10 citations · 11 across the 3 of their papers we have counts for
3 papers
q-fin.RM2012
The role of the Model Validation function to manage and mitigate model risk
Alberto Elices
This paper describes the current taxonomy of model risk, ways for its mitigation and management and the importance of the model validation function in collaboration with other depa…
q-fin.CP2011★ 1 cited
Weighted Monte Carlo: Calibrating the Smile and Preserving Martingale Condition
Alberto Elices, Eduard Giménez
Weighted Monte Carlo prices exotic options calibrating the probabilities of previously generated paths by a regular Monte Carlo to fit a set of option premiums. When only vanilla c…
q-fin.PR2007★ 10 cited
Models with time-dependent parameters using transform methods: application to Heston's model
A. Elices
This paper presents a methodology to introduce time-dependent parameters for a wide family of models preserving their analytic tractability. This family includes hybrid models with…