Listar por autor "de la Peña, Joseba Iñaki"
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Towards an immunization perfect model?
de la Peña, Joseba Iñaki; Iturricastillo, Iván; Moreno-Ruiz, Rafael
; Román, Francisco; Trigo-Martínez, Eduardo (Wiley, 2020-08-05)
Immunization is an investment strategy often used by insurance companies. Usually, this strategy takes into account the first- and second-order of Taylor series (Duration and Convexity). However, the model itself has risk ... -
Valuation of real-estate losses via Monte Carlo simulation
Baranano Abasolo, Aitor; de la Peña, Joseba Iñaki; Moreno-Ruiz, Rafael (Taylor and Francis, 2020-05-18)
The valuation of the exposure to real estate market risk has traditionally been difficult due to the lack of appropriate data, returns that do not follow a normal distribution and a lack of adequate methodology. However, ...