JAVIER F. NAVAS

Ph.D. Purdue University

 

  Working Papers

Selected Publications

Education

Academic Employment

Awards/Honors

Grants/Fellowships

Funded Research Projects

Teaching

Academic Activities

 Others

 

 

 

 

Descripción: Descripción: Descripción: Descripción: Descripción: Descripción: Descripción: Descripción: Descripción: Descripción: Descripción: Descripción: Descripción: JFN_image004

 

 

Associate Professor of Finance

Department of Financial Economics and Accounting

Universidad Pablo de Olavide

Ctra. de Utrera, km. 1

Sevilla 41013, SPAIN

Phone: +34 954348551

E-mail: jnavas@upo.es


 

WORKING PAPERS

Bueno-Guerrero, Alberto, Manuel Moreno, and Javier F. Navas, Malliavin Calculus for Stochastic Strings with Applications To Barrier Options and Optimal Portfolios, 2017.

Bueno-Guerrero, Alberto, Manuel Moreno, and Javier F. Navas, Immunization of Bond Portfolios: A New General Framework, 2015.

Bueno-Guerrero, Alberto, Manuel Moreno, and Javier F. Navas, Bond Market Completeness under Stochastic Strings with Distribution-Valued Strategies, 2015.

Bueno-Guerrero, Alberto, Manuel Moreno, and Javier F. Navas, Valuation of Caps and Swaptions under a Stochastic String Model, 2015.

Navas, Javier F., Secured debt, agency problems, and the classic model of the firm, 2017.

Abínzano, Isabel y Javier F. Navas, Pricing covered warrants using observables: An application to the case of the Taiwanese market, 2015.

 

Up


 

SELECTED PUBLICATIONS

Bueno-Guerrero, Alberto, Manuel Moreno, and Javier F. Navas (2016), The Stochastic String Model as a Unifying Theory of the Term Structure of Interest Rates, Physica A: Statistical Mechanics and its Applications, 461, 217–237, DOI: 10.1016/j.physa.2016.05.044.

Bueno-Guerrero, Alberto, Manuel Moreno, and Javier F. Navas (2015), Stochastic String Models with Continuous Semimartingales, Physica A: Statistical Mechanics and its Applications, 433, 229–246, DOI: 10.1016/j.physa.2015.03.070.

Abínzano, Isabel and Javier F. Navas (2013), Pricing levered warrants with dilution using observable variables, Quantitative Finance, 13, 8, 1199-1209, DOI: 10.1080/14697688.2013.771280.

Moreno, M., and J. F. Navas (2013), Hedging Strategies with Variable Purchase Options, in Wehn, C.S., Hoppe, C., Gregoriou, G.N. (Eds.), Rethinking Valuation and Pricing Models: Lessons Learned from the Crisis and Future Challenges, Academic Press, Elsevier Inc., pp. 429–442. ISBN: 978-0-12-415875-7.DOI: 10.1016/B978-0-12-415875-7.00026-9.

García-Alonso, M.M., M. Moreno, and J. F. Navas (2012), On the Empirical Behavior of Stochastic Volatility Models: Do Skewness and Kurtosis Matter?, in Jonathan A. Batten, Niklas Wagner (Ed.), Derivative Securities Pricing and Modelling (Contemporary Studies in Economic and Financial Analysis, Volume 94), Emerald Group Publishing Limited, pp.227-257. ISBN: 978-1-78052-616-4. ISSN: 1569-3759. DOI:10.1108/S1569-3759(2012)0000094012.

Moreno, M., J. F. Navas, and F. Todeschini (2009), Land Valuation using a Real Option Approach, Revista de la Real Academia de las Ciencias, Serie A, Matemáticas (RACSAM), 103, 2, 405-420. DOI: 10.1007/BF03191915.

Abínzano, I. and Javier F. Navas (2009), Valoración de los Recursos Propios de una Empresa Financiada con dos Deudas Mediante Opciones Extensibles, Cuadernos Aragoneses de Economía, 2ª Época, 19, 1, 29-42.

Moreno, M., J. F. Navas, and F. Todeschini (2009), Deciding What and When to Seed: Mean Reverting Process and Real Options, in New Frontiers in Financial and Actuarial Risk Management, Mc Graw-Hill, Milano (Italy), 18, 243-252. ISBN: 978-88-386-6061-0.

Navas, Javier F. (2009), Valuing the Option to Purchase an Asset at a proportional Discount: A Correction, The Quarterly Review of Economics and Finance, 49, 2, 720-724. DOI: 10.1016/j.qref.2007.10.002.

