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Some explicitly solvable SABR...
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An explicitly solvable multi-scale stochastic volatility model : option pricing and calibration problems
Fatone, Lorella
;
Mariani, Francesca
;
Recchioni, Maria …
- In:
The journal of futures markets
29
(
2009
)
9
,
pp. 862-893
Persistent link: https://www.econbiz.de/10003900928
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2
The analysis of real data using a stochastic dynamical system able to model spiky prices
Fatone, Lorella
;
Mariani, Francesca
;
Recchioni, Maria …
- In:
Journal of mathematical finance
2
(
2012
)
1
,
pp. 1-12
Persistent link: https://www.econbiz.de/10009668291
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3
Systemic risk governance in a dynamical model of a banking system with stochastic assets and liabilities
Fatone, Lorella
;
Mariani, Francesca
- In:
Journal of economic interaction and coordination
15
(
2020
)
1
,
pp. 183-219
Persistent link: https://www.econbiz.de/10012226910
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4
Optimal solution of the liquidation problem under execution and price impact risks
Mariani, Francesca
;
Fatone, Lorella
- In:
Quantitative finance
22
(
2022
)
6
,
pp. 1037-1049
Persistent link: https://www.econbiz.de/10013367883
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5
Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices : an application of nonlinear filtering theory
Mariani, Francesca
;
Pacelli, Graziella
;
Zirilli, Francesco
- In:
Optimization letters
2
(
2008
)
2
,
pp. 177-222
Persistent link: https://www.econbiz.de/10003687162
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6
A tail-revisited Markowitz mean-variance approach and a portfolio network centrality
Mariani, Francesca
;
Polinesi, Gloria
;
Recchioni, Maria …
- In:
Computational management science
19
(
2022
)
3
,
pp. 425-455
Persistent link: https://www.econbiz.de/10013429133
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7
A new class of composite indicators : the penalized power mean
Mariani, Francesca
;
Ciommi, Mariateresa
;
Recchioni, …
- In:
European journal of operational research : EJOR
317
(
2024
)
3
,
pp. 1015-1035
Persistent link: https://www.econbiz.de/10015047553
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8
A hybrid method for pricing European options based on multiple assets with transaction costs
Pacelli, Graziella
;
Recchioni, Maria Cristina
;
Zirilli, …
- In:
Applied mathematical finance
6
(
1999
)
2
,
pp. 61-85
Persistent link: https://www.econbiz.de/10001449240
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9
A path following method for box-constrained multiobjective optimization with applications to goal programming problems
Recchioni, Maria Cristina
- In:
Mathematical methods of operations research
58
(
2003
)
1
,
pp. 69-85
Persistent link: https://www.econbiz.de/10001788399
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10
Diasporas and conflict
Mariani, F.
;
Mercier, Marion
;
Verdier, Thierry
-
2016
Persistent link: https://www.econbiz.de/10011701287
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