Lorenzo Naranjo

Washington University in St. Louis — United States

Economics, Econometrics and Finance · Social Sciences

7h-index247citations16works0.02yr avg
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Research Topics

Stochastic processes and financial applications(8), Capital Investment and Risk Analysis(8), Market Dynamics and Volatility(7), Monetary Policy and Economic Impact(6), Financial Markets and Investment Strategies(3)

Publications16 total

Institutional Ownership and the Resolution of Financial Distress
SSRN Electronic Journal·2024Open Access
The Role of Institutional Investors in Financial Distress Resolution
SSRN Electronic Journal·2022· 2 citedOpen Access
Optimal decision policy for real options under general Markovian dynamics
European Journal of Operational Research·2020· 6 cited
A multifactor stochastic volatility model of commodity prices
Energy Economics·2017· 25 cited
A Multifactor Stochastic Volatility Model of Commodity Prices
SSRN Electronic Journal·2016· 7 citedOpen Access
Term-Structure Estimation in Markets with Infrequent Trading
2013· 2 cited
Credit Risk Determinants of Insurance Companies
SSRN Electronic Journal·2013· 4 citedOpen Access
The Dynamics of Trading in Commodity Futures
SSRN Electronic Journal·2013Open Access
A Parallel Algorithm for Pricing American Options
SSRN Electronic Journal·2013· 3 citedOpen Access
Dislocations in World Index Futures
SSRN Electronic Journal·2013Open Access
Implied Interest Rates in a Market with Frictions
SSRN Electronic Journal·2009· 17 citedOpen Access
Term‐structure estimation in markets with infrequent trading
International Journal of Finance & Economics·2007· 32 citedOpen Access
An<i>N</i>‐factor Gaussian model of oil futures prices
Journal of Futures Markets·2006· 122 citedOpen Access
An N-Factor Gaussian Model of Oil Futures Prices
SSRN Electronic Journal·2005· 12 citedOpen Access
Term Structure Estimation in Low-Frequency Transaction Markets: A Kalman Filter Approach with Incomplete Panel-Data
SSRN Electronic Journal·2004· 10 citedOpen Access
Multi-factor Stochastic Model and Estimation Procedure for the Valuation and Hedging of Commodity Contingent Claims
SSRN Electronic Journal·2003· 5 citedOpen Access

Frequent Co-authors

Gonzalo Cortázar(11), Eduardo S. Schwartz(3), Matias Lopez(2), Timothy S. Fisher(2), Jocelyn Martel(2), Felipe Sáinz(1), Liliana González(1), Leonardo Medina(1), Aditya Kaul(1), Carmen Stefanescu(1), Enrique Sepúlveda(1), Carmen Stéfanescu(1)