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  • 1. Balbás, Alejandro
    et al.
    Longarela, Iñaki R.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School. Universidad Carlos III de Madrid, Spain.
    Lucia, Julio J.
    How Does Financial Theory Apply to Catastrophe-Linked Derivatives? An Empirical Test of Several Pricing Models1999In: Journal of Risk and Insurance, ISSN 0022-4367, E-ISSN 1539-6975, Vol. 66, no 4, p. 551-581Article in journal (Refereed)
    Abstract [en]

    This paper discusses the PCS Catastrophe Insurance Option Contracts, providing empirical support on the level of correspondence between real quotes and standard financial theory. The highest possible precision is incorporated since the real quotes are perfectly synchronized and the bid-ask spread is always considered. A static setting is assumed and the main topics of arbitrage, hedging, and portfolio choice are involved in the analysis. Three significant conclusions are reached. First, the catastrophe derivatives may often be priced by arbitrage methods, and the paper provides some examples of practical strategies that were available in the market. Second, hedging arguments also yield adequate criteria to price the derivatives, and some real examples are provided as well. Third, in a variance aversion context many agents could be interested in selling derivatives to invest the money in stocks and bonds. These strategies show a suitable level in the variance for any desired expected return. Furthermore, the methodology here applied seems to be quite general and may be useful to price other derivative securities. Simple assumptions on the underlying asset behavior are the only required conditions.

  • 2. Balbás, Alejandro
    et al.
    Longarela, Iñaki R.
    Universidad Carlos III, Madrid, Spain.
    Pardo, Ángel
    Integration and arbitrage in the Spanish financial markets: an empirical approach2000In: Journal of futures markets, ISSN 0270-7314, E-ISSN 1096-9934, Vol. 20, no 4, p. 321-344Article in journal (Refereed)
    Abstract [en]

    Several authors have introduced different ways to measure integra-tion between financial markets. Most of them are derived from thebasic assumptions about asset prices, like the Law of One Price orthe absence of arbitrage opportunities. Two perfectly integrated mar-kets must give identical prices to identical final payoffs, and a vectorof positive discount factors, common to both markets, must exist. Ifthese properties do not hold, the degree to which they are violatedcan be defined and considered as a measure of integration.

  • 3. Bondarenko, Oleg
    et al.
    Longarela, Iñaki R.
    University of Tromsø, Norway.
    A General Framework for the Derivation of Asset Price Bounds: An Application to Stochastic Volatility Option Model2009In: Review of Derivatives Research, ISSN 1380-6645, E-ISSN 1573-7144, Vol. 12, no 2, p. 81-107Article in journal (Refereed)
    Abstract [en]

    We present a generalization of Cochrane and Saá-Requejo’s good-deal bounds which allows to include in a flexible way the implications of a given stochas- tic discount factor model. Furthermore, a useful application to stochastic volatility models of option pricing is provided where closed-form solutions for the bounds are obtained. A calibration exercise demonstrates that our benchmark good-deal pricing results in much tighter bounds. Finally, a discussion of methodological and economic issues is also provided. 

  • 4.
    Longarela, Inaki R.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School. UiT–The Arctic University of Norway, Norway.
    A Characterization of the SSD-Efficient Frontier of Portfolio Weights by Means of a Set of Mixed-Integer Linear Constraints2016In: Management science, ISSN 0025-1909, E-ISSN 1526-5501, Vol. 62, no 12, p. 3549-3554Article in journal (Refereed)
    Abstract [en]

    In this paper, the set of all second-order stochastic dominance (SSD)-efficient portfolios is characterized by using a series of mixed-integer linear constraints. Our derivation employs a combination of the first-order conditions of the utility maximization problem together with a judicious use of binary variables. This result opens the door to the formulation of optimizations whose objective function is free to select a particular portfolio out of the entire SSD-efficient set.

  • 5.
    Longarela, Inaki R.
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School. UiT-The Arctic University of Norway, Norway.
    Mayoral, Silvia
    Quote inefficiency in options markets2015In: Journal of Banking & Finance, ISSN 0378-4266, E-ISSN 1872-6372, Vol. 55, p. 23-36Article in journal (Refereed)
    Abstract [en]

    In an arbitrage-free economy with non-zero bid-ask spreads the existence of payoffs whose price is lower than the price of a dominated payoff cannot be discarded in general. However, when the former price corresponds to trivial portfolios which involve buying or selling one unit of the basis assets, its presence, although not an arbitrage, is a severe market anomaly which we refer to as an inefficient quote. In an empirical study, we report evidence that indicates that in options markets both the frequency and the magnitude of these anomalies are substantial and we document puzzling patterns in their behavior.

  • 6.
    Longarela, Iñaki R.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School. UiT – The Arctic University of Norway, Norway.
    Explaining vertical gender segregation: a research agenda2017In: Work, Employment and Society, ISSN 0950-0170, E-ISSN 1469-8722, Vol. 31, no 5, p. 861-871Article in journal (Refereed)
    Abstract [en]

    This research agenda outlines possible routes to pursue an explanation of vertical gender segregation. The analysis emphasizes the expanding opportunities brought about by a combination of Big Data and public policies, like gender quotas, and uncovers important challenges for which possible solutions are offered. Experimental work is likely to remain very useful in the pursuit of answers to this asymmetric gender presence.

  • 7.
    Longarela, Iñaki R.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School. University of Tromsø, Norway.
    SDF-based estimation of linear factor models with alternative loss functions2013In: International Journal of Financial Markets and Derivatives, ISSN 1756-7130, E-ISSN 1756-7149, Vol. 3, no 2, p. 137-178Article in journal (Refereed)
    Abstract [en]

    Hansen and Jagannathan (1997) introduce a measure of model misspecification which is based on the L2-norm and which has been wildly used in recent years in order to estimate the parameters of linear factor models. Given the observed asymmetry and excess kurtosis of financial returns, this paper introduces two alternative estimation methods which follow the same approach but replace its loss function. The first one is based on the absolute value of the corresponding deviations while the second one uses a gain-loss ratio-based loss function. We show how these two estimation methods can be implemented by means of simple linear programming and Monte Carlo simulations are undertaken to assess the relative performance of all three methods under varying distributional assumptions. Our results show a promising behaviour of the gain-loss ratio-based estimates and they also emphasise the important gains that may be accomplished by using positivity constraints on the model's associated stochastic discount factor.

  • 8.
    Longarela, Iñaki Rodríguez
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    A Simple Linear Programming Approach to Gain, Loss and Aset Pricing2003In: Topics in Theoretical Economics, ISSN 1534-598X, Vol. 2, no 1Article in journal (Refereed)
    Abstract [en]

    Bernardo and Ledoit (2000) develop a very appealing framework to compute pricing bounds based on what they call gain-loss ratio. Their method has many advantages and very interesting properties and so far one important drawback: the complexity of the numerical computation of the pricing bounds. In this note we provide a simple procedure for their computation which only entails solving a linear optimization program.

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