Research

Research Interest:

• Financial Modeling

• Quantitative Finance

• Econophysics

Published papers:

• A. Araneda and M. Villena. On sectoral market efficiency. Finance Research Letters, Vol. 61, 2024. DOI:10.1016/j.frl.2023.104949. [View paper]

• A. Araneda. A multifractional option pricing formula. Fluctuation and Noise Letters, Vol. 23, 2024. DOI:10.1142/S0219477524500603. [View paper]

• A.A. Araneda and N. Bertschinger. The sub-fractional CEV model. Physica A: Statistical Mechanics and its Applications, Vol. 573, 2021. DOI:10.1016/j.physa.2021.125974.[View paper]

• A. A. Araneda. The fractional and mixed-fractional CEV model. Journal of Computational and Applied Mathematics, Vol. 363, pp 106-123, 2020. DOI: 10.1016/j.cam.2019.06.006. [View paper]

• A.A. Araneda and M.J. Villena. Computing the CEV option pricing formula using the semiclassical approximation of path integral. Journal of Computational and Applied Mathematics, Vol. 388, 2021. DOI: 10.1016/j.cam.2020.113244.[View paper]

• M. J. Villena and A. A. Araneda. Dynamics and Stability in Retail Competition. Mathematics and Computers in Simulation, Vol. 134C, pp 37-53, 2017. DOI: 10.1016/j.matcom.2016.09.011.[View paper]

• H. Navarro, L. M. Marcó, A. A. Araneda, and L. Bennun. Spatial distribution of Si in Pinus Insigne (Pinus Radiata) wood using micro XRF by Synchrotron Radiation. Journal of Wood Chemistry and Technology, Vol. 39(3), pp:187-197, 2019. DOI: 10.1080/02773813.2018.1562473. [View paper]

• A. Araneda, L. Bennun, and V. Sanhueza. Simplified Calibration for Total Reflection X-Ray Fluorescence. Analytical Letters, Vol. 49(11), pp:1711-1721, 2016.  DOI:10.1080/00032719.2015.1118486. [View paper]

Book Chapters:

• • A. A. Araneda. Price modeling under generalized fractional Brownian motion, Select Topics of Econophysics. De Gruyter, 2024. DOI:10.1515/9783110987584-013. [View paper]

  • A. A. Araneda and M. Villena. Semiclassical pricing of variance swaps in the CEV model. Statistical Methods for Actuarial Sciences and Finance. MAF 2022. Springer Cham, 2022. DOI:10.1007/978-3-030-99638-3_5.[View paper]

Working papers and submissions:

• • • A. Araneda. Pricing Credit Default Swaps under the Scaled CEV model. Submitted, 2024. [View paper]

    • A. A. Araneda. Cross-ownership as a structural explanation for rising correlations in crisis times, 2021. arXiv:2112.04824 [q-fin.MF].

    • A. A. Araneda. Asset volatility forecasting: The optimal decay parameter in the EWMA model, 2021. arXiv:2105.14382 [econ.EM].

Conferences

• A. Araneda. Consistent option-implied risk measures. 28th International Congress on Insurance: Mathematical Economics. July 1-4, 2025; Tartu, Estonia. [View Abstract]

• A. Araneda. Price modeling under scaled Brownian motion. Econophysics Colloquium 2024. June 3-5, 2024; Vienna, Austria. [View Book of Abstracts]

• A. Araneda. Price modeling under anomalous diffusion. 68th Euro Working Group for Commodity and Financial Modelling. December 6-8, 2023; Abu-Dhabi,  United Arab Emirates. [View Abstract]

• A. Araneda. Credit Default Swaps and the mixed-fractional CEV model (Contributed talk). 28th Forecasting Financial Markets Conference. June 14-16, 2023; Rennes, France. [View Conference Program]

• A. Araneda and M. Villena. Semiclassical pricing of Variance Swaps in the CEV model (Contributed talk, online). Mathematical and Statistical Methods for Actuarial Sciences and Finance. April 20-22, 2022; Salerno, Italy. [View Book of Abstracts]

• A. Araneda. Path Integrals and the Pricing Variance Swaps in the CEV environment (Contributed talk, online). Econophysics Colloquium (Satellite of the Conference on Complex Systems). October 27-28, 2021; Lyon, France. [View Abstract]

• A. Araneda. Forecasting Covariances by EWMA: Assessing the optimal decay parameter(Contributed talk, online). 11th Biennal Conference of the Czech Economic Society. May 17-18, 2021; Prague, Czechia. [View Abstract]

• A. Araneda and N. Bertschinger. The fractional CEV model: Pricing credit derivatives with memory (Contributed talk). 2nd Vienna Congress on Mathematical Finance. September 9-11, 2019; Vienna, Austria. [View Abstract]

• N. Bertschinger and A. Araneda. Financial cross-ownership as a structural explanation for rising stock correlations in crisis times (Contributed talk). 2nd Vienna Congress on Mathematical Finance. September 9-11, 2019; Vienna, Austria. [View Abstract]

• A. Araneda and M. Villena. On the dynamics of games with product differentiation: A multi-market setting. 10th Workshop MDEF (Dynamic Models in Economics and Finance). September 2018; Urbino, Italy. [View Presentation]

Thesis

• A. A. Araneda. Development of a Methodology for the Determination of a TXRF Spectrometer Sensitivity Curve. Department of Physics, Universidad de Concepción, Chile, 2015. [View Thesis][View Quailfication]

Dissertation

• A. A. Araneda. Three Essays in Complexity Economics and Finance. Faculty of Engineering & Sciences, Universidad Adolfo Ibáñez, Chile, 2017. [View Dissertation]