1 citations · 2 across the 9 of their papers we have counts for
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q-fin.MF2020
No-Arbitrage Symmetries
I. L. Degano, S. E. Ferrando, A. L. Gonzalez
The no-arbitrage property is widely accepted to be a centerpiece of modern financial mathematics and could be considered to be a financial law applicable to a large class of (ideal…
q-fin.PR2020
Pricing Energy Contracts under Regime Switching Time-Changed models
Konrad Gajewski, Sebastian Ferrando, Pablo Olivares
The shortcomings of the popular Black-Scholes-Merton (BSM) model have led to models which could more accurately model the behavior of the underlying assets in energy markets, parti…