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A clusterized copula-based probability distribution of a counting variable for high-dimensional problems
Bernardi, Enrico; Romagnoli, Silvia - In: The journal of credit risk : published quarterly by … 9 (2013) 2, pp. 3-26
Persistent link: https://www.econbiz.de/10010185498
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Robustness of the Black-Scholes approach in the case of options on several assets
Romagnoli, Silvia; Vargiolu, Tiziano - In: Finance and stochastics 4 (2000) 3, pp. 325-342
Persistent link: https://www.econbiz.de/10008217576
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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
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Multivariate digital options with memory
Cherubini, Umberto; Romagnoli, Silvia - In: The European journal of finance 17 (2011) 8, pp. 649-661
Persistent link: https://www.econbiz.de/10009265641
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On the distribution of the (un)bounded sum of random variables
Cherubini, Umberto; Mulinacci, Sabrina; Romagnoli, Silvia - In: Insurance / Mathematics & economics 48 (2011) 1, pp. 56-64
Persistent link: https://www.econbiz.de/10008768339