Výsledky vyhledávání - "Simone Ligato"

Implementazione della Fuzzy Logic per la gestione ottimale del portafoglio: la modellizzazione dell’avversione al rischio di un investitore attraverso tecniche di softcomputing

Autor: Banca Carige, Ottavio Caligaris, Simone Ligato, Pier Giuseppe Giribone

Publikováno v: Risk Management Magazine. 3:41-50

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::9f6ae56e63fbc10c0510d423355eca3e
https://doi.org/10.47473/2020rmm0061

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Progettazione di una calibrazione robusta per l’albero stocastico di Hull-White mediante l’implementazione di euristiche globali di ricerca

Autor: Banca Carige, Pier Giuseppe Giribone, Simone Fioribello, Simone Ligato

Publikováno v: Risk Management Magazine. 2:18-30

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::8fb844dfe8b871a7503c9875f6980ac7
https://doi.org/10.47473/2020rmm0065

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Negative interest rates effects on option pricing: Back to basics?

Autor: Martina Mulas, Giacomo Burro, Simone Ligato, Pier Giuseppe Giribone, Francesca Querci

We provide the first formal investigation of the consequences of negative interest rates in the Eurozone on the pricing of interest rate options. Since the money market rates settled in negative territory and other market segments experienced negativ

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::22014c97bac8571c2f146a0bd2f28793
https://hdl.handle.net/11567/877186

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Flexible-forward pricing through Leisen–Reimer trees: Implementation and performance comparison with traditional Markov chains

Autor: Pier Giuseppe Giribone, Simone Ligato

This article aims to estimate the fair-value of flexi-forwards, popular financial instruments on currencies, through Leisen–Reimer trees. The first part of paper deals with Markov chains suitable for pricing American options: Cox–Ross–Rubinstei

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c802b0a555b7cdedaad4bfd23d66365b
https://hdl.handle.net/11567/1117615

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Combining robust dynamic neural networks with traditional technical indicators for generating mechanic trading signals

Autor: Francesco Penone, Pier Giuseppe Giribone, Simone Ligato

Publikováno v: International Journal of Financial Engineering. :1850037

Forecasting assets’ prices is the aim of each trader, although the trading approaches employed may vary a lot. The development of machine learning techniques has brought the opportunity to design mechanic trading systems based on dynamic artificial

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bdf521cee5052d7e42cc63fcaffb3d32
https://doi.org/10.1142/s2424786318500378

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The effects of negative interest rates on the estimation of option sensitivities: The impact of switching from a log-normal to a normal model

Autor: Martina Mulas, Simone Ligato, Pier Giuseppe Giribone

Publikováno v: International Journal of Financial Engineering. :1750015

The estimation of partial derivatives of the price in respect to the main financial variables, called Greeks, is an essential task for a trader in order to understand the sensitivity of a derivative to the input of pricing model. The study of the lev

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9695975211a3f3d81984b000a0b2c5a8
https://doi.org/10.1142/s2424786317500153

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