Axel Alejandro Araneda Barahona, Ph.D.
Assistant professor, Department of Finance
Total number of publications: 18
2024
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On sectoral market efficiency
Finance Research Letters, year: 2024, volume: 61, edition: March, DOI
2023
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A multifractional option pricing formula
Year: 2023, type: Article in Periodical (without peer review)
2022
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Credit Default Swaps and the mixed-fractional CEV model
Year: 2022, type: Article in Periodical (without peer review)
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Semiclassical Pricing of Variance Swaps in the CEV Model
Mathematical and Statistical Methods for Actuarial Sciences and Finance., year: 2022
2021
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Asset volatility forecasting:The optimal decay parameter in the EWMA model
Year: 2021
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Computing the CEV option pricing formula using the semiclassical approximation of path integral
Journal of Computational and Applied Mathematics, year: 2021, volume: 388, edition: May, DOI
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Cross-ownership as a structural explanation for rising correlations in crisis times
Year: 2021
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European option pricing under generalized fractional Brownian motion
Year: 2021
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EWMA covariances and the optimal decay parameter
Year: 2021, type: Appeared in Conference without Proceedings
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Path Integrals and the Pricing of Variance Swaps in the CEV Environment
Year: 2021, type: Appeared in Conference without Proceedings