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1

CAPM and APT-like models with risk measures

Alejandro Balbás, Beatriz Balbás, Raquel Balbás

Journal:

Journal of Banking & Finance

Year:

2010

Language:

english

File:

PDF, 265 KB

english, 2010

2

Interest Rate Future Quality Options and Negative Interest Rates

Balbás, Alejandro, Laborda, Ricardo

Journal:

The Journal of Fixed Income

Year:

2018

Language:

english

File:

PDF, 2.14 MB

english, 2018

3

When can you immunize a bond portfolio?

Alejandro Balbás, Alfredo Ibáñez

Journal:

Journal of Banking & Finance

Year:

1998

Language:

english

File:

PDF, 181 KB

english, 1998

4

Deterministic regression model and visual basic code for optimal forecasting of financial time series

Alejandro Balbás, Beatriz Balbás, Inna Galperin, Efim Galperin

Journal:

Computers & Mathematics with Applications

Year:

2008

Language:

english

File:

PDF, 1.08 MB

english, 2008

5

Dispersion measures as immunization risk measures

Alejandro Balbás, Alfredo Ibáñez, Susana López

Journal:

Journal of Banking & Finance

Year:

2002

Language:

english

File:

PDF, 133 KB

english, 2002

6

Golden options in financial mathematics

Balbás, Alejandro, Balbás, Beatriz, Balbás, Raquel

Journal:

Mathematics and Financial Economics

Year:

2019

Language:

english

File:

PDF, 430 KB

english, 2019

7

Omega ratio optimization with actuarial and financial applications

BalbÃ¡s, Alejandro, BalbÃ¡s, Beatriz, BalbÃ¡s, Raquel

Journal:

European Journal of Operational Research

Year:

2020

File:

PDF, 1.03 MB

2020

8

Constructing dynamic life tables with a single-factor model

Atance, David, BalbÃ¡s, Alejandro, Navarro, Eliseo

Journal:

Decisions in Economics and Finance

Year:

2020

File:

PDF, 3.53 MB

2020

9

Portfolio choice and optimal hedging with general risk functions: A simplex-like algorithm

Alejandro Balbás, Raquel Balbás, Silvia Mayoral

Journal:

European Journal of Operational Research

Year:

2009

Language:

english

File:

PDF, 285 KB

english, 2009

10

Projective system approach to the martingale characterization of the absence of arbitrage

Alejandro Balbás, Miguel Ángel Mirás, Marı́a José Muñoz-Bouzo

Journal:

Journal of Mathematical Economics

Year:

2002

Language:

english

File:

PDF, 118 KB

english, 2002

11

How Financial Theory Applies to Catastrophe-Linked Derivatives. An Empirical Test of Several Pricing Models

Alejandro Balbás, Inaki R. Longarela and Julio J. Lucia

Journal:

Journal of Risk and Insurance

Year:

1999

Language:

english

File:

PDF, 4.15 MB

english, 1999

12

Good deals in markets with friction

BALBÁS, ALEJANDRO, BALBÁS, BEATRIZ, BALBÁS, RAQUEL

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 306 KB

english, 2013

13

Good deals and benchmarks in robust portfolio selection

Balbás, Alejandro, Balbás, Beatriz, Balbás, Raquel

Journal:

European Journal of Operational Research

Year:

2016

Language:

english

File:

PDF, 515 KB

english, 2016

14

Stable solutions for optimal reinsurance problems involving risk measures

Alejandro Balbás, Beatriz Balbás, Antonio Heras

Journal:

European Journal of Operational Research

Year:

2011

Language:

english

File:

PDF, 295 KB

english, 2011

15

Optimal reinsurance with general risk measures

Alejandro Balbás, Beatriz Balbás, Antonio Heras

Journal:

Insurance: Mathematics and Economics

Year:

2009

Language:

english

File:

PDF, 1.81 MB

english, 2009

16

Risk-neutral valuation with infinitely many trading dates

Alejandro Balbás, Raquel Balbás, Silvia Mayoral

Journal:

Mathematical and Computer Modelling

Year:

2007

Language:

english

File:

PDF, 261 KB

english, 2007

17

Stochastic measures of arbitrage

Alejandro Balbás, María José Muñoz-Bouzo

Journal:

Year:

2002

Language:

english

File:

PDF, 1.42 MB

english, 2002

18

Preface Recent advances in actuarial and financial mathematics

Alejandro Balbás, José Garrido, Pedro Jiménez-Guerra

Journal:

Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas

Year:

2009

Language:

english

File:

PDF, 46 KB

english, 2009

19

Martingales and arbitrage: a new look

Alejandro Balbás, Pedro Jiménez-Guerra

Journal:

Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas

Year:

2009

Language:

english

File:

PDF, 186 KB

english, 2009

20

Compatibility between pricing rules and risk measures: The CCVaR

Alejandro Balbás, Raquel Balbás

Journal:

Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas

Year:

2009

Language:

english

File:

PDF, 207 KB

english, 2009

21

Infinitely Many Securities and the Fundamental Theorem of Asset Pricing

Alejandro Balbás, Anna Downarowicz

Journal:

Mediterranean Journal of Mathematics

Year:

2007

Language:

english

File:

PDF, 261 KB

english, 2007

22

Properties of Distortion Risk Measures

Alejandro Balbás, José Garrido, Silvia Mayoral

Journal:

Methodology and Computing in Applied Probability

Year:

2009

Language:

english

File:

PDF, 423 KB

english, 2009

23

Good Deals and compatible modification of risk and pricing rule: a regulatory treatment

Hirbod Assa, Alejandro Balbás

Journal:

Mathematics and Financial Economics

Year:

2011

Language:

english

File:

PDF, 231 KB

english, 2011

24

Minimax strategies and duality with applications in financial mathematics

Alejandro Balbás, Raquel Balbás

Journal:

Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas

Year:

2011

Language:

english

File:

PDF, 215 KB

english, 2011

25

Duality theory for infinite-dimensional multiobjective linear programming

Alejandro Balbas, Antonio Heras

Journal:

European Journal of Operational Research

Year:

1993

Language:

english

File:

PDF, 540 KB

english, 1993

26

Minimizing measures of risk by saddle point conditions

Alejandro Balbás, Beatriz Balbás, Raquel Balbás

Journal:

Journal of Computational and Applied Mathematics

Year:

2010

Language:

english

File:

PDF, 324 KB

english, 2010

27

Extending pricing rules with general risk functions

Alejandro Balbás, Raquel Balbás, José Garrido

Journal:

European Journal of Operational Research

Year:

2010

Language:

english

File:

PDF, 327 KB

english, 2010

28

Vector Risk Functions

Alejandro Balbás, Raquel Balbás, Pedro Jiménez-Guerra

Journal:

Mediterranean Journal of Mathematics

Year:

2012

Language:

english

File:

PDF, 288 KB

english, 2012

29

On the future contract quality option: a new look

Balbás, Alejandro, Reichardt, Susana

Journal:

Applied Financial Economics

Year:

2010

Language:

english

File:

PDF, 338 KB

english, 2010

30

Optimal reinsurance under risk and uncertainty

Balbás, Alejandro, Balbás, Beatriz, Balbás, Raquel, Heras, Antonio

Journal:

Insurance: Mathematics and Economics

Year:

2015

Language:

english

File:

PDF, 522 KB

english, 2015

31

Vector Optimization Approach For Pricing And Hedging In Imperfect Markets

Balbás, Alejandro, Mayoral, Silvia

Journal:

INFOR Information Systems and Operational Research

Year:

2004

Language:

english

File:

PDF, 3.31 MB

english, 2004

32

VaR as the CVaR sensitivity: Applications in risk optimization

Balbás, Alejandro, Balbás, Beatriz, Balbás, Raquel

Journal:

Journal of Computational and Applied Mathematics

Year:

2016

Language:

english

File:

PDF, 333 KB

english, 2016

33

Differential equations connecting VaR and CVaR

Balbás, Alejandro, Balbás, Beatriz, Balbás, Raquel

Journal:

Journal of Computational and Applied Mathematics

Year:

2017

Language:

english

File:

PDF, 412 KB

english, 2017

34

Good deal indices in asset pricing: actuarial and financial implications

Balbás, Alejandro, Garrido, José, Okhrati, Ramin

Journal:

International Transactions in Operational Research

Year:

2017

Language:

english

File:

PDF, 320 KB

english, 2017

35

Optimal Reinsurance: A Risk Sharing Approach

Balbas, Alejandro, Balbas, Beatriz, Balbas, Raquel

Journal:

Year:

2013

Language:

english

File:

PDF, 205 KB

english, 2013

36

Special Issue on Risk Management Techniques for Catastrophic and Heavy-Tailed Risks

Balbás, Alejandro, Garrido, José

Journal:

Year:

2014

Language:

english

File:

PDF, 75 KB

english, 2014

37

Measuring Risk When Expected Losses Are Unbounded

Balbás, Alejandro, Blanco, Iván, Garrido, José

Journal:

Year:

2014

Language:

english

File:

PDF, 305 KB

english, 2014

38

Financial Innovation and Arbitrage in the Spanish Bond Market

Balbás, Alejandro, López, Susana

Journal:

SSRN Electronic Journal

Year:

2001

Language:

english

File:

PDF, 313 KB

english, 2001

39

V@R representation theorems in ambiguous frameworks

Balbás, Alejandro, Charron, Jean-Philippe

Journal:

Applied Stochastic Models in Business and Industry

Year:

2019

File:

PDF, 410 KB

2019

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