RE.PUBLIC@POLIMI pubblicazioni di ricerca del Politecnico di Milano

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Mostrati risultati da 1 a 37 di 37
Titolo Data di pubblicazione Autori File
Short-time implied volatility of additive normal tempered stable processes 1-gen-2024 Azzone, MicheleBaviera, Roberto
Is (Independent) Subordination Relevant in Equity Derivatives? 1-gen-2024 Michele AzzoneRoberto Baviera
Tailoring the Tails: Enhancing the Reliability of Probabilistic Load Forecasts 1-gen-2024 R. BavieraP. Manzoni
A fast Monte Carlo scheme for additive processes and option pricing 1-gen-2023 Azzone, MicheleBaviera, Roberto
Daily middle-term probabilistic forecasting of power consumption in North-East England 1-gen-2023 Baviera, RobertoMessuti, Giuseppe
The Estimation Risk in Credit Regulatory Capital 1-gen-2022 Roberto Baviera
Additive normal tempered stable processes for equity derivatives and power-law scaling 1-gen-2022 Azzone M.Baviera R.
Neural network middle-term probabilistic forecasting of daily power consumption 1-gen-2021 Baviera, RobertoAzzone, Michele
Model risk in mean-variance portfolio selection: an analytic solution to the worst-case approach 1-gen-2021 Baviera R.Bianchi G.
The measure of model risk in credit capital requirements 1-gen-2021 Baviera, Roberto
A closed formula for illiquid corporate bonds and an application to the European market 1-gen-2021 Baviera R. +
Synthetic forwards and cost of funding in the equity derivative market 1-gen-2020 Azzone M.Baviera R.
Back-of-the-envelope Swaptions in a Very Parsimonious Multi-Curve Interest Rate Model 1-gen-2019 Baviera R.
Stop-loss and leverage in optimal statistical arbitrage with an application to energy market 1-gen-2019 Baviera, Roberto +
The Comprehensive Assessment: What lessons can be learned? 1-gen-2018 Barucci, EmilioBaviera, RobertoMILANI, CARLO
A joint model for temperature and natural gas with an application to the US market 1-gen-2017 BAVIERA, ROBERTO +
Is the comprehensive assessment really comprehensive? 1-gen-2016 BARUCCI, EMILIOBAVIERA, ROBERTO +
Is the Comprehensive Assessment able to capture banks’ risks? 1-gen-2016 BARUCCI, EMILIOBAVIERA, ROBERTO +
CVA with Wrong Way Risk in the presence of early exercise 1-gen-2016 BAVIERA, ROBERTOLA BUA, GAETANO +
A note on CVA and wrong way risk 1-gen-2016 BAVIERA, ROBERTOLA BUA, GAETANO +
A Note on Dual-Curve Construction: Mr. Crab's Bootstrap 1-gen-2015 BAVIERA, ROBERTO +
A method that reveals the multi-level ultrametric tree hidden in p -spin-glass-like systems 1-gen-2015 BAVIERA, ROBERTO +
A perturbative approach to Bermudan options pricing with applications 1-gen-2013 BAVIERA, ROBERTO +
A simple solution for sticky cap and sticky floor 1-gen-2007 BAVIERA, ROBERTO
BOND MARKET MODEL 1-gen-2006 BAVIERA, ROBERTO
Vol-Bond: an analytical solution 1-gen-2003 BAVIERA, ROBERTO
Antipersistent Markov behavior in foreign exchange markets 1-gen-2002 BAVIERA, ROBERTO +
MOVING AVERAGES AND PRICE DYNAMICS 1-gen-2002 BAVIERA, ROBERTO +
Correlations and multi-affinity in high frequency financial datasets 1-gen-2001 BAVIERA, ROBERTO +
TRANSACTION COSTS: A NEW POINT OF VIEW 1-gen-2001 BAVIERA, ROBERTO
Markovian approximation in foreign exchange markets 1-gen-2000 BAVIERA, ROBERTO +
Growth optimal investment and pricing of derivatives 1-gen-2000 BAVIERA, ROBERTO +
A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS 1-gen-2000 BAVIERA, ROBERTO +
Cluster approximation for Ising spin glasses 1-gen-1998 BAVIERA, ROBERTO +
A variational approach to Ising spin glasses in finite dimensions 1-gen-1998 BAVIERA, ROBERTO +
Optimal Strategies for Prudent Investors 1-gen-1998 BAVIERA, ROBERTO +
Multiscale analysis of hierarchical landscapes 1-gen-1997 BAVIERA, ROBERTO +
Mostrati risultati da 1 a 37 di 37
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