Pubblicazioni

Elenchiamo in questa pagina (in continuo aggiornamento) i titoli delle tesi di dottorato e le principali pubblicazioni dei dottorandi degli ultimi cicli.

Lucia Bellenzier
Tesi di dottorato:
Dynamics in Financial Networks

Bellenzier, L. and Grassi, R. Interlocking Directorates in Italy: Persistent Links in Network Dynamics (October 25, 2013).Journal of Economic Interaction and Coordination, Springer

Ruggero Caldana
Tesi di dottorato:
Spread and Basket Option Pricing: an Application to Interconnected Power Markets

Caldana R. and Fusai G. (2013) A general closed-form spread option pricing formula, Journal of Banking & Finance, 37, 4893–4906.

Caldana R., Cheang G., Chiarella C. and Fusai G. (2014) Correction: Exchange option under jump-diffusion dynamics, forthcoming in Applied Mathematical Finance.

Marco D’Errico
Tesi di dottorato:
A network approach for opinion dynamics and price formation

A multiple network approach to corporate governance. Quality & Quantity (in press). With F. Bonacina, E. Moretto, S. Stefani, A. Torriero, G. Zambruno.

Informal ties in organizations: a case study. Quality & Quantity, July 2014, Volume 48, Issue 4, pp 1929-1943. (With S. Stefani and A. Torriero)

Romuald Kenmoe
Tesi di dottorato:
A Comparative Analysis of Nonparametric Volatility estimators: An Empirical Evidence using Option Pricing on S&P 500

Kenmoe S. R and Dongmo E., “Equity stock market in Africa: Empirical Evidence from Random Walk Hypothesis”. To appear in International research journal of Finance and Economics

Kenmoe S. R and Sanfelici, S. “Non Parametric Estimation Of Diffusion Coefficient: An Empirical Evidence using Option Pricing on S&P 500” (2013) Decision in Economics and Finance, August 2013.

Angela Loregian
Tesi di dottorato:
Multivariate Lévy models: estimation and asset allocation

Loregian, A., Mercuri, L. and Rroji, E. (2012) “Approximation of the variance gamma with a finite mixture of normals” Statistics and probability letters 82 (2), pp. 217-224

Ilaria Peri
Tesi di dottorato:
Quasi-convex risk measures and acceptability indices. Theory and applications.

Frittelli M., Maggis M. and Peri I. (2012), “Risk measures on P(R) and Value at Risk with Probability/Loss function”, to appear in Mathematical Finance.

Edit Rroji
Tesi di dottorato:
Risk attribution and semi-heavy tailed distributions

Loregian, A., Mercuri, L. and Rroji, E. (2012) “Approximation of the variance gamma with a finite mixture of normals” Statistics and probability letters 82 (2), pp. 217-224

Rroij, E., Mercuri, L (2013) “Mixed Tempered Stable distribution”, to appear in Quantitative Finance.