Quantitative methods in finance. We work developing methods to estimate and compute parameters and values of interest in financial models. We have focused on beta-pricing models and their time-varying behavior for different countries. Now we are studying multivariate models, to detect time-varying correlations between financial variables are macroeconomic variables. The use of flexible proposals under nonparametric specifications leads us to do this analysis relaxing unrealistic assumptions such as normality and stationarity, or constant correlation structures. Another line of research is the seek for computational tools to improve the estimation of the term structure of interest rates and the calculus of “greeks“ in asset pricing.
Researchers: Eva Ferreira, Miguel A. Martínez-Sedano and Susan Orbe
Recent Papers related to this line of research:
Ayesta, U., M. Erausquin, E. Ferreira, and P. Jacko (2016) “Optimal dynamic resource allocation to prevent defaults”, Operations Research Letters 44 (4), 451-456.Cubas, M., M.A. Martínez-Sedano (2016) “Measures for sustainable investment decision Making - A triple bottom line approach”, Mimeo.De Diego, S., E. Ferreira and E. Nualart (2018) “Importance sampling applied to Greeks for jump-diffusion models with stochastic volatility”, Journal of Computational Finance forthcoming.Díaz-Mendoza, A.C., and M.A. Martínez-Sedano (2009) “The choice of performance-based fees in the mutual fund industry: the case of Spain”, Investment Management and Financial Innovations 6 (3), 7-17.Díaz-Mendoza, A.C., G. López-Espinosa and M.A. Martínez-Sedano (2014) “The Efficiency of Performance-based-fee Funds”, European Financial Management 20 (4), 825–855; DOI:10.1111/j.1468-036X.2012.00654.x.Díaz-Mendoza, A.C. and M.A. Martínez-Sedano (2014) “Estudio sobre las sociedades gestoras de la industria de los fondos de inversión”, Cuadernos de Investigación UCEIF 13. ISBN: 978-84-86116-90-3. http://www.editorialuc.es/libro/estudio-sobre-las-sociedades-gestoras-de-la-industria-de-los-fondos-de-inversionEsteban-González, M.V., E. Ferreira, and S. Orbe-Mandaluniz (2015) “Nonparametric methods for estimating and testing for constant betas in asset pricing models.” Applied Economics 47 (25), 2577-2607.Esteban-González, M.V., and S. Orbe-Mandaluniz (2010) “A nonparametric approach for estimating betas: The smoothed rolling estimator”, Applied Economics 42 (10), 1269-1279.E. Ferreira and W. Stute (2016) “Dynamic Binomials with Application to Gender Bias Analysis. Journal of Applied Probability 53 (1), 82-90.Ferreira-García, E., and W. Stute (2009) “Testing for differences in predictive accuracy”, Pakistan Journal of Statistics 4 (2), 403-417.Ferreira-García, E., J. Gil, and S. Orbe (2011) “Conditional Beta Pricing Models: A nonparametric approach”, Journal of Banking and Finance 35, 3362 -3382.Mariel, P., S. Orbe, and C. Rodríguez (2008) "The Knowledge-Capital Model of FDI: A time-varying coefficients approach," Scottish Journal of Political Economy (revised and re-submitted).Mariel, P., and S. Orbe (2008) "Nonparametric approach to patent citations," (submitted).Martínez, M.A., P. Pardo (2015), “Conditional performance evaluation of the colombian collective portfolios ”, Criterio Libre 13 (22), 53-79.