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Titolo Data di pubblicazione Autori File
CVA with Wrong Way Risk in the presence of early exercise 1-gen-2016 BAVIERA, ROBERTOLA BUA, GAETANO +
A joint model for temperature and natural gas with an application to the US market 1-gen-2017 BAVIERA, ROBERTO +
The Comprehensive Assessment: What lessons can be learned? 1-gen-2018 Barucci, EmilioBaviera, RobertoMILANI, CARLO
Stop-loss and leverage in optimal statistical arbitrage with an application to energy market 1-gen-2019 Baviera, Roberto +
Back-of-the-envelope Swaptions in a Very Parsimonious Multi-Curve Interest Rate Model 1-gen-2019 Baviera R.
Synthetic forwards and cost of funding in the equity derivative market 1-gen-2020 Azzone M.Baviera R.
A closed formula for illiquid corporate bonds and an application to the European market 1-gen-2021 Baviera R. +
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
Neural network middle-term probabilistic forecasting of daily power consumption 1-gen-2021 Baviera, RobertoAzzone, Michele
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.
Short-time implied volatility of additive normal tempered stable processes 1-gen-2022 Azzone, MicheleBaviera, Roberto
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
Mostrati risultati da 21 a 35 di 35
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