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Beyond the carry trade : optimal currency portfolios
Barroso, Pedro; Santa-Clara, Pedro - In: Journal of financial and quantitative analysis : JFQA 50 (2015) 5, pp. 1037-1056
Persistent link: https://www.econbiz.de/10011431137
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Optimal option portfolio strategies : deepening the puzzle of index option mispricing
Faias, José Afonso; Santa-Clara, Pedro - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 1, pp. 277-303
Persistent link: https://www.econbiz.de/10011667735
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The dynamics of the forward interest rate curve : a formulation with state variables
Jong, Frank de; Santa-Clara, Pedro - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 1, pp. 131-157
Persistent link: https://www.econbiz.de/10001436356