Sfoglia per Autore
Calibration of a nonlinear feedback option pricing model
2005-01-01 Sanfelici, Simona
Robustness of Fourier Estimator of Integrated Volatility in the Presence of Microstructure Noise
2006-01-01 M. E., Mancino; Sanfelici, Simona
Optimal impulse control on an unbounded domain with nonlinear cost functions
2006-01-01 S., Baccarin; Sanfelici, Simona
Calibration of a nonlinear feedback option pricing model
2007-01-01 Sanfelici, Simona
Dynamic portfolio management: an application ofFourier method for covariance estimation
2008-01-01 M. E., Mancino; E., Rapini; Sanfelici, Simona
Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise
2008-01-01 M. E., Mancino; Sanfelici, Simona
“Dynamic portfolio management: an application of Fourier method for covariance estimation ”, Working Paper
2008-01-01 M. E., Mancino; E., Rapini; Sanfelici, Simona
Robustness of Fourier Estimator of Integrated Volatility in the Presence of Microstructure Noise
2008-01-01 M. E., Mancino; Sanfelici, Simona
“Assessing the quality of volatility estimators via option pricing”, Working Paper
2010-01-01 A., Uboldi; Sanfelici, Simona
Assessing the quality of volatility estimators via option pricing
2010-01-01 Sanfelici, Simona; A., Uboldi
Multivariate volatility estimation with high frequency data using Fourier method
2011-01-01 M. E., Mancino; Sanfelici, Simona
Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology
2011-01-01 M. E., Mancino; Sanfelici, Simona
An improved two-step regularization scheme for spot volatility estimation
2011-01-01 S., Ogawa; Sanfelici, Simona
Estimating covariance via Fourier method in the presence of asynchronous trading andmicrostructure noise
2011-01-01 M. E., Mancino; Sanfelici, Simona
Quarticity estimation via Fourier method
2011-01-01 M. E., Mancino; Sanfelici, Simona
“Microstructure effect on firm’s volatility risk”, Working Paper del Dipartimento di Matematica per le Decisioni, Università di Firenze, 5/2012
2012-01-01 F., Barsotti; Sanfelici, Simona
Default probability estimation under microstructure effects
2012-01-01 Sanfelici, Simona; Flavia, Barsotti
Firm's Volatility Risk under Microstructure Noise
2012-01-01 F., Barsotti; Sanfelici, Simona
Estimation of Quarticity with High Frequency Data
2012-01-01 M. E., Mancino; Sanfelici, Simona
High frequency volatility of volatility estimation without estimating volatility, Working Paper
2013-01-01 I., Curato; M. E., Mancino; Sanfelici, Simona
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