Publicaciones en colaboración con investigadores/as de Universidad de Alcalá (7)

2023

  1. Actuarial pricing with financial methods

    Scandinavian Actuarial Journal, Vol. 2023, Núm. 5, pp. 450-476

  2. Bidual Representation of Expectiles

    Risks, Vol. 11, Núm. 12

  3. Buy and Hold Golden Strategies in Financial Markets with Frictions and Depth Constraints

    Applied Mathematical Finance

2022

  1. Pareto efficient buy and hold investment strategies under order book linked constraints

    Annals of Operations Research, Vol. 311, Núm. 2, pp. 945-965

  2. Risk transference constraints in optimal reinsurance

    Insurance: Mathematics and Economics, Vol. 103, pp. 27-40

2019

  1. Golden options in financial mathematics

    Mathematics and Financial Economics, Vol. 13, Núm. 4, pp. 637-659

2017

  1. Differential equations connecting VaR and CVaR

    Journal of Computational and Applied Mathematics, Vol. 326, pp. 247-267