Sfoglia per Autore
Firm’s Volatility Risk under Microstructure Noise
2013-01-01 F., Barsotti; Sanfelici, Simona
High frequency volatility of volatility estimation without estimating volatility, Working Paper
2013-01-01 I., Curato; M. E., Mancino; Sanfelici, Simona
Measuring the leverage effect in a high frequency framework
2014-01-01 Curato, Imma Valentina; Sanfelici, Simona
A boundary element method for pricing barriers options
2014-01-01 Guardasoni, Chiara; Sanfelici, Simona
Firm Volatility Risk and Default Probability Estimation under Market Microstructure Effects, Working Paper
2014-01-01 Flavia, Barsotti; Maria Elvira, Mancino; Sanfelici, Simona
An application of nonparametric volatility estimators to option pricing
2014-01-01 R., Kenmoe; Sanfelici, Simona
Assessing the quality of volatility estimators via option pricing
2014-01-01 Sanfelici, Simona; Uboldi, Adamo
Measuring the leverage effect in a high-frequency trading framework
2015-01-01 Imma, Curato; Sanfelici, Simona
High frequency volatility of volatility estimation free from spot volatility estimates
2015-01-01 Imma, Curato; Maria Elvira, Mancino; Sanfelici, Simona
A Boundary Element Method applied to option pricing
2016-01-01 Guardasoni, Chiara; Sanfelici, Simona
Semi-analytical method for pricing barrier options with time-dependent parameters
2016-01-01 Guardasoni, Chiara; Sanfelici, Simona
A Boundary Element approach to barrier option pricing in Black-Scholes framework
2016-01-01 Guardasoni, Chiara; Sanfelici, Simona
FAST NUMERICAL PRICING OF BARRIER OPTIONS UNDER STOCHASTIC VOLATILITY AND JUMPS
2016-01-01 Guardasoni, Chiara; Sanfelici, Simona
Market Microstructure Effects on Firm Default Risk Evaluation
2016-01-01 Barsotti, Flavia; Sanfelici, Simona
Fourier-Malliavin Volatility Estimation. Theory and Practice
2017-01-01 Maria, Elvira Mancino; Maria Cristina, Recchioni; Sanfelici, Simona
Strumenti quantitativi per la gestione aziendale
2018-01-01 DE DONNO, Marzia; Modesti, Paola; Sanfelici, Simona
Nonparametric malliavin–monte carlo computation of hedging greeks
2020-01-01 Mancino, M. E.; Sanfelici, S.
Identifying financial instability conditions using high frequency data
2020-01-01 Mancino, M. E.; Sanfelici, S.
Real Estate Asset Management Companies’ Economies of Scale: Is It a Dream or Reality? The Italian Case
2020-01-01 Cacciamani, C.; Allodi, E.; Sanfelici, S.; Caliolo, M.; De Santis, P. P.; Della Marra, F.
A Mellin transform approach to barrier option pricing
2020-01-01 Guardasoni, Chiara; Rodrigo, Marianito R.; Sanfelici, Simona
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