Zobrazeno 1 - 10
of 45
pro vyhledávání: '"Immacolata Oliva"'
Autor:
Daniele Mancinelli, Immacolata Oliva
Publikováno v:
Risks, Vol 11, Iss 6, p 105 (2023)
In this paper, we propose a comparison among three portfolio insurance strategies, namely the constant proportion portfolio insurance, the time-invariant portfolio protection, and the exponential proportion portfolio insurance, via an in-depth perfor
Externí odkaz:
https://doaj.org/article/35a974285bbe45649d6bc4acd9cbbcae
Autor:
Immacolata Oliva, Ilaria Stefani
Publikováno v:
Annals of Finance.
This paper investigates a multivariate, dynamic, continuous-time optimal consumption and portfolio allocation problem when the investor faces recursive utilities. The economy we are considering is described through both diffusion and discontinuities
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6514ed50eb449011c9380e65f1bd5dad
https://doi.org/10.1007/s10436-023-00425-2
https://doi.org/10.1007/s10436-023-00425-2
Publikováno v:
Applied Stochastic Models in Business and Industry. 37:98-112
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::eb35930435d5b3556fa7bf76e008ad14
https://doi.org/10.1002/asmb.2547
https://doi.org/10.1002/asmb.2547
Autor:
Antonio Luciano Martire, Roberto De Marchis, Mario Marino, Paolo De Angelis, Immacolata Oliva
In this paper, we come up with an original trading strategy on Bitcoins. The methodology we propose is profit-oriented, and it is based on buying or selling the so-called Contracts for Difference, so that the investor’s gain, assessed at a given fu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cf2c1861dc45554c993bc11880daad5c
https://hdl.handle.net/11590/425844
https://hdl.handle.net/11590/425844
Autor:
DE ANGELIS, Paolo, Roberto De Marchis, Marino, Mario, Antonio Luciano Martire, Immacolata, Oliva
This paper deals with the ruin probability evaluation in a classical risk theory model, under different hypotheses about claims distribution. Our approach is totally innovative, and is based on the application of the Mean-Value Theorem to solve the a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::7ba91fdcc2cac744906f1fd6982df0df
https://hdl.handle.net/11590/425845
https://hdl.handle.net/11590/425845
In this paper we provide a new numerical method to solve nonlinear fractional differential and integral equations. The algorithm proposed is based on an application of the fractional Mean-Value Theorem, which allows to transform the initial problem i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::610dbdaa3461f81affdb73e4cc37f691
http://hdl.handle.net/11573/1416721
http://hdl.handle.net/11573/1416721
Autor:
Roberto Renò, Immacolata Oliva
Publikováno v:
Journal of Economic Dynamics and Control. 94:242-256
We study a continuous time optimal portfolio allocation problem with volatility and co-jump risk, allowing prices, variances and covariances to jump simultaneously. Differently from the traditional approach, we deviate from affine models by specifyin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5e5e81a88d95ab82fbc63547f2c91570
https://doi.org/10.1016/j.jedc.2018.05.004
https://doi.org/10.1016/j.jedc.2018.05.004
Publikováno v:
SSRN Electronic Journal.
In this paper we extend the existing literature on xVA along three directions. First, we enhance current BSDE-based xVA frameworks to include initial margin in presence of defaults. Next, we solve the consistency problem that arises when the front-of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ee99472e80140a38d63c6280a91b15a8
https://doi.org/10.2139/ssrn.3394928
https://doi.org/10.2139/ssrn.3394928
In this paper we extend the existing literature on xVA along three directions. First, we enhance current BSDE-based xVA frameworks to include initial margin in presence of defaults. Next, we solve the consistency problem that arises when the front-of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f9058c6c9125f7174f6f00d69da93385