Abínzano, I. and Javier F. Navas (2009), Reestructurarse o morir, Universia Business Review, 21, 14-35.

Moreno, M. and J.F. Navas (2008), Australian Options, Australian Journal of Management, 33, 1, 69-93. DOI: 10.1177/031289620803300105.

Abínzano, I. and Javier F. Navas (2008), Valoración de los Recursos Propios de una Empresa Mediante Opciones Extensibles, Revista de Economía Financiera, 15, 22-48.

Navas, Javier F. (2007), Voluntary Liquidations, Revista Europea de Dirección y Economía de la Empresa, 16, 2, 53-60.

Navas, Javier F. (2005), Yield Curve Fitting with Term Structure Models: Empirical Evidence from the Euro Market, Revista de Economía Aplicada, 13, 39, 87-114.

Navas, Javier F.(2005), Pricing LYONs under Stochastic Interest Rates, Revista de Economía Financiera, 7, 12-24. 

Navas, Javier F. (2003), Calculation of Volatility in a Jump-Diffusion Model, The Journal of Derivatives, 11, 2, 66-72. DOI: 10.3905/jod.2003.319217.

Moreno, M. and J.F. Navas (2003), On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives, The Review of Derivatives Research, 6, 2, 107-128. DOI: 10.1023/A:1027340210935.

Leber, M., J.A. Soler and J.F. Navas (2001), Valoración de Bonos en el Mercado de Deuda del Estado con Modelos Estáticos y Dinámicos de la ETTI, Revista Española de Financiación y Contabilidad, XXX, 110, 1167-1199.

Navas, Javier F. (1999), Consistent versus Non-Consistent Term Structure Models: Some Evidence from the Spanish Market, The Journal of Fixed Income, 9, 3, 42-60. DOI: 10.3905/jfi.1999.319219.

 

Up


 

EDUCATION

Ph.D., Purdue University, 1994.

M.B.A., IE Business School, Madrid, Spain, 1988.

M.S. Industrial Engineering, Escuela Superior Ingenieros Industriales (School of Engineering), Seville, Spain, 1987.

B.S. Industrial Engineering, Escuela Superior Ingenieros Industriales (School of Engineering), Seville, Spain, 1985.

 

Up


 

ACADEMIC EMPLOYMENT

Associate Professor of Finance, Universidad Pablo de Olavide, 1999-present.

Visiting Professor of Finance, Universidad Carlos III, 2011-present.

Academic Director, Master in Finance and Accounting, Universidad Pablo de Olavide, 2010-2012.

Academic Director, Master in Business Administration, Universidad Pablo de Olavide, 2009-2010.

Professor of Finance, IE Business School, 1994-2005.

Research Assistant, Credit Research Center, Purdue University, 1993-1994.

Research Assistant, Purdue University, 1990-1992.

Teaching Assistant, Purdue University, 1991.

Teaching Assistant, IE Business School, 1988-1990.

 

Up


 

AWARDS/HONORS

 

Research awards

Positive evaluation of three six-year research periods by the CNEAI (Spanish Ministry of Education): 1998-2003, 2004-2009, and 2011-16.

Best Paper (with I. Abinzano) on Derivatives, BME Award, 12th Annual Meeting of the Spanish Finance Association, 2004, Barcelona, Spain.

Best Paper (with M. Moreno) on Capital Markets, Barclays Global Investor Australia Research Award, 16th Annual Australian Finance and Banking Conference, 2003, Sydney, Australia.

Phi Kappa Phi Academic Honorary, 1994 (GPA 6.0/6.0).

Finalist of the Financial Management Award to the Best PhD Thesis, 1994.

Krannert Thesis Grant, Purdue University, 1992-1993.

IE Business School Special Grant, 1990-1994.

MBA with distinction, IE Business School, 1988 (GPA A-).

Class ranking #1, Escuela Superior de Ingenieros Industriales, 1987 (GPA 7.5/10).

 

Teaching awards

Top 3 Best Professor of the Year. Master in Finance, Carlos III University, 2011-12, 2013-14, 2014-15.

Mention of Teaching Excellence for the 5-year period 2005-10, Universidad Pablo de Olavide.

Up


 

GRANTS/FELLOWSHIPS

Research Grant. Área de Relaciones Internacionales y Cooperación. Universidad Pablo de Olavide, 2010-2011.

Research Grant. Consejería de Innovación, Ciencia y Empresa. Junta de Andalucía (Spain), 2009.

Research Grant. III Plan Propio de Investigación. Universidad Pablo de Olavide. Centros de Investigación, 2009.

