Zobrazeno 1 - 10
of 42
pro vyhledávání: '"Roberto Baviera"'
Autor:
Michele Azzone, Roberto Baviera
Publikováno v:
Quantitative Finance. 22:501-518
We introduce a simple model for equity index derivatives. The model generalizes well known L\`evy Normal Tempered Stable processes (e.g. NIG and VG) with time dependent parameters. It accurately fits Equity index implied volatility surfaces in the wh
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4bdbe7bacf34edfe33960e9baa940d8e
https://doi.org/10.1080/14697688.2021.1983200
https://doi.org/10.1080/14697688.2021.1983200
Autor:
Roberto Baviera
Publikováno v:
Mathematical and Statistical Methods for Actuarial Sciences and Finance ISBN: 9783030996376
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::49f5fbc6c593afad7d1d653d24bdb416
https://doi.org/10.1007/978-3-030-99638-3_13
https://doi.org/10.1007/978-3-030-99638-3_13
Autor:
Michele Azzone, Roberto Baviera
Empirical studies have emphasized that the equity implied volatility is characterized by a negative skew inversely proportional to the square root of the time-to-maturity. We examine the short-time-to-maturity behavior of the implied volatility smile
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ac31467c9766d7829e2b7729e066c94a
http://arxiv.org/abs/2108.02447
http://arxiv.org/abs/2108.02447
Autor:
Roberto Baviera, Giuseppe Messuti
Probabilistic forecasting of power consumption in a middle-term horizon (months to a year) is a main challenge in the energy sector. It plays a key role in planning future generation plants and transmission grid. We propose a new model that incorpora
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2a273cd0acb6ad58f220c4742158f56b
http://arxiv.org/abs/2005.13005
http://arxiv.org/abs/2005.13005
Autor:
Roberto Baviera
Credit capital requirements in Internal Rating Based approaches require the calibration of two key parameters: the probability of default and the loss-given-default. This letter considers the uncertainty about these two parameters and models this unc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::65500d9b6a9d4eb0853349f816363706
Autor:
Roberto Baviera, Michele Azzone
This study introduces a new technique to recover the implicit discount factor in the derivative market using only European put and call prices: this discount is grounded in actual transactions in active markets. Moreover, this study identifies the im
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c31f0b6e0ab414aa23e0f1644d1f57e1
http://hdl.handle.net/11311/1164759
http://hdl.handle.net/11311/1164759
Autor:
Roberto Baviera, Michele Azzone
Middle-term horizon (months to a year) power consumption prediction is a major challenge in the energy sector, particularly when probabilistic forecasting is considered. We propose a new modeling approach that incorporates trend, seasonality and weat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::df59058cb4cbf0a42d5ea11faaa313f1
Publikováno v:
The European Journal of Finance. 24:1253-1271
Analysing the database made available by the European Central Bank and by the European Banking Authority, we evaluate the Comprehensive Assessment (CA) (Asset Quality Review and Stress Test (ST)) o...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::67742c501dcc351f1c0702b801289848
https://doi.org/10.1080/1351847x.2017.1414703
https://doi.org/10.1080/1351847x.2017.1414703
We propose an option approach for pricing bond illiquidity that is reminiscent of the celebrated work of Longstaff (1995) on the non-marketability of some non-dividend-paying shares in IPOs. This approach describes a quite common situation in the fix
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::665437dc9509df19d3d4622f2146ab9a
Autor:
Giulia Bianchi, Roberto Baviera
In this paper we consider the worst-case model risk approach described in Glasserman and Xu (2014). Portfolio selection with model risk can be a challenging operational research problem. In particular, it presents an additional optimisation compared
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bebc6a40c5fcd94b83057e3a97ffa702