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Table of Contents
1 I. Albarrn, P. Alonso, A. Arribas-Gil and A. Gran: Can personal dependency paths help to estimate life expectancy free of dependency?
2 A. Amendola and V. Candila: Evaluation of volatility forecasts in a VaR framework
3 A. Amendola and M. Restaino: Optimal cut-off points for multiple causes of business failure models
4 R. Baragona, F. Battaglia and D. Cucina: Maximum empirical likelihood inference for outliers in autoregressive time series
5A. Basso and S. Funari: The role of fund size and returns to scale in the performance of mutual funds
6 M. Biancardi and G. Villani: A robustness analysis of least-squares monte carlo for r & d real options valuation
7 G. Bimonte and P. Spennati: The common pool problem of intergovernmental interactions and fiscal discipline: a Stackelberg approach
8 S. Boffelli and G. Urga: High -and low-frequency correlations in European government bond spreads and their macroeconomic drivers
9 S. Bonini and G. Caivano: Probability of default: a modern calibration approach
10 S. Bonini and G. Caivano: Development of a LGD model Basel2 compliant: a case study
11 S. Capecchi and D. Piccolo: Modelling the latent components of personal happiness
12 M. Caporin, L. Corazzini and M. Costola: Measuring the impact of behavioural choices on the market prices
13 M. Cardin: A note on natural risk statistics, OWA operators and generalized Gini functions
14 R. Cerchiara and V. Magatti: The estimation of standard deviation of premium risk under solvency 2.
15 M. Coppola and V. D'Amato: The solvency capital requirement management for an insurance company
16 M. Corduas: Direct multi-step estimation and time series classification.
17V. D'Amato, S. Haberman, G. Piscopo and M. Russolillo: Alternative Assessments of the Longevity Trends
18 G.H. Dash, Jr. and N. Kajiji: Combinatorial nonlinear goal programming for ESG portfolio optimization and dynamic hedge management
19A. Di Crescenzo, B. Martinucci and S. Zacks: On the geometric Brownian motion with alternating trend
20 E. Di Lorenzo, M. La Rocca, A. Orlando, C. Perna and M. Sibillo: Empirical evidences on predictive accuracy of survival models
21 R. Donati and M. Corazza: RedESTM, a risk measure in a Pareto-Levy stable framework with clustering
22 N. Ettore D'Ortona and G. Melisi: Run-off error in the outstanding claims reserves evaluation
23 S. Ferrando, A. Gonzalez, I. Degano, and M. Rahsepar: Trajectory based market models. Arbitrage and pricing intervals
24 G. Fig-Talamanca: A statistical test for the Heston model
25 F. Giordano, M. Niglio and C. Damiano Vitale: Threshold Random Walk structures in finance
26 J. Gogola: Stochastic mortality models. Application to CR mortality data
27 M. Harcek: Risk adjusted dynamic hedging strategies
28 A. Klani and F. Quittard-Pinon: Pricing and hedging variable annuities
29 D.G. Konstantinides and C.E. Kountzakis: Monetary risk functionals on Orlicz spaces produced by set-valued risk maps and random measures
30 N. Loperfido: A probability inequality related to Mardia's kurtosis
31 G.M. Mantovani, G. Coro, P. Gurisatti and M. Mestroni: Integrating industrial and financial analysis into a rating methodology for corporate risk detection: the case of the Vicenza manufacturing firms
32 L. Mercuri and E. Rroji: Risk measurement using the mixed tempered stable distribution
33 M. Mestroni, E. Basilico and G. Max Mantovani: Corporate finance ... what else? The case of the productive chain networks in north-east Italy and the scaffolding finance adopted by their leader
34 A. Naccarato and P. Andrea: BEKK element-by-element estimation of a volatility matrix. A portfolio simulation
35 M. Nardon and P. Pianca: The effects of curvature and elevation of the probability weighting function on options prices
36A. Ntamjokouen, S. Haberman and G. Consigli: A multivariate approach to project the long run relationship of mortality indices between Canadian provinces
37 A. Orlando, G. di Lorenzo and M. Politano: Measuring and managing the longevity risk: an empirical evidence from the Italian pension market
38 T. Paletta, A. Leccadito and R. Tunaru: Pricing and hedging basket options under shifted asymmetric jump-diffusion process