IE Business School PhD Grant, 1990-1994.

Krannert Doctoral Thesis Grant. Purdue University, 1992-1993.

Beca de Colaboración. Ministerio de Educación y Ciencia. Spanish Ministry of Education and Science, 1985-1986, 1986-1987.

 

Up


 

FUNDED RESEARCH PROJECTS

"Derivatives, risk premia, and investment decisions". Director of the project. Funded by the Andalusian Regional Government, Code P12-SEJ-1733. 2014-2018.

"Derivatives valuation and risk management in financial and energy markets". Member of the project. Funded by the Castilla-La Mancha Regional Government. Code JCCM PPII-2014-030-P. 2014-2017.

"Capital Structure, Stock Returns, Corporate Bond Returns, and Credit Default Derivatives: Interactions and Implications for Financial and Industrial Companies". Member of the project. Funded by the Spanish Ministry of Science and Technology, Code ECO2012-34268. 2013-2015.

"Valoración de productos financieros complejos". Director of the project. Funded by the Andalusian Regional Government, Code P08-SEJ-03917. 2009-2013.

"Medición y control de riesgos en entidades financieras en el marco del Acuerdo de Basilea II". Member of the project. Funded by the Andalusian Regional Government, Code P09-SEJ-4467. 2010-2012.

"Valoración de riesgos financieros". Member of the project. Funded by the Spanish Ministry of Science and Technology, Code ECO2008-03058. 2009-2011.

"El riesgo operacional en el Nuevo Acuerdo de Basilea: Implicaciones para las entidades financieras andaluzas". Member of the project. Funded by the Andalusian Regional Government, Code P06-SEJ-01537. 2007-2009.

 

Up


 

ACADEMIC ACTIVITIES

 

Presented papers at

Spanish Finance Association Meeting: 1994, 1995, 1996-98, 2001-04, 2006, 2008-09, 2011-15.

EBES Conference: 2015.

Iberian-Italian Congress of Financial and Actuarial Mathematics: 2004, 2008, 2014.

International Meeting on Applied Economics (ASEPELT): 2011.

Purdue Alumni Finance Summer Conference: 2010.

European Financial Management Association Meeting: 2004, 2007, 2009.

Applied Economics Meeting, Spain: 2007, 2009.

Economic Analysis Simposium, Spanish Economics Association: 2006, 2009.

Euro Working Group on Financial Modelling Meeting: 2008.

Mathematical Finance Seminar, MEFF-RiskLab: 1997, 2004.

Australasian Finance and Banking Conference Meeting: 2003.

Financial Management Association Meeting: 1994, 1999.

American Mathematical Society: 1994.

 Up

Discussed papers at

Workshop on Empirical Research in Financial Accounting: 2011.

Spanish Finance Association Meeting: 1994-2004, 2006, 2008-11.

Purdue Alumni Finance Summer Conference, 2010.

Real Options Meeting (Universidad de Valladolid, Spain): 2010.

Workshop on Quantitative Finance (Doctorado Interuniversitario en Banca y Finanzas Cuantitativas): 2008, 2009.

Financial Management Association: 1999.

Finance Workshop, Segovia: 1998, 1999.

 Up

Session chairman at

Spanish Finance Association Meeting, 1994-95, 2000-02, 2006, 2010.

 

Program Committee for

Spanish Finance Association: 1999, 2000, 2001-07, 2010-17.

Iberian-Italian Congress of Financial and Actuarial Mathematics: 2014.

ACEDE: 2007, 2010.

Real Options Meeting (Universidad de Valladolid, Spain): 2010.

Southern Finance Association: 2008, 2010.

European Finance Association: 2001, 2003.

 Up

Reviewed papers for

Applied Financial Economics.

Cuadernos de Economía y Dirección de la Empresa.

Global Finance Journal.

International Review of Economics and Finance.

IVIE.

Investigaciones Económicas.

Journal of Futures Markets.

Journal of Agricultural and Resource Economics.

Moneda y Crédito.

North American Journal of Economics and Finance.

Quantitative Finance.

Revista de Economía Aplicada.

Revista de Economía Financiera.

Revista Española de Financiación y Contabilidad.

Revista de Métodos Cuantitativos para la Economía y la Empresa.

Spanish Economic Review.

The European Journal of Finance.

Up

Seminars given at

Universidad Carlos III: 1995, 1999, 2009.

Universidad Cardenal Herrera, CEU: 2008.

Universidad Pública de Navarra: 2007.

Universidad Pablo de Olavide: 2006.

IE Business School: 2005.

