Manuel Moreno

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Affiliations

• Universidad de Castilla La Mancha / Facultad de Derecho y Ciencias Sociales / Departamento de Analisis Económico y Finanzas (weight: 50%)
  • EDIRC entry
  • location:
• Barcelona School of Economics (BSE) / Universitat Pompeu Fabra / Departament d'Economia i Empresa (weight: 50%)
  • EDIRC entry
  • location:

Research profile

author of:

• Australian Asian Options (RePEc:bge:wpaper:28)
  by Manuel Moreno & Javier F. Navas
• Pricing tranched credit products with generalized multifactor models (RePEc:cte:wbrepe:wb073909)
  by Moreno, M. & Peña, Juan Ignacio & Serrano, P.
• Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects (RePEc:cte:wbrepe:wb084912)
  by Moreno, M. & Serrano, P. & Stute, Winfried
• On the term structure of Interbank interest rates: jump-diffusion processes and option pricing (RePEc:cte:wsrepe:7074)
  by Moreno, Manuel & Peña, Juan Ignacio
• A term structure model under cyclical fluctuations in interest rates (RePEc:eee:ecmode:v:72:y:2018:i:c:p:140-150)
  by Moreno, Manuel & Novales, Alfonso & Platania, Federico
• Statistical properties and economic implications of jump-diffusion processes with shot-noise effects (RePEc:eee:ejores:v:214:y:2011:i:3:p:656-664)
  by Moreno, Manuel & Serrano, Pedro & Stute, Winfried
• Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter? (RePEc:eee:ejores:v:225:y:2013:i:3:p:429-442)
  by Marroquı´n-Martı´nez, Naroa & Moreno, Manuel
• A cyclical square-root model for the term structure of interest rates (RePEc:eee:ejores:v:241:y:2015:i:1:p:109-121)
  by Moreno, Manuel & Platania, Federico
• Long-term swings and seasonality in energy markets (RePEc:eee:ejores:v:279:y:2019:i:3:p:1011-1023)
  by Moreno, Manuel & Novales, Alfonso & Platania, Federico
• Tail risk in energy portfolios (RePEc:eee:eneeco:v:46:y:2014:i:c:p:422-434)
  by González-Pedraz, Carlos & Moreno, Manuel & Peña, Juan Ignacio
• The generalized Vasicek credit risk model: A Machine Learning approach (RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005705)
  by García-Céspedes, Rubén & Moreno, Manuel
• The impact of public attention during the COVID-19 pandemic (RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006943)
  by Platania, Federico & Toscano Hernandez, Celina & Moreno, Manuel & Appio, Francesco
• Estimating the distribution of total default losses on the Spanish financial system (RePEc:eee:jbfina:v:49:y:2014:i:c:p:242-261)
  by García-Céspedes, Rubén & Moreno, Manuel
• One-sided performance measures under Gram-Charlier distributions (RePEc:eee:jbfina:v:74:y:2017:i:c:p:38-50)
  by León, Angel & Moreno, Manuel
• An approximate multi-period Vasicek credit risk model (RePEc:eee:jbfina:v:81:y:2017:i:c:p:105-113)
  by García-Céspedes, Rubén & Moreno, Manuel
• Stochastic string models with continuous semimartingales (RePEc:eee:phsmap:v:433:y:2015:i:c:p:229-246)
  by Bueno-Guerrero, Alberto & Moreno, Manuel & Navas, Javier F.
• The stochastic string model as a unifying theory of the term structure of interest rates (RePEc:eee:phsmap:v:461:y:2016:i:c:p:217-237)
  by Bueno-Guerrero, Alberto & Moreno, Manuel & Navas, Javier F.
• Valuation of caps and swaptions under a stochastic string model (RePEc:eee:phsmap:v:559:y:2020:i:c:s0378437120305744)
  by Bueno-Guerrero, Alberto & Moreno, Manuel & Navas, Javier F.
• On the Empirical Behavior of Stochastic Volatility Models: Do Skewness and Kurtosis Matter? (RePEc:eme:csefzz:s1569-3759(2012)0000094012)
  by Marco M. García-Alonso & Manuel Moreno & Javier F. Navas
• On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives (RePEc:kap:revdev:v:6:y:2003:i:2:p:107-128)
  by Manuel Moreno & Javier Navas
• Unknown item RePEc:kie:kieasw:440 (paper)
• Momentum-dependent power law measured in an interacting quantum wire beyond the Luttinger limit (RePEc:nat:natcom:v:10:y:2019:i:1:d:10.1038_s41467-019-10613-2)
  by Y. Jin & O. Tsyplyatyev & M. Moreno & A. Anthore & W. K. Tan & J. P. Griffiths & I. Farrer & D. A. Ritchie & L. I. Glazman & A. J. Schofield & C. J. B. Ford
• Nonlinear spectra of spinons and holons in short GaAs quantum wires (RePEc:nat:natcom:v:7:y:2016:i:1:d:10.1038_ncomms12784)
  by M Moreno & C. J. B. Ford & Y. Jin & J. P. Griffiths & I. Farrer & G. A. C. Jones & D. A. Ritchie & O. Tsyplyatyev & A. J. Schofield
• Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers (RePEc:ris:qmetal:2015_003)
  by León, Ángel & Moreno, Manuel
• Australian Options (RePEc:sae:ausman:v:33:y:2008:i:1:p:69-93)
  by Manuel Moreno & Javier F. Navas
• Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models (RePEc:spr:annopr:v:337:y:2024:i:1:d:10.1007_s10479-024-05904-x)
  by Belén León-Pérez & Manuel Moreno
• Random LGD adjustments in the Vasicek credit risk model (RePEc:taf:eurjfi:v:26:y:2020:i:18:p:1856-1875)
  by Rubén García-Céspedes & Manuel Moreno
• Portfolio selection with commodities under conditional copulas and skew preferences (RePEc:taf:quantf:v:15:y:2015:i:1:p:151-170)
  by Carlos Gonz�lez-Pedraz & Manuel Moreno & Juan Ignacio Pe�a
• Bond market completeness under stochastic strings with distribution-valued strategies (RePEc:taf:quantf:v:22:y:2022:i:2:p:197-211)
  by Alberto Bueno-Guerrero & Manuel Moreno & Javier F. Navas
• Long-term swings and seasonality in energy markets (RePEc:ucm:doicae:1929)
  by Manuel Moreno & Alfonso Novales & Federico Platania
• A term structure model under cyclical fluctuations in interest rates (RePEc:ucm:doicae:1931)
  by Manuel Moreno & Alfonso Novales & Federico Platania
• On the term structure of Interbank interest rates: Jump-diffusion processes and option pricing (RePEc:upf:upfgen:191)
  by Manuel Moreno & Juan I. Peña
• A two-mean reverting-factor model of the term structure of interest rates (RePEc:upf:upfgen:193)
  by Manuel Moreno
• Risk management under a two-factor model of the term structure of interest rates (RePEc:upf:upfgen:254)
  by Manuel Moreno
• On the relevance of modeling volatility for pricing purposes (RePEc:upf:upfgen:431)
  by Manuel Moreno
• On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives (RePEc:upf:upfgen:543)
  by Manuel Moreno & Javier R. Navas
• Australian Asian options (RePEc:upf:upfgen:680)
  by Manuel Moreno & Javier F. Navas
• A two‐mean reverting‐factor model of the term structure of interest rates (RePEc:wly:jfutmk:v:23:y:2003:i:11:p:1075-1105)
  by Manuel Moreno
• GARCH modeling of robust market returns (RePEc:zbw:ifwasw:440)
  by Cuadro-Sáez, Lucía & Moreno, Manuel