ANGELINI, Flavio
ANGELINI, Flavio
DIPARTIMENTO DI ECONOMIA
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
2010 Angelini, Flavio; Herzel, S.
Explicit formulas for the minimal variance hedging strategy in a martingale case
2007 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