Sfoglia per Autore
Non linear feedback effects of hedging strategies
2004 Mancino, M.; S., Ogawa
A numerical study of the smile effect in implied volatilities induced by a nonlinear feedback model
2004 Mancino, M; Ogawa, S.; Sanfelici, S.
Derivation of a noncausal insider trading equilibrium model of asset pricing
2004 Mancino, M.; S., Ogawa
Harmonic analysis methods for nonparametric estimation of volatility: theory and applications
2005 E., Barucci; P., Malliavin; Mancino, M.
Dynamic principal component analysis of multivariate volatility via Fourier analysis
2005 Mancino, MARIA ELVIRA; Reno', R.
Harmonic analysis methods for nonparametic estimation of votality : theory and applications
2006 Mancino, Maria Elvira
A non-parametric calibration of the HJM geometry : an application of Itô calculus to financial statistics
2007 Malliavin, P; Mancino, MARIA ELVIRA; Recchioni, M. C.
Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
2008 Mancino, Maria Elvira; Sanfelici, S.
Optimal strategies in a