Sfoglia per Autore
CVA with Wrong Way Risk in the presence of early exercise
2016-01-01 Baviera, Roberto; LA BUA, Gaetano; Pellicioli, Paolo
A joint model for temperature and natural gas with an application to the US market
2017-01-01 Baviera, Roberto; Mainetti, Teodoro Federico
The Comprehensive Assessment: What lessons can be learned?
2018-01-01 Barucci, Emilio; Baviera, Roberto; Milani, Carlo
Stop-loss and leverage in optimal statistical arbitrage with an application to energy market
2019-01-01 Baviera, Roberto; Santagostino Baldi, Tommaso
Back-of-the-envelope Swaptions in a Very Parsimonious Multi-Curve Interest Rate Model
2019-01-01 Baviera, R.
Synthetic forwards and cost of funding in the equity derivative market
2020-01-01 Azzone, M.; Baviera, R.
A closed formula for illiquid corporate bonds and an application to the European market
2021-01-01 Baviera, R.; Nassigh, A.; Nastasi, E.
Model risk in mean-variance portfolio selection: an analytic solution to the worst-case approach
2021-01-01 Baviera, R.; Bianchi, G.
The measure of model risk in credit capital requirements
2021-01-01 Baviera, Roberto
Neural network middle-term probabilistic forecasting of daily power consumption
2021-01-01 Baviera, Roberto; Azzone, Michele
The Estimation Risk in Credit Regulatory Capital
2022-01-01 Baviera, Roberto
Additive normal tempered stable processes for equity derivatives and power-law scaling
2022-01-01 Azzone, M.; Baviera, R.
Short-time implied volatility of additive normal tempered stable processes
2022-01-01 Azzone, Michele; Baviera, Roberto
A fast Monte Carlo scheme for additive processes and option pricing
2023-01-01 Azzone, Michele; Baviera, Roberto
Daily middle-term probabilistic forecasting of power consumption in North-East England
2023-01-01 Baviera, Roberto; Messuti, Giuseppe
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