Publications (26) Publications de Gregorio Manuel Serna Calvo

2024

  1. Selling options to beat the market: Further empirical evidence

    Research in International Business and Finance, Vol. 67

  2. Time-varying expected returns, conditional skewness and Bitcoin return predictability

    Quarterly Review of Economics and Finance, Vol. 96

2023

  1. On the predictive ability of conditional market skewness

    Quarterly Review of Economics and Finance, Vol. 91, pp. 186-191

  2. Proposal for calculating regulatory capital requirements for reverse mortgages

    Socio-Economic Planning Sciences, Vol. 88

2022

  1. A proposal to calculate the regulatory capital requirements for reverse mortgages

    Mathematical and Statistical Methods for Actuarial Sciences and Finance: MAF 2022 (Springer International Publishing), pp. 181-187

  2. Analysing the dynamics of the refining margin: Implications for valuation and hedging

    Commodities: Fundamental Theory of Futures, Forwards, and Derivatives Pricing (CRC Press), pp. 101-124

2021

  1. Estimating regulatory capital requirements for reverse mortgages. An international comparison

    International Review of Economics and Finance, Vol. 74, pp. 239-252

  2. Measuring bulk shipping prices risk

    Maritime Economics and Logistics, Vol. 23, Núm. 2, pp. 291-309

  3. On the predictive ability of conditional market skewness

    Documentos de Trabajo (IAES, Instituto Universitario de Análisis Económico y Social)

2020

  1. Hedging voyage charter rates on illiquid routes

    International Journal of Shipping and Transport Logistics, Vol. 12, Núm. 3, pp. 197-211

  2. Reverse mortgage risks. Time evolution of VAR in lump-sum solutions

    Mathematics, Vol. 8, Núm. 11, pp. 1-17

2019

  1. Una alternativa per al finançament de les necessitats de les persones grans: la hipoteca inversa

    Anuari de l'envelliment: Illes Balears, Año 2019, pp. 71-84

2018

  1. A common long-term trend for bulk shipping prices

    Maritime Economics and Logistics, Vol. 20, Núm. 3, pp. 421-432

  2. Estimating regulatory capital requirements for reverse mortgages: An international comparison

    Mathematical and Statistical Methods for Actuarial Sciences and Finance, MAF 2018

  3. Estimating the no-negative-equity guarantee in reverse mortgages: International sensitivity analysis

    Contributions to Management Science (Springer), pp. 223-239

2016

  1. Is the refining margin stationary?

    International Review of Economics and Finance, Vol. 44, pp. 169-186

2015

  1. Analysing the dynamics of the refining margin: Implications for valuation and hedging

    Commodities (CRC Press), pp. 95-118

  2. Commodity derivative valuation under a factor model with time-varying market prices of risk

    Review of Derivatives Research, Vol. 18, Núm. 1, pp. 75-93

  3. OPtion Pricing Based on A Log-Skew-Normal Mixture

    International Journal of Theoretical and Applied Finance, Vol. 18, Núm. 8

2013

  1. The stochastic seasonal behavior of energy commodity convenience yields

    Energy Economics, Vol. 40, pp. 155-166