Zobrazeno 1 - 10
of 60
pro vyhledávání: '"Simone Farinelli"'
Autor:
Simone Farinelli
Publikováno v:
Symmetry, Vol 16, Iss 10, p 1291 (2024)
The Dirac-Dolbeault operator for a compact Kähler manifold is a special case of Dirac operator. The Green function for the Dirac Laplacian over a Riemannian manifold with boundary allows the expression of the values of the sections of the Dirac bund
Externí odkaz:
https://doaj.org/article/bea118aa10a345f09c13f15c781f61d2
Autor:
Simone Farinelli, Hideyuki Takada
Publikováno v:
Symmetry, Vol 14, Iss 7, p 1330 (2022)
We apply Geometric Arbitrage Theory (GAT) to obtain results in mathematical finance for credit markets, which do not need stochastic differential geometry in their formulation. The remarkable aspect of the GAT is the gauge symmetry, which can be tran
Externí odkaz:
https://doaj.org/article/4df86b9f31704b86858092cfda301c20
Autor:
Simone Farinelli, Hideyuki Takada
Publikováno v:
Axioms, Vol 10, Iss 4, p 242 (2021)
Utilizing gauge symmetries, the Geometric Arbitrage Theory reformulates any asset model, allowing for arbitrage by means of a stochastic principal fibre bundle with a connection whose curvature measures the “instantaneous arbitrage capability”. T
Externí odkaz:
https://doaj.org/article/bf1300e1b349457aa01a959bc1271405
Autor:
Simone Farinelli, Hideyuki Takada
Publikováno v:
Quantitative Finance. 22:2155-2170
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ecc751699f3b3d4fc4701e655630f255
https://doi.org/10.1080/14697688.2022.2117075
https://doi.org/10.1080/14697688.2022.2117075
Publikováno v:
Applied Mathematical Sciences. 11:1397-1404
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ac36ecbdc0af69bf6f167afa47ff65d6
https://doi.org/10.12988/ams.2017.73111
https://doi.org/10.12988/ams.2017.73111
Autor:
Simone Farinelli
Publikováno v:
The Journal of Credit Risk. 12:1-41
A framework which consistently and fully integrates market, credit and country transfer risks of a general portfolio of financial assets in a multi-period setup is developed. An appropriate definition of exposure, loss-given-defaults and loss-given-t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::78f6601eaa83d36843e5b66142ea649b
https://doi.org/10.21314/jcr.2016.205
https://doi.org/10.21314/jcr.2016.205
Autor:
Hideyuki Takada, Simone Farinelli
Publikováno v:
SSRN Electronic Journal.
Geometric Arbitrage Theory reformulates a generic asset model possibly allowing for arbitrage by packaging all assets and their forwards dynamics into a stochastic principal fibre bundle, with a connection whose parallel transport encodes discounting
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::831cf44c2d7751ec2e7fe9958b89f3d0
https://doi.org/10.2139/ssrn.3404437
https://doi.org/10.2139/ssrn.3404437
Autor:
Luisa Tibiletti, Simone Farinelli
Publikováno v:
Operations Research Proceedings ISBN: 9783319429014
OR
OR
Hydro storage system optimization is becoming one of the most challenging task in Energy Finance. Following the Blomvall and Lindberg (2002) interior point model, we set up a stochastic multiperiod optimization procedure by means of a “bushy” rec
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::38ee5f986bb90106b6883619c2be4463
http://hdl.handle.net/2318/1628988
http://hdl.handle.net/2318/1628988
Autor:
Simone Farinelli, Hideyuki Takada
Publikováno v:
SSRN Electronic Journal.
We apply Geometric Arbitrage Theory to obtain results in Mathematical Finance, which do not need stochastic differential geometry in their formulation. First, for a generic market dynamics given by a multidimensional It\^o's process we specify and pr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::305c91a443634fa8ebe25c088b614b9f
https://doi.org/10.2139/ssrn.2887425
https://doi.org/10.2139/ssrn.2887425