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Juan Ignacio Peña Sánchez de Rivera

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Última actualización: 01/02/2012
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Curriculum

Juan Ignacio Peña holds a MS degree in Quantitative Methods from Escuela de Organización Industrial and a Ph.D. in Economics from Universidad Autónoma de Madrid. He has hold research and teaching positions at Universidad Autónoma de Madrid, University of Chicago, Universidad Carlos III de Madrid and China-Europe International Business School (CEIBS).

He has published two books and research papers in the Journal of Banking and Finance, Journal of International Money and Finance, Journal of Business Finance and Accounting, European Journal of Finance y European Financial Management, among others. He is Co-Director of theMoneda y Crédito journal and Associate Editor in the European Journal of Finance and the Revista de Economia Financiera.

Contact

Juan Ignacio Peña Sánchez de Rivera 

Professor of Finance 

Contact 

  • E-mail: ypenya@eco.uc3m.es
  • Phone: (34) 91 624 96 25
  • Fax: (34) 91 624 96 07
  • Office: 6.0.22

Ignacio’s current research interests are the measurement and management of financial risk, financial derivatives pricing and asset allocation strategies

Significant Publications

  • Peña, Juan Ignacio (1986) Mercados Internacionales de Productos Energéticos : Un modelo para el mercado de Rotterdam. Revista Española de Economia, 3, 31-49.
  • Peña, Juan Ignacio (1992) On Meteor Showers in Stock Markets: New York vs Madrid. Investigaciones Economicas, 16, 225-234.
  • Peña, Juan Ignacio and Esther Ruiz (1995) Stock Market Regulations and International Financial Integration: The Case of Spain. The European Journal of Finance,1, 367-382 . (1995).
  • Peña, Juan Ignacio (1995) Daily Seasonalities and Stock Market Reforms in Spain. Applied Financial Economics, 5, 419-423.
  • Peña, Juan Ignacio (1995) A comment on Simon Keane's Reappraisal of Share Price Maximisation. The European Journal of Finance, 1, 18-20.
  • Moreno, Manuel and Juan Ignacio Peña (1996) On the Term Structure of Interbank Interest Rates: Jump-Diffusion Processes and Option Pricing.  in Forecasting Financial Markets: Advances for Exchange Rates, Interest Rates and Asset Management, pp. 160-181. Edited by C. Dunis. John Wiley and Sons.
  • Peña, Juan Ignacio, Dolores Robles and Carlos Ocaña (1997) Preliminary Evidence on Takeover Target Returns in Spain: A Note. Journal of Business Finance and Accounting, 24, 145-153.
  • Peña, Juan Ignacio, Gregorio Serna and Gonzalo Rubio (1999) Why do we smile?. On the determinants of the implied volatility function. Journal of Banking and Finance, 23, 1151-1179.
  • Peña, Juan Ignacio, Gregorio Serna y Gonzalo Rubio (2001) Smiles, Bid-Ask Spreads and Option pricing, European Financial Management, Vol 7, No. 3, 351-374.
  • Estrada, Javier and Juan Ignacio Peña (2002) Empirical Evidence on the Impact of European Insider Trading Regulations. Studies in Economics and Finance Vol. 20, No. 1, 12-34.
  • Rodriguez, Rosa, Fernando Restoy and Juan Ignacio Peña (2002) Can output explain the predictability and volatility of stock returns?. Journal of International Money and Finance , 21, 163-182.
  • Peña, Juan Ignacio and Rosa Rodriguez (2006) “On the Economic Link Between Asset Prices and Real Activity” Journal of Business Finance and Accounting, 34, 889-916.
  • Fernándes, Jose Luiz, Hasman, Augusto and Peña, Juan Ignacio. (2007) “Risk Premium: Insights over the Threshold”. Applied Financial Economics , 18, 1, 41-59
  • Moreno, Manuel, Peña, Juan Ignacio and Serrano, Pedro. (2008) “Pricing Tranched Credit Products with Generalized Multifactor Models”.  in Credit Risk: Models, Derivatives and Management. Chapman and Hall Financial Mathematics Series Vol. 6. pp 485-510. Chapman & Hall / CRC. New York.
  • Fernandes, Jose Luiz, Peña, Juan Ignacio, Tabak , Benjamin M. and Ornelas, Jose Renato Haas,(2009) "Professional Portfolio Managers - A Setting for Momentum Strategies" Revista de Economía Financiera , 17, 54-68.
  • Forte, Santiago, and Peña, Juan Ignacio (2009) “Credit Spreads: an Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS”. Journal of Banking and Finance, 33,  2013–2025.
  • Fernandes, Jose Luiz, Peña, Juan Ignacio and Tabak, Benjamin M., (2010) "Delegated Portfolio Management and Risk Taking Behavior" The European Journal of Finance , 16, 4, 353 – 372.
  • Fernandes, Jose L.B., Peña, Juan Ignacio and Tabak , Benjamin M., (2010) "Behavior Finance and Estimation Risk in Portfolio Optimization" Applied Financial Economics , 20, 719–738
  • Peña, Juan Ignacio (2010) “Estrategias de Inversión: El Club Med y el Euro”. Boletín de Inflación y Analisis Macroeconomico, 185, 85-87.
  • Forte Arcos, Santiago and Peña, Juan Ignacio, (2011) "Debt Refinancing And Credit Risk" The Spanish Review of Financial Economics, 9,1-10.
  • Mayordomo,Sergio, Peña, Juan Ignacio and Juan Romo  (2011) “The Effect of Liquidity on the Price Discovery Process in Credit Derivatives Markets in Times of Financial Distress”. The European Journal of Finance, DOI:10.1080/1351847X.2010.538529.
  • Escribano, Álvaro, Peña, Juan Ignacio and Villaplana , Pablo, (2011) "Modeling Electricity Prices: International Evidence".  Oxford Bulletin of Economics and Statistics, 73,5, 622- 650.
  • Peña, Juan Ignacio (2011) “Las Emisiones Primarias de Energía en el Mercado Español: Valoración de Opciones Teórica y de Mercado”. Estudios de Economía Aplicada, 29-2, 617-626.
  • Peña, Juan Ignacio (2012) “ A Note on Panel Hourly Electricity Prices”. The Journal of Energy Markets, forthcoming