Zobrazeno 1 - 10
of 22
pro vyhledávání: '"Andrea Gheno"'
Autor:
Pierangelo Ciurlia, Andrea Gheno
Publikováno v:
Journal of Applied Mathematics, Vol 2012 (2012)
For its theoretical interest and strong impact on financial markets, option valuation is considered one of the cornerstones of contemporary mathematical finance. This paper specifically studies the valuation of exotic options with digital payoff and
Externí odkaz:
https://doaj.org/article/4cb4fb1182a54cb7ae5667bb91279e99
Autor:
Andrea Gheno, Stephen L. Lee
Publikováno v:
International Journal of Strategic Property Management, Vol 10, Iss 4 (2006)
Following the attack on the World Trade Center on 9/11 volatility of daily returns of the US stock market rose sharply. This increase in volatility may reflect fundamental changes in the economic determinants of prices such as expected earnings, inte
Externí odkaz:
https://doaj.org/article/5dfbee84fec54d9487c97ffd9359b18e
Publikováno v:
Rocciolo, F, Gheno, A & Brooks, C 2022, ' Explaining abnormal returns in stock markets : An alpha-neutral version of the CAPM ', International Review of Financial Analysis, vol. 82, 102143 . https://doi.org/10.1016/j.irfa.2022.102143
This paper develops a behavioural asset pricing model in which traders are not fully rational as is commonly assumed in the literature. The model derived is underpinned by the notion that agents’ preferences are affected by their degree of optimism
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::30327f11c84a9d0e3440cb97b3679ba2
https://hdl.handle.net/11590/421949
https://hdl.handle.net/11590/421949
Autor:
Alessandra Carleo, Marisa Cenci, Francesco Cesarone, Alessandra Congedo, Massimiliano Corradini, Andrea Gheno, Lorenzo Lampariello, Carlo Mottura
La pandemia dovuta alla diffusione del virus SARS-CoV-2, responsabile della patologia Covid-19, ha indotto numerosi governi, tra cui quello italiano, al blocco totale di numerose attività produttive considerate non essenziali (uno degli aspetti del
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______3668::b23fd7ccdad4445ad105dc5cd6bb648a
https://hdl.handle.net/11590/372919
https://hdl.handle.net/11590/372919
Publikováno v:
Decisions in Economics and Finance. 40:115-143
Expected utility theory is nowadays accepted as the standard for rational choice among risky assets. However, as Harry Markowitz recently pointed out, the problem of how the maximum expected utility along the risk–return portfolio efficient frontie
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1611905c03e9b4e29544b738aa511c57
https://doi.org/10.1007/s10203-017-0201-0
https://doi.org/10.1007/s10203-017-0201-0
In this paper we introduce a new, analytically tractable framework for decision-making under risk in which psychological characteristics related to the degree of optimism or pessimism of the decision-maker are considered. The framework we propose, wh
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6f7613560ecb4a9cf03a2defd91b0b6b
https://hdl.handle.net/11590/361319
https://hdl.handle.net/11590/361319
Publikováno v:
SSRN Electronic Journal.
In this paper we introduce a new, analytically tractable framework for decision-making under risk in which psychological characteristics related to the degree of optimism or pessimism of the decision-maker are considered. The framework we propose, wh
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e17a1be9d6934439b727723c05e348fc
https://doi.org/10.2139/ssrn.2990659
https://doi.org/10.2139/ssrn.2990659
Publikováno v:
Applied Mathematics and Computation. 226:606-614
In this paper a novel, fast and accurate derivatives pricing method based on the application of the Chapman-Kolmogorov equation is introduced. It has an intuitive lattice representation and is able to price a wide range of derivatives. Comparisons wi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::383c8b49e72abb61d2121c72bdefa768
https://doi.org/10.1016/j.amc.2013.11.001
https://doi.org/10.1016/j.amc.2013.11.001