 5(2), pages 135-166, June.

    Cited by:

    1. Tavoni, Massimo & Tol, Richard S. J., 2009. "Counting Only the Hits? The Risk of Underestimating the Costs of Stringent Climate Policy," Papers WP324, Economic and Social Research Institute (ESRI).
    2. Mathy, Sandrine & Guivarch, Céline, 2010. "Climate policies in a second-best world--A case study on India," Energy Policy, Elsevier, vol. 38(3), pages 1519-1528, March.
    3. Scrieciu, S. Serban, 2007. "The inherent dangers of using computable general equilibrium models as a single integrated modelling framework for sustainability impact assessment. A critical note on Bohringer and Loschel (2006)," Ecological Economics, Elsevier, vol. 60(4), pages 678-684, February.
    4. Dai, Hancheng & Mischke, Peggy & Xie, Xuxuan & Xie, Yang & Masui, Toshihiko, 2016. "Closing the gap? Top-down versus bottom-up projections of China’s regional energy use and CO2 emissions," Applied Energy, Elsevier, vol. 162(C), pages 1355-1373.
    5. Richard S.J. Tol, 2012. "Targets for Global Climate Policy: An Overview," Working Paper Series 3712, Department of Economics, University of Sussex Business School.
    6. Sorrell, Steve, 2007. "Improving the evidence base for energy policy: The role of systematic reviews," Energy Policy, Elsevier, vol. 35(3), pages 1858-1871, March.
    7. Johanna Choumert & Pascale Combes Motel & Charlain Guegang, 2017. "The Biofuel-Development Nexus: A Meta-Analysis," Working Papers 2017.04, FAERE - French Association of Environmental and Resource Economists.
    8. Julie Rozenberg & Céline Guivarch & Robert Lempert & Stéphane Hallegatte, 2012. "Building SSPs for Climate Policy Analysis: A Scenario Elicitation Methodology to Map the Space of Possible Future Challenges to Mitigation and Adaptation," Working Papers 2012.52, Fondazione Eni Enrico Mattei.
    9. Tol, Richard S.J., 2012. "A cost–benefit analysis of the EU 20/20/2020 package," Energy Policy, Elsevier, vol. 49(C), pages 288-295.
    10. Kalirajan, Kaliappa & Singh, Kanhaiya & Thangavelu, Shandre & Venkatachalam, Anbumozhi & Perera, Kumidini, 2011. "Climate Change and Poverty Reduction—Where Does Official Development Assistance Money Go?," ADBI Working Papers 318, Asian Development Bank Institute.
    11. Choumert Nkolo, Johanna & Combes Motel, Pascale & Guegang Djimeli, Charlain, 2018. "Income-generating Effects of Biofuel Policies: A Meta-analysis of the CGE Literature," Ecological Economics, Elsevier, vol. 147(C), pages 230-242.
    12. Kuik, Onno & Brander, Luke & Tol, Richard S.J., 2009. "Marginal abatement costs of greenhouse gas emissions: A meta-analysis," Energy Policy, Elsevier, vol. 37(4), pages 1395-1403, April.
    13. Anger, Niels & Böhringer, Christoph & Löschel, Andreas, 2010. "Paying the piper and calling the tune?: A meta-regression analysis of the double-dividend hypothesis," Ecological Economics, Elsevier, vol. 69(7), pages 1495-1502, May.
    14. Strachan, Neil, 2011. "Business-as-Unusual: Existing policies in energy model baselines," Energy Economics, Elsevier, vol. 33(2), pages 153-160, March.
    15. Terry Barker & Douglas Crawford-Brown, 2013. "Are estimated costs of stringent mitigation biased?," Climatic Change, Springer, vol. 121(2), pages 129-138, November.
    16. Adam Rose & Noah Dormady, 2011. "A Meta-Analysis of the Economic Impacts of Climate Change Policy in the United States," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 143-166.

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  1. Original Institutional Economics and Institutional Thought

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-COM: Industrial Competition (2) 2014-08-25 2015-10-17
  2. NEP-CMP: Computational Economics (1) 2015-10-17
  3. NEP-FMK: Financial Markets (1) 2014-08-25
  4. NEP-GER: German Papers (1) 2016-07-16
  5. NEP-GTH: Game Theory (1) 2020-04-13
  6. NEP-LAW: Law and Economics (1) 2020-04-13
  7. NEP-ORE: Operations Research (1) 2018-04-16

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