ANGELINI, Flavio

ANGELINI, Flavio  

DIPARTIMENTO DI ECONOMIA  

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Titolo Data di pubblicazione Autore(i) File
An analysis of Italian financial data using extreme value theory 2002 Angelini, Flavio
An approximation of caplet implied volatilities in Gaussian models 2005 Angelini, Flavio; Herzel, S.
Consistent Calibration of HJM Models to Implied Volatilities 2005 Angelini, Flavio; Herzel, S.
Consistent Initial Curves for Interest Rate Models 2002 Angelini, Flavio; Herzel, S.
Costi impliciti e profilo rischio-convenienza di prodotti finanziari illiquidi 2013 Angelini, Flavio; Herzel, Stefano; Nicolosi, Marco
Delta Hedging in Discrete Time under Stochastic Interest Rate 2012 Angelini, Flavio; Herzel, Stefano
Delta hedging in discrete time under stochastic interest rate 2014 Angelini, Flavio; Herzel, Stefano
Evaluating discrete dynamic strategies in affine models 2015 Angelini, Flavio; Herzel, Stefano
Explicit formulas for the minimal variance hedging strategy in a martingale case 2007 Angelini, Flavio; Herzel, S.
Explicit formulas for the minimal variance hedging strategy in a martingale case 2010 Angelini, Flavio; Herzel, S.
Fitting multifactor HJM models with consistent families 2002 Angelini, Flavio; Herzel, Stefano
Hedging Error in Lévy models with a Fast Fourier Transform approach 2008 Angelini, Flavio; Nicolosi, Marco
Implicit incentives for fund managers with partial information 2021 Angelini, F.; Colaneri, K.; Herzel, S.; Nicolosi, M.
Implied volatilities of caps: a Gaussian approach 2005 Angelini, Flavio; Herzel, S.
La vera storia di XS0189741001. Sul VaR di una obbligazione Lehman a tasso variabile 2013 Angelini, Flavio
Measuring the error of dynamic hedging: a Laplace transform approach 2007 Angelini, Flavio; Herzel, S.
Measuring the error of dynamic hedging:a Laplace transform approach 2009 Angelini, Flavio; Herzel, S.
On the Effect of Skewness and Kurtosis Misspecification on the Hedging Error 2010 Angelini, Flavio; Nicolosi, Marco
Portfolio management with benchmark related incentives under mean reverting processes 2018 Nicolosi, Marco; Angelini, Flavio; Herzel, Stefano
Value at Risk of a Lehman Bond 2019 Angelini, Flavio