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Pricing and Hedging Credit Derivatives with Copulas
Cherubini, Umberto; Luciano, Elisa - In: Economic notes : economic review of Banca Monte dei … 32 (2003) 2, pp. 219-242
Persistent link: https://www.econbiz.de/10006027113
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PROCEEDINGS OF THE INTERNATIONAL CONFERENCE 'MANAGING CREDIT AND MARKET RISK. NEW TECHNIQUES FOR NEW SOURCES OF RISK' - Fuzzy Value at Risk: Accounting for Market Liquidity
Cherubini, Umberto; Della Lunga, Giovanni - In: Economic notes : economic review of Banca Monte dei … 30 (2001) 2, pp. 293-312
Persistent link: https://www.econbiz.de/10006038513
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PROCEEDINGS OF THE INTERNATIONAL CONFERENCE 'MANAGING CREDIT AND MARKET RISK. NEW TECHNIQUES FOR NEW SOURCES OF RISK' - Value at Risk Trade-off and Capital Allocation with Copulas
Cherubini, Umberto; Luciano, Elisa - In: Economic notes : economic review of Banca Monte dei … 30 (2001) 2, pp. 235-256
Persistent link: https://www.econbiz.de/10006038516
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Liquidity and credit risk
Cherubini, Umberto; Della Lunga, Giovanni - In: Applied mathematical finance 8 (2001) 2, pp. 79-96
Persistent link: https://www.econbiz.de/10008216764
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Fuzzy measures and asset prices: Accounting for information ambiguity
Cherubini, Umberto - In: Applied mathematical finance 4 (1997) 3, pp. 135-150
Persistent link: https://www.econbiz.de/10008219566
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Within and between systemic country risk. Theory and evidence from the sovereign crisis in Europe
Baglioni, Angelo; Cherubini, Umberto - In: Journal of economic dynamics & control 37 (2013) 8, pp. 1581-1597
Persistent link: https://www.econbiz.de/10010138080
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Capital Regulation, Adjustment Costs and Bank Management: An (S, s) Approach
Baglioni, Angelo; Cherubini, Umberto - In: Rivista internazionale di scienze economiche e … 41 (1994) 10-11, pp. 893-904
Persistent link: https://www.econbiz.de/10007714545
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THE DEPENDENCE STRUCTURE OF RUNNING MAXIMA AND MINIMA: RESULTS AND OPTION PRICING APPLICATIONS
Cherubini, Umberto; Romagnoli, Silvia - In: Mathematical finance : an international journal of … 20 (2010) 1, pp. 35-59
Persistent link: https://www.econbiz.de/10008352626
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Computing the Volume of n-Dimensional Copulas
Cherubini, Umberto; Romagnoli, Silvia - In: Applied mathematical finance 16 (2009) 4, pp. 307-314
Persistent link: https://www.econbiz.de/10008314735
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Computing the Volume of n-Dimensional Copulas
Cherubini, Umberto; Romagnoli, Silvia - In: Applied mathematical finance 16 (2009) 3-4, pp. 307-314
Persistent link: https://www.econbiz.de/10008336484