2022

• Credit Default Swaps and the mixed-fractional CEV model

  ARANEDA Axel A.

  Year: 2022

• Semiclassical Pricing of Variance Swaps in the CEV Model

  ARANEDA Axel A. VILLENA Marcelo J.

  Chapter of a book

  Mathematical and Statistical Methods for Actuarial Sciences and Finance. MAF 2022., year: 2022, number of pages: 6 s.

2021

• Asset volatility forecasting:The optimal decay parameter in the EWMA model

  ARANEDA Axel Alejandro

  Year: 2021

• Computing the CEV option pricing formula using the semiclassical approximation of path integral

  ARANEDA Axel Alejandro VILLENA Marcelo J.

  Article in Periodical

  Journal of Computational and Applied Mathematics, year: 2021, volume: 388, edition: Article Number 113244, DOI

• Cross-ownership as a structural explanation for rising correlations in crisis times

  ARANEDA Axel A. BERTSCHINGER Nils

  Year: 2021

• European option pricing under generalized fractional Brownian motion

  ARANEDA Axel Alejandro

  Year: 2021

• EWMA covariances and the optimal decay parameter

  ARANEDA BARAHONA Axel Alejandro

  Appeared in Conference without Proceedings

  Year: 2021, type: Appeared in Conference without Proceedings

• Path Integrals and the Pricing of Variance Swaps in the CEV Environment

  ARANEDA Axel A. VILLENA Marcelo J.

  Appeared in Conference without Proceedings

  Year: 2021, type: Appeared in Conference without Proceedings

• The sub-fractional CEV model

  ARANEDA Axel Alejandro NILS Bertschinger

  Article in Periodical

  Physica A: Statistical Mechanics and its Applications, year: 2021, volume: 573, edition: July, DOI

2020

• The fractional and mixed-fractional CEV model

  ARANEDA Axel Alejandro

  Article in Periodical

  Journal of Computational and Applied Mathematics, year: 2020, volume: 363, DOI