BAVIERA, ROBERTO
A closed formula for illiquid corporate bonds and an application to the European market
2021-01-01 Baviera, R.; Nassigh, A.; Nastasi, E.
A fast Monte Carlo scheme for additive processes and option pricing
2023-01-01 Azzone, Michele; Baviera, Roberto
A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS
2000-01-01 Erik, Aurell; Baviera, Roberto; Ola, Hammarlid; Maurizio, Serva; Angelo, Vulpiani
A joint model for temperature and natural gas with an application to the US market
2017-01-01 Baviera, Roberto; Mainetti, Teodoro Federico
A method that reveals the multi-level ultrametric tree hidden in p -spin-glass-like systems
2015-01-01 Baviera, Roberto; Virasoro, M. A.
A note on CVA and wrong way risk
2016-01-01 Baviera, Roberto; LA BUA, Gaetano; Pellicioli, Paolo
A Note on Dual-Curve Construction: Mr. Crab's Bootstrap
2015-01-01 Baviera, Roberto; Alessandro, Cassaro
A perturbative approach to Bermudan options pricing with applications
2013-01-01 Baviera, Roberto; Lorenzo, Giada
A simple solution for sticky cap and sticky floor
2007-01-01 Baviera, Roberto
A variational approach to Ising spin glasses in finite dimensions
1998-01-01 Baviera, Roberto; M., Pasquini; M., Serva
Additive normal tempered stable processes for equity derivatives and power-law scaling
2022-01-01 Azzone, M.; Baviera, R.
Antipersistent Markov behavior in foreign exchange markets
2002-01-01 Baviera, Roberto; Michele, Pasquini; Maurizio, Serva; Davide, Vergni; Angelo, Vulpiani
Back-of-the-envelope Swaptions in a Very Parsimonious Multi-Curve Interest Rate Model
2019-01-01 Baviera, R.
BOND MARKET MODEL
2006-01-01 Baviera, Roberto
Cluster approximation for Ising spin glasses
1998-01-01 Baviera, Roberto; M., Pasquini; M., Serva
Correlations and multi-affinity in high frequency financial datasets
2001-01-01 Baviera, Roberto; Michele, Pasquini; Maurizio, Serva; Davide, Vergni; Angelo, Vulpiani
CVA with Wrong Way Risk in the presence of early exercise
2016-01-01 Baviera, Roberto; LA BUA, Gaetano; Pellicioli, Paolo
Daily middle-term probabilistic forecasting of power consumption in North-East England
2023-01-01 Baviera, Roberto; Messuti, Giuseppe
Growth optimal investment and pricing of derivatives
2000-01-01 Erik, Aurell; Baviera, Roberto; Ola, Hammarlid; Maurizio, Serva; Angelo, Vulpiani
Is (Independent) Subordination Relevant in Equity Derivatives?
2024-01-01 Azzone, Michele; Baviera, Roberto