Alan de Genaro

Research Field: Finance & Accounting

Articles: 

De Genaro, Alan; AVELLANEDA, MARCO. Does the Lending Rate Impact ETF's Prices? Brazilian Review of Econometrics, v. 38, p. 287, 2019.

De Genaro, Alan; AVELLANEDA, M. Pricing Interest Rate Derivatives Under Monetary Changes. International Journal of Theoretical and Applied Finance, p. 1-28, 2018.

CHAGUE, FERNANDO; DE-LOSSO, RODRIGO; De Genaro, Alan; GIOVANNETTI, BRUNO. Well-connected Short-sellers Pay Lower Loan Fees: A Market-wide Analysis. Journal of Financial Economics, v. 123, p. 646-670, 2017.

VICENTE, L.; CEREZETTI, F.; De Genaro, Alan. Estimating Hedge and Auction Liquidation Costs in Central Counterparties: A Closeout Risk Approach. The Journal of Financial Market Infrastructures, v. 6, p. 1-27, 2017.

De Genaro, Alan. Systematic Multi-period Stress Scenarios with an Application to CCP Risk Management. Journal of Banking & Finance (Print), v. 67, p. 119-134, 2016.

ARISMENDI, J.; De Genaro, Alan. A Monte Carlo Multi-asset Option Pricing Approximation for General Stochastic Processes. Chaos, Solitons and Fractals, v. 88, p. 75-99, 2016.

De Genaro, Alan; SIMONIS, ADILSON. Estimating Doubly Stochastic Poisson Process with Affine Intensities by Kalman Filter. Statistical Papers (1988), v. 14, p. 23-50, 2014.

CHAGUE, FERNANDO; DE-LOSSO, RODRIGO; De Genaro, Alan; GIOVANNETTI, BRUNO. Short-sellers: Informed but Restricted. Journal of International Money and Finance, v. 47, p. 56-70, 2014.

Genaro, Alan de; Mariela Fernández. Geração de Cenários de Estresse para Curva de Juros. Revista Brasileira de Finanças: RBFin, v. 9, p. 413, 2011.

Genaro, Alan de. Apreçamento de Ativos Referenciados em Volatilidade. Revista Brasileira de Finanças (Impresso), v. 4, p. 203-228, 2006.

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