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Serna Calvo, Gregorio Manuel

Economía y Dirección de Empresas / Universidad de Alcalá

Publications

Why do we smile? on the determinants of the implied volatility function

  • Peña, I.
  • Rubio, G.
  • Serna, G.

Journal of Banking and Finance (p. 1151-1179) - 1999

Editor: Elsevier

10.1016/s0378-4266(98)00134-4 View at source

  • ISSN/ISBN 0378-4266

Smiles, bid-ask spreads and option pricing

  • Peña, I.
  • Rubio, G.
  • Serna, G.

European Financial Management (p. 351-374) - 2001

10.1111/1468-036x.00160 View at source

  • ISSN/ISBN 1468-036X

Autoregresive conditional volatility, skewness and kurtosis

  • León, Á.
  • Rubio, G.
  • Serna, G.

Quarterly Review of Economics and Finance (p. 599-618) - 2005

10.1016/j.qref.2004.12.020 View at source

  • ISSN/ISBN 1062-9769

Modelos alternativos de valoración de opciones sobre acciones: una aplicación al mercado español

  • Angel León Valle
  • Gregorio Serna Calvo

Cuadernos económicos de ICE (p. 33-50) - 2005

Editor: Secretaría de Estado de Comercio

  • ISSN/ISBN 0210-2633

Analyzing the dynamics of the refining margin: Implications for valuation and hedging

  • Mirantes, A.G.
  • Población, J.
  • Serna, G.

Quantitative Finance (p. 1839-1855) - 2012

10.1080/14697688.2012.708430 View at source

  • ISSN/ISBN 1469-7688

The Stochastic Seasonal Behaviour of Natural Gas Prices

  • Mirantes, A.G.
  • Población, J.
  • Serna, G.

European Financial Management (p. 410-443) - 2012

10.1111/j.1468-036x.2009.00533.x View at source

  • ISSN/ISBN 1354-7798

The stochastic seasonal behavior of energy commodity convenience yields

  • Mirantes, A.G.
  • Población, J.
  • Serna, G.

Energy Economics (p. 155-166) - 2013

10.1016/j.eneco.2013.06.011 View at source

  • ISSN/ISBN 0140-9883

OPtion Pricing Based on A Log-Skew-Normal Mixture

  • Jiménez, J.A.
  • Arunachalam, V.
  • Serna, G.M.

International Journal of Theoretical and Applied Finance - 2015

Editor: World Scientific Publishing Co. Pte Ltd

10.1142/s021902491550051x View at source

  • ISSN/ISBN 0219-0249

Commodity derivative valuation under a factor model with time-varying market prices of risk

  • Mirantes, A.G.
  • Población, J.
  • Serna, G.

Review of Derivatives Research (p. 75-93) - 2015

Editor: Springer Science and Business Media, LLC

10.1007/s11147-014-9104-1 View at source

  • ISSN/ISBN 1573-7144

Is the refining margin stationary?

  • Población, J.
  • Serna, G.

International Review of Economics and Finance (p. 169-186) - 2016

Editor: Elsevier Inc.

10.1016/j.iref.2016.04.011 View at source

  • ISSN/ISBN 1059-0560

This researcher has no books.

Analysing the dynamics of the refining margin: Implications for valuation and hedging

  • Mirantes, A.G.
  • Población, J.
  • Serna, G.

Commodities (p. 95-118) - 2015

Editor: CRC Press

10.1201/b19020 View at source

  • ISSN/ISBN 9781498712323

Estimating the no-negative-equity guarantee in reverse mortgages: International sensitivity analysis

  • de la Fuente, I.
  • Navarro, E.
  • Serna, G.

Contributions to Management Science (p. 223-239) - 2018

Editor: Springer

10.1007/978-3-319-95285-7_13 View at source

  • ISSN/ISBN 2197-716X

Analysing the dynamics of the refining margin: Implications for valuation and hedging

  • Mirantes, A.G.
  • Población, J.
  • Serna, G.

Commodities: Fundamental Theory of Futures, Forwards, and Derivatives Pricing (p. 101-124) - 2022

Editor: CRC Press

10.1201/9781003265399-6 View at source

  • ISSN/ISBN 9781032208176

Estimating regulatory capital requirements for reverse mortgages: An international comparison

  • De La Fuente, I.
  • Navarro, E.
  • Serna, G.

Mathematical and Statistical Methods for Actuarial Sciences and Finance, MAF 2018 (p. 301-304) - 2018

Editor: Springer International Publishing AG

10.1007/978-3-319-89824-7_54 View at source

  • ISSN/ISBN 9783319898230

This researcher has no working papers.

This researcher has no technical reports.

This researcher has no research projects.

This researcher has no supervised thesis.

This researcher has no patents or software licenses.

Last data update: 9/21/23 1:52 PM