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Number of items: **10**.

Broda, Simon A. and Arismendi Zambrano, Juan
(2021)
*On quadratic forms in multivariate generalized hyperbolic random vectors.*
Biometrika, 108 (2).
pp. 413-424.
ISSN 1464-3510

Arismendi Zambrano, Juan and Kimura, Herbert
(2016)
*Monte Carlo Approximate Tensor Moment Simulations.*
Numerical Linear Algebra with Applications, 23 (5).
pp. 825-847.
ISSN 1099-1506

Arismendi Zambrano, Juan and De Genaro, Alan
(2016)
*A Monte Carlo Multi-Asset Option Pricing Approximation for General Stochastic Processes.*
Chaos, Solitons & Fractals, 88.
pp. 75-99.
ISSN 0960-0779

Arismendi Zambrano, Juan and Back, Janis and Prokopczuk, Marcel and Paschke, Raphael and Rudolf, Markus
(2016)
*Seasonal Stochastic Volatility: Implications for the pricing of commodity options.*
Journal of Banking and Finance, 66.
pp. 53-65.
ISSN 0378-4266

Tsukahara, Fábio Yasuhiro and Kimura, Herbert and Sobreiro, Vinicius Amorim and Arismendi Zambrano, Juan
(2016)
*Validation of default probability models: A stress testing approach.*
International Review of Financial Analysis, 47.
pp. 70-85.
ISSN 1057-5219

Sobreiro, Vinicius Amorim and da Costa, Thiago Raymon Cruz Cacique and Nazário, Rodolfo Toríbio Farias and Lima e Silva, Jéssica and Filho, Marcius Correia Lima and Kimura, Herbert and Arismendi Zambrano, Juan
(2016)
*The profitability of moving average trading rules in BRICS and emerging stock markets.*
North American Journal of Economics and Finance, 38.
pp. 86-101.
ISSN 1062-9408

Arismendi Zambrano, Juan and Prokopczuk, Marcel
(2014)
*A moment-based analytic approximation of the risk-neutral density of American options.*
Applied Mathematical Finance, 23 (6).
pp. 409-444.
ISSN 1350-486X

Arismendi Zambrano, Juan
(2013)
*Multivariate truncated moments.*
Journal of Multivariate Analysis, 117.
pp. 41-75.
ISSN 0047-259X

Arismendi Zambrano, Juan
(2019)
*Higher-Order Tail Moments in Asset-Pricing Theory.*
In:
Handbook of Global Financial Markets.
World Scientific, Singapore, pp. 689-741.
(Unpublished)

Arismendi Zambrano, Juan and Broda, Simon A.
(2016)
*Multivariate Elliptical Truncated Moments.*
Working Paper.
SSRN.