39 M. Resta: On a data mining framework for the identification of frequent pattern trends
40 D. Teneng and K. Parna: Risk processes with normal inverse gaussian claims and premiums
41 T. Uratani: A portfolio model for the risk management in public pension
42 R. Yves: Black Scholes option sensitivity using high order greeks.
2 A. Amendola and V. Candila: Evaluation of volatility forecasts in a VaR framework
3 A. Amendola and M. Restaino: Optimal cut-off points for multiple causes of business failure models
4 R. Baragona, F. Battaglia and D. Cucina: Maximum empirical likelihood inference for outliers in autoregressive time series
5A. Basso and S. Funari: The role of fund size and returns to scale in the performance of mutual funds
6 M. Biancardi and G. Villani: A robustness analysis of least-squares monte carlo for r & d real options valuation
7 G. Bimonte and P. Spennati: The common pool problem of intergovernmental interactions and fiscal discipline: a Stackelberg approach
8 S. Boffelli and G. Urga: High -and low-frequency correlations in European government bond spreads and their macroeconomic drivers
9 S. Bonini and G. Caivano: Probability of default: a modern calibration approach
10 S. Bonini and G. Caivano: Development of a LGD model Basel2 compliant: a case study
11 S. Capecchi and D. Piccolo: Modelling the latent components of personal happiness
12 M. Caporin, L. Corazzini and M. Costola: Measuring the impact of behavioural choices on the market prices
13 M. Cardin: A note on natural risk statistics, OWA operators and generalized Gini functions
14 R. Cerchiara and V. Magatti: The estimation of standard deviation of premium risk under solvency 2.
15 M. Coppola and V. D'Amato: The solvency capital requirement management for an insurance company
16 M. Corduas: Direct multi-step estimation and time series classification.
17V. D'Amato, S. Haberman, G. Piscopo and M. Russolillo: Alternative Assessments of the Longevity Trends
18 G.H. Dash, Jr. and N. Kajiji: Combinatorial nonlinear goal programming for ESG portfolio optimization and dynamic hedge management
19A. Di Crescenzo, B. Martinucci and S. Zacks: On the geometric Brownian motion with alternating trend
20 E. Di Lorenzo, M. La Rocca, A. Orlando, C. Perna and M. Sibillo: Empirical evidences on predictive accuracy of survival models
21 R. Donati and M. Corazza: RedESTM, a risk measure in a Pareto-Levy stable framework with clustering
22 N. Ettore D'Ortona and G. Melisi: Run-off error in the outstanding claims reserves evaluation
23 S. Ferrando, A. Gonzalez, I. Degano, and M. Rahsepar: Trajectory based market models. Arbitrage and pricing intervals
24 G. Fig-Talamanca: A statistical test for the Heston model
25 F. Giordano, M. Niglio and C. Damiano Vitale: Threshold Random Walk structures in finance
26 J. Gogola: Stochastic mortality models. Application to CR mortality data
27 M. Harcek: Risk adjusted dynamic hedging strategies
28 A. Klani and F. Quittard-Pinon: Pricing and hedging variable annuities
29 D.G. Konstantinides and C.E. Kountzakis: Monetary risk functionals on Orlicz spaces produced by set-valued risk maps and random measures
30 N. Loperfido: A probability inequality related to Mardia's kurtosis
31 G.M. Mantovani, G. Coro, P. Gurisatti and M. Mestroni: Integrating industrial and financial analysis into a rating methodology for corporate risk detection: the case of the Vicenza manufacturing firms
32 L. Mercuri and E. Rroji: Risk measurement using the mixed tempered stable distribution
33 M. Mestroni, E. Basilico and G. Max Mantovani: Corporate finance ... what else? The case of the productive chain networks in north-east Italy and the scaffolding finance adopted by their leader
34 A. Naccarato and P. Andrea: BEKK element-by-element estimation of a volatility matrix. A portfolio simulation
35 M. Nardon and P. Pianca: The effects of curvature and elevation of the probability weighting function on options prices
36A. Ntamjokouen, S. Haberman and G. Consigli: A multivariate approach to project the long run relationship of mortality indices between Canadian provinces
37 A. Orlando, G. di Lorenzo and M. Politano: Measuring and managing the longevity risk: an empirical evidence from the Italian pension market
38 T. Paletta, A. Leccadito and R. Tunaru: Pricing and hedging basket options under shifted asymmetric jump-diffusion process
39 M. Resta: On a data mining framework for the identification of frequent pattern trends
40 D. Teneng and K. Parna: Risk processes with normal inverse gaussian claims and premiums
41 T. Uratani: A portfolio model for the risk management in public pension
42 R. Yves: Black Scholes option sensitivity using high order greeks.