Zobrazeno 1 - 10
of 54
pro vyhledávání: '"Rossella Agliardi"'
Autor:
Elettra Agliardi, Rossella Agliardi
Publikováno v:
International Journal of Financial Studies, Vol 11, Iss 1, p 51 (2023)
A new explicit form is provided for the solution of optimal stopping problems involving a multidimensional geometric Brownian motion. A free-boundary value approach is adopted and the value function is obtained via fundamental solution methods. There
Externí odkaz:
https://doaj.org/article/a8f3375896d74a8b8de802bd4825c14a
Autor:
Rossella Agliardi
Publikováno v:
Financial Innovation, Vol 4, Iss 1, Pp 1-13 (2018)
Abstract This study explored the effects of ambiguity on the calculation of Value-at-Risk (VaR) using a mathematical model based on the theory of Choquet-Brownian processes. It was found that while a moderate degree of ambiguity aversion yields a hig
Externí odkaz:
https://doaj.org/article/0f60411978a54d6ab69813eac7a77c3e
Autor:
Rossella Agliardi
Publikováno v:
Journal of Sustainable Finance & Investment. 12:1330-1345
A theoretical framework is provided for the innovative tool of green securitisation. We test the effects of this strategy on financing institutions’ exposure to climate risk and their alignment with global climate targets. We also estimate bondhold
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cbd053f4cc6455b36b478715884786db
https://doi.org/10.1080/20430795.2021.1874214
https://doi.org/10.1080/20430795.2021.1874214
Autor:
Elettra Agliardi, Rossella Agliardi
Publikováno v:
Environmental & Resource Economics
A novel structural model is developed to understand the determinants of green bond prices and the so-called ‘greenium’, that is, the premium that bondholders are willing to pay to invest in green securities rather than conventional ones. The pres
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e2a0d7eb234d1c15ec0e075cf84e9ee2
https://pubmed.ncbi.nlm.nih.gov/34366567
https://pubmed.ncbi.nlm.nih.gov/34366567
Autor:
Rossella Agliardi
Publikováno v:
EIGHTH INTERNATIONAL CONFERENCE NEW TRENDS IN THE APPLICATIONS OF DIFFERENTIAL EQUATIONS IN SCIENCES (NTADES2021).
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::28f24c65257a6fe95ac8deccf8af1fea
https://doi.org/10.1063/5.0087106
https://doi.org/10.1063/5.0087106
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5a7717a699e6b289d56c9d537c18a320
https://doi.org/10.2139/ssrn.4127030
https://doi.org/10.2139/ssrn.4127030
Autor:
Elettra Agliardi, Rossella Agliardi
We develop a model for defaultable bonds incorporating both uncertainty about corporate earnings and uncertainty due to climate-related risks, which determine downward jumps in the firm value. In particular, we study how bond pricing is affected by t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a83fc3cd850710d774c795facf4fb110
http://hdl.handle.net/11585/822366
http://hdl.handle.net/11585/822366
Autor:
Rossella Agliardi, Dimitrios Zormpas
Billette de Villemeur et al. [Billette de Villemeur, E., Ruble, R. and Versaevel, B. [2014] Investment timing and vertical relationships, Int. J. Industrial Organization 33, 110–123] discuss the case of a firm undertaking a project in order to serv
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7726a65ace4be81afb6d8b2b99273e6c
https://hdl.handle.net/11585/817484
https://hdl.handle.net/11585/817484
Autor:
Rossella Agliardi
We revisit the seminal Merton’s work on optimal portfolio-consumption problems in a more general framework where exact solutions are not available. We provide exact solutions in a few special cases which were not included in the original setting.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::de7f174484bf56ab803aa9db1756a078
http://hdl.handle.net/11585/785403
http://hdl.handle.net/11585/785403
Autor:
Rossella Agliardi
We present a survey of various applications of pseudodifferential equations to finance. The use of pseudodifferential operators in this field is related to the adoption of Levy processes to model the reference asset. An extensive presentation of the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c5c503b48b4bd3d156d7812bf0e90cea
http://hdl.handle.net/11585/701604
http://hdl.handle.net/11585/701604