Universidad de Alicante: 2005.

Universidad Complutense: 2001, 2004.

Universidad de Navarra: 2002.

Universidad Pompeu Fabra: 1998, 2002.

Universidad de Sevilla: 2000.

Universidad del País Vasco: 2000.

Universidad de Valencia: 1999.

Up

Invited Speaker at

Workshop Modelling and Numerical Techniques in Quantitative Finance, A Coruña (Spain), October 15-16, 2009.

III Congreso de Riesgo Bancario en Latinoamérica, Ciudad de Panamá, Panamá, November 13, 2008.

Año Mundial de las Matemáticas, Facultad de Matemáticas, Universidad de Sevilla (Spain), 2000.

 

PhD Thesis Advisor

Alberto Bueno Guerrero (with M. Moreno), Three Essays on Stochastic String Models for the Term Structure of Interest Rates, 2014.

Isabel Abínzano Guillén, Three Applications of Option Pricing Theory (in Spanish), Universidad de Navarra, 2006.

 

PhD Thesis Committees

Universidad de Castilla-La Mancha (2014).

Universidad Carlos III: 2000 (2), 2004, 2009, 2012.

Universidad de Alicante, 2010.

Universidad del País Vasco: 2008, 2009.

Universidad de Valladolid: 2007.

Universidad de Sevilla: 2004.

Universidad de Navarra: 2002.

Universidad Autónoma de Madrid: 2001.

 

 

Visiting Scholarships

Purdue University, 2010, 2015.

Carlos III University, Madrid (Spain): 2009, 2011-16.
RCC at Harvard University, 2011.

Pompeu Fabra University, Barcelona (Spain): 2002.

Up

 


 

TEACHING

Advanced Derivatives, Master in Finance, Carlos III University, 2015-16, taught in English. Teaching rating 4.40 out of 5 (33 students).

Advanced Derivatives, Master in Finance, Carlos III University, 2014-15, taught in English. Teaching rating 4.75 out of 5 (28 students).

Financial Management II, Double Degree in Law and Business Administration and Management, Universidad Pablo de Olavide, 2012-13, taught in English. Teaching rating 4.75 out of 5.

Derivatives, Master in Finance and Banking, Universidad Pablo de Olavide, 2012-13, taught in Spanish. Teaching rating 4.26 out of 5.

Financial Management, Master in Finance and Managerial Accounting, Universidad Pablo de Olavide, 2012-13, taught in Spanish. Teaching rating 4.45 out of 5.

Financial Management, Master in Finance and Managerial Accounting, Universidad Pablo de Olavide, 2011-12, taught in Spanish. Teaching rating 4.41 out of 5.

Financial Management I, Double Degree in Law and Business Administration and Management, Universidad Pablo de Olavide, 2011-12, taught in English. Teaching rating 4.04 out of 5.

Financial Management II, Double Degree in Law and Business Administration and Management, Universidad Pablo de Olavide, 2011-12, taught in English. Teaching rating 4.44 out of 5.

Financial Management I, Double Degree in Law and Business Administration and Management, Universidad Pablo de Olavide, 2010-11, taught in English. Teaching rating 4.42 out of 5.

Financial Management, Master in Finance and Managerial Accounting, Universidad Pablo de Olavide, 2010-11, taught in Spanish. Teaching rating 4.00 out of 5.

Financial Management I, Double Degree in Law and Business Administration and Management, Universidad Pablo de Olavide, 2009-10, taught in English. Teaching rating 4.38 out of 5.

Financial Management II, Double Degree in Law and Business Administration and Management, Universidad Pablo de Olavide, 2009-10, taught in English. Teaching rating 4.18 out of 5.

Financial Management II, Double Degree in Law and Business Administration and Management, Universidad Pablo de Olavide, 2008-09, taught in English. Teaching rating 4.17 out of 5.

 

Up


 

OTHERS

Director of the Corporate Finance and Financial Markets Research Group SEJ141, Andalusian Plan for Research, Development and Innovation, 2014-present.

Member of the Editorial Board of the Spanish Journal of Finance and Accounting. 2014-present.

Member of the Expert Committee of the Spanish Ministry of Science and Technology for the selection of research projects in Economics. National R&D Program. 2009, 2010, 2011.

Member of the Expert Committee of the Spanish National Agency for Assessment and Planning (ANEP) for the evaluation of research projects in Economics. National R&D Program. 2001.

Director of the Research Group on Corporate Finance and Financial Markets, GIFEM SEJ-141, Funded by the Andalusian Regional Government. 2014-present.

 

Up