Now showing items 1-6 of 6

    • A Bayesian Approach to Macroeconomic Scenario Generation 

      Suárez-Lledó Grande, José; Bocchio, Cecilia; García Ares, Pedro
      A number of central banks have come to rely on Dynamic Stochastic General Equilibrium (DGSE) models to inform their economic outlook and to help formulate their policy strategies. Some central banks that have developed ...
    • A Quantum Mechanics Approach to Pricing Binary Options: an Application to the S&P 500 

      Suárez-Lledó Grande, José; Sánchez-Reyes Febrián, Adrián
      In this paper we analyze two relevant dimensions of the properties of binary options. First, we provide new insights into the risk-reward profile of these options and an application to portfolio management. Using an algorithm ...
    • Analytical Solutions to Multi-period Credit Portfolio Management A Macroeconomic Approach 

      Suárez-Lledó Grande, José; Licari, Juan; Ordóñez, Gustavo (03/08/2015)
      In this paper we develop a quantitative framework that allows us to calculate portfolio credit risk metrics analytically under multi-period and multi-credit-state environments. Of particular interest is the calculation of ...
    • Illiquid Financial Markets and Monetary Policy 

      Suárez-Lledó Grande, José; Geromichalos, Athanasios; Licari, Juan
      This paper analyzes the role of money in asset markets characterized by search frictions. We develop a dynamic framework that brings together a model for illiquid financial assets `a la Duffie, G arleanu, and Pedersen, ...
    • Macroeconomía Internacional 

      Aracil Fernández, Elisa María; Aza Custodio, Claudia; González González, Emilio José; Suárez-Lledó Grande, José (26/11/2018)
    • Macroeconomía Internacional 

      Aracil Fernández, Elisa María; Baanante Gismero, Almudena; Colino Fernández, Alberto; Dans Rodríguez, Noemi; González González, Emilio José; Suárez-Lledó Grande, José (22/01/2018)