Research by

Iñaki R. Longarela

Assistant Professor at the Department of Finance

Publications

• "A Simple Linear Programming Approach to Gain, Loss and Asset Pricing", Topics in Theoretical Economics: Vol. 2: No. 1, Article 4. http://www.bepress.com/bejte/topics/vol2/iss1/art4, 2000.
• "Integration and Arbitrage in the Spanish Financial Markets" (joint with Alejandro Balbás and Angel Pardo), Journal of Future Markets 22, 321-344, 2000.
• "How Does Financial Theory Apply to Catastrophe-Linked Derivatives: An Empirical Test of Several Pricing Models" (joint with Alejandro Balbás and Julio Lucia) Journal of Risk and Insurance 66, 551-582, 1999.

Working Papers

• "Benchmark Good-Deal Bounds: an Application to Stochastic Volatility Models of Option Pricing" (joint with Oleg Bondarenko".
• "An Extension of Good-Deal Asset Price Bounds", SSE/EFI Working Papers Series in Economics and Finance 448, 2001.

   

Work in Progress

• "A Monte Carlo Study of Measures of Misspecification of Asset Pricing Models", with E. Chapham and R. Nilsson.