Ignacio Luján Fernández
イグナシオは数学の学士号および修士号、ならびに微分幾何学の博士号を取得しております。マドリードを拠点とする定量アナリストです。
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Articles by Ignacio Luján Fernández
Pricing the correlation skew with normal mean–variance mixture copulas
The author puts forward a pricing methodology for European multi-asset derivatives that consists of a flexible copula-based method that can reproduce the correlation skew and is efficient enough for use with large baskets.