Výpis publikací

ARANEDA, Axel A. A multifractional option pricing formula. FLUCTUATION AND NOISE LETTERS. SINGAPORE: WORLD SCIENTIFIC PUBL CO PTE LTD, 2024, 11 s. ISSN 0219-4775. Dostupné z: https://dx.doi.org/10.1142/S0219477524500603.

VILLENA, Marcelo J. a Axel A. ARANEDA. On sectoral market efficiency. Finance Research Letters. SAN DIEGO: ACADEMIC PRESS INC ELSEVIER SCIENCE, 2024, roč. 61, March, s. 1-9. ISSN 1544-6123. Dostupné z: https://dx.doi.org/10.1016/j.frl.2023.104949.

ARANEDA, Axel Alejandro. Price Modelling under Generalized Fractional Brownian Motion. Online. In Sinha, Amith. Select Topics of Econophysics. Germany: De Gruyter, 2024, s. 197--214. Dostupné z: https://dx.doi.org/10.1515/9783110987584-013.

ARANEDA BARAHONA, Axel A. Price modelling under scaled Brownian motion. In 2024 Econophysics Colloquium. 2024.

ARANEDA BARAHONA, Axel A. Credit Default Swaps and the mixed-fractional CEV model. In 28th Forecasting Financial Markets Conference. 2023.

ARANEDA, Axel A. Credit Default Swaps and the mixed-fractional CEV model. 2022. Dostupné z: https://dx.doi.org/10.48550/arXiv.2211.07564.

ARANEDA, Axel A. a Marcelo J. VILLENA. Semiclassical Pricing of Variance Swaps in the CEV Model. Online. In Corazza, M., Perna, C., Pizzi, C., Sibillo, M. Mathematical and Statistical Methods for Actuarial Sciences and Finance. 1. vyd. Cham: Springer, 2022, s. 25-30. ISBN 978-3-030-99637-6. Dostupné z: https://dx.doi.org/10.1007/978-3-030-99638-3_5.

ARANEDA, Axel Alejandro. Asset volatility forecasting:The optimal decay parameter in the EWMA model. arXiv:2105.14382, 2021.

ARANEDA, Axel Alejandro a Marcelo J. VILLENA. Computing the CEV option pricing formula using the semiclassical approximation of path integral. Journal of Computational and Applied Mathematics. AMSTERDAM: Elsevier Science, 2021, roč. 388, May, s. 1-20. ISSN 0377-0427. Dostupné z: https://dx.doi.org/10.1016/j.cam.2020.113244.

ARANEDA, Axel A. a Nils BERTSCHINGER. Cross-ownership as a structural explanation for rising correlations in crisis times. arXiv:2112.04824 [q-fin.MF], 2021. Dostupné z: https://dx.doi.org/10.48550/arXiv.2112.04824.

ARANEDA BARAHONA, Axel Alejandro. EWMA covariances and the optimal decay parameter. In Joint Conference Euro Working Group for Commodities and Financial Modelling 63rd Meeting & XVIII International Conference on Finance and Banking FI BA 2021. 2021.

ARANEDA, Axel A. a Marcelo J. VILLENA. Path Integrals and the Pricing of Variance Swaps in the CEV Environment. In Econophysics Colloquium (Satellite of the Conference on Complex Systems). 2021.

ARANEDA, Axel Alejandro a Nils BERTSCHINGER. The sub-fractional CEV model. Physica A: Statistical Mechanics and its Applications. AMSTERDAM (NETHERLANDS): ELSEVIER SCIENCE BV, 2021, roč. 573, July, s. 1-9. ISSN 0378-4371. Dostupné z: https://dx.doi.org/10.1016/j.physa.2021.125974.

ARANEDA, Axel Alejandro. The fractional and mixed-fractional CEV model. Journal of Computational and Applied Mathematics. AMSTERDAM: Elsevier Science, 2020, roč. 363, s. 106-123. ISSN 0377-0427. Dostupné z: https://dx.doi.org/10.1016/j.cam.2019.06.006.

BERTSCHINGER, N a Axel Alejandro ARANEDA. Financial cross-ownership as a structural explanation for rising stock correlations in crisis times. In Vienna Congress on Mathematical Finance. 2019.

NAVARRO, Henry, Lue M. MARCO, Axel Alejandro ARANEDA a Leonardo BENNUN. Spatial distribution of Si in Pinus Insigne (Pinus radiata) Wood using micro XRF by Synchrotron Radiation. JOURNAL OF WOOD CHEMISTRY AND TECHNOLOGY. PHILADELPHIA: TAYLOR & FRANCIS INC, 2019, roč. 39, č. 3, s. 187-198. ISSN 0277-3813. Dostupné z: https://dx.doi.org/10.1080/02773813.2018.1562473.

ARANEDA, Axel Alejandro a Nils BERTSCHINGER. The fractional CEV model: Pricing credit derivatives with memory. In Vienna Congress on Mathematical FInance. 2019.

ARANEDA BARAHONA, Axel Alejandro a Marcelo VILLENA. On the dynamics of games with product differentiation. In 10th Workshop MDEF (Dynamic Models in Economics and Finance). 2018.

VILLENA, MJ a Axel Alejandro ARANEDA. Dynamics and stability in retail competition. MATHEMATICS AND COMPUTERS IN SIMULATION. AMSTERDAM: ELSEVIER SCIENCE BV, 2017, roč. 134, s. 37-53. ISSN 0378-4754. Dostupné z: https://dx.doi.org/10.1016/j.matcom.2016.09.011.

ARANEDA, Axel Alejandro, Leonardo BENNUN a Vilma SANHUEZA. Simplified Calibration for Total Reflection X-Ray Fluorescence. Analytical Letters. 2016, roč. 49, č. 11, s. 1711-1721. ISSN 0003-2719. Dostupné z: https://dx.doi.org/10.1080/00032719.2015.1118486.