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The Analysis of Real Data Using a Multiscale Stochastic Volatility Model
Fatone, Lorella; Mariani, Francesca; Recchioni, Maria … - In: European financial management : the journal of the … 19 (2013) 1, pp. 153-179
Persistent link: https://www.econbiz.de/10010070080
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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/10010079615
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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
Persistent link: https://www.econbiz.de/10008276999
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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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Some explicitly solvable SABR and multiscale SABR models : option pricing and calibration
Fatone, Lorella; Mariani, Francesca; Recchioni, Maria … - In: Journal of mathematical finance 3 (2013) 1, pp. 10-32
Persistent link: https://www.econbiz.de/10010240231
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The analysis of real data using a multiscale stochastic volatility model
Fatone, Lorella; Mariani, Francesca; Recchioni, Maria … - In: European financial management : the journal of the … 19 (2013) 1, pp. 153-179
Persistent link: https://www.econbiz.de/10009706264
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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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Calibration in the "real world" of a partially specified stochastic volatility model
Fatone, Lorella; Mariani, Francesca; Zirilli, Francesco - In: The journal of futures markets 44 (2024) 1, pp. 75-102
Persistent link: https://www.econbiz.de/10014475426
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A pertubative formula to price barrier options with time-dependent parameters in the black and scholes world
Fatone, Lorella; Recchioni, Maria Cristina; Zirilli, … - In: Journal of risk 10 (2007/08) 2, pp. 131-146
Persistent link: https://www.econbiz.de/10003643672
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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