Jacinto Marabel Romo

Personal Details

First Name:	Jacinto
Middle Name:
Last Name:	Marabel Romo
Suffix:
RePEc Short-ID:	pma1576
	[This author has chosen not to make the email address public]

Affiliation

(60%) BBVA (BBVA)

http://www.bbva.com/TLBB/tlbb/jsp/esp/home/index.jsp
Spain, Madrid

(40%) Facultad de Ciencias Económicas, Empresariales y Turismo
Universidad de Alcalá de Henares

Alcalá de Henares, Spain
http://www.uah.es/centros_departamentos/facultades/cceet/
RePEc:edi:fcalces (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

1. Martino Grasselli & Jacinto Marabel Romo, 2016. "Stochastic Skew and Target Volatility Options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(2), pages 174-193, February.

   Cited by:

   1. Wang, Xingchun, 2021. "Pricing volatility-equity options under the modified constant elasticity of variance model," Finance Research Letters, Elsevier, vol. 38(C).
   2. Roberto Daluiso & Emanuele Nastasi & Andrea Pallavicini & Stefano Polo, 2021. "Reinforcement learning for options on target volatility funds," Papers 2112.01841, arXiv.org.
   3. Hongkai Cao & Alexandru Badescu & Zhenyu Cui & Sarath Kumar Jayaraman, 2020. "Valuation of VIX and target volatility options with affine GARCH models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(12), pages 1880-1917, December.
   4. Elisa Alos & Rupak Chatterjee & Sebastian Tudor & Tai-Ho Wang, 2018. "Target volatility option pricing in lognormal fractional SABR model," Papers 1801.08215, arXiv.org.

2. Jacinto Marabel Romo, 2014. "Pricing Forward Skew Dependent Derivatives. Multifactor Versus Single‐Factor Stochastic Volatility Models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(2), pages 124-144, February.

   Cited by:

   1. Lee Kyungsub, 2016. "Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(1), pages 19-36, February.
   2. Choi, Sun-Yong, 2019. "The influence of shock signals on the change in volatility term structure," Economics Letters, Elsevier, vol. 183(C), pages 1-1.
   3. Yanhong Zhong & Guohe Deng, 2019. "Geometric Asian Options Pricing under the Double Heston Stochastic Volatility Model with Stochastic Interest Rate," Complexity, Hindawi, vol. 2019, pages 1-13, January.

3. Jacinto Marabel Romo, 2014. "Investment decisions with financial constraints. Evidence from Spanish firms," Quantitative Finance, Taylor & Francis Journals, vol. 14(6), pages 1079-1095, June.

   Cited by:

   1. Pasquale Marcello Falcone & Edgardo Sica, 2019. "Assessing the Opportunities and Challenges of Green Finance in Italy: An Analysis of the Biomass Production Sector," Sustainability, MDPI, vol. 11(2), pages 1-14, January.
   2. Pinglin He & Jing Ning & Zhongfu Yu & Hao Xiong & Huayu Shen & Hui Jin, 2019. "Can Environmental Tax Policy Really Help to Reduce Pollutant Emissions? An Empirical Study of a Panel ARDL Model Based on OECD Countries and China," Sustainability, MDPI, vol. 11(16), pages 1-32, August.

4. Jacinto Marabel Romo, 2014. "Dynamics of the implied volatility surface. Theory and empirical evidence," Quantitative Finance, Taylor & Francis Journals, vol. 14(10), pages 1829-1837, October.

   Cited by:

   1. Wang, Ximei & Zhao, Yanlong & Bao, Ying, 2019. "Arbitrage-free conditions for implied volatility surface by Delta," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 819-834.
   2. Itkin, Andrey, 2015. "To sigmoid-based functional description of the volatility smile," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 264-291.
      • Andrey Itkin, 2014. "To sigmoid-based functional description of the volatility smile," Papers 1407.0256, arXiv.org, revised Dec 2014.

5. Jacinto Marabel Romo, 2012. "The Quanto Adjustment and the Smile," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(9), pages 877-908, September.

   Cited by:

   1. Julien Hok & Philip Ngare & Antonis Papapantoleon, 2018. "Expansion formulas for European quanto options in a local volatility FX-LIBOR model," Papers 1801.01205, arXiv.org, revised Apr 2018.
   2. Julien Hok & Philip Ngare & Antonis Papapantoleon, 2018. "Expansion Formulas For European Quanto Options In A Local Volatility Fx-Libor Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-43, March.
   3. Long Teng & Matthias Ehrhardt & Michael Günther, 2018. "Quanto Pricing In Stochastic Correlation Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-20, August.
   4. Umut Çetin & Julien Hok, 2024. "Speeding up the Euler scheme for killed diffusions," Finance and Stochastics, Springer, vol. 28(3), pages 663-707, July.
   5. Julien Hok & Sergei Kucherenko, 2021. "Pricing and Risk Analysis in Hyperbolic Local Volatility Model with Quasi Monte Carlo," Papers 2106.08421, arXiv.org.
   6. Cetin, Umut & Hok, Julien, 2024. "Speeding up the Euler scheme for killed diffusions," LSE Research Online Documents on Economics 120789, London School of Economics and Political Science, LSE Library.

6. Jacinto Marabel Romo, 2012. "Volatility Regimes For The Vix Index," Revista de Economia Aplicada, Universidad de Zaragoza, Departamento de Estructura Economica y Economia Publica, vol. 20(2), pages 111-134, Autumn.

   Cited by:

   1. Oscar V. De la Torre-Torres & Francisco Venegas-Martínez & Mᵃ Isabel Martínez-Torre-Enciso, 2021. "Enhancing Portfolio Performance and VIX Futures Trading Timing with Markov-Switching GARCH Models," Mathematics, MDPI, vol. 9(2), pages 1-22, January.
   2. Jyothi Chittineni,, 2017. "Regime switching behavior of Indian VIX and its time dependent correlation with select developed economies," Business and Economic Horizons (BEH), Prague Development Center, vol. 13(5), pages 666-675, December.

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