Axel Alejandro Araneda Barahona, Ph.D.

2024

• A multifractional option pricing formula

  ARANEDA Axel A.

  Article in Periodical

  FLUCTUATION AND NOISE LETTERS, year: 2024, DOI

• On sectoral market efficiency

  VILLENA Marcelo J. ARANEDA Axel A.

  Article in Periodical

  Finance Research Letters, year: 2024, volume: 61, edition: March, DOI

• Price Modelling under Generalized Fractional Brownian Motion

  ARANEDA Axel Alejandro

  Chapter of a book

  Select Topics of Econophysics, year: 2024, number of pages: 18 s.

• Price modelling under scaled Brownian motion

  ARANEDA BARAHONA Axel A.

  Appeared in Conference without Proceedings

  Year: 2024, type: Appeared in Conference without Proceedings

2023

• Credit Default Swaps and the mixed-fractional CEV model

  ARANEDA BARAHONA Axel A.

  Appeared in Conference without Proceedings

  Year: 2023, type: Appeared in Conference without Proceedings

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.

  Article in Proceedings

  Mathematical and Statistical Methods for Actuarial Sciences and Finance., year: 2022

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: May, DOI

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

  ARANEDA Axel A. BERTSCHINGER Nils

  Year: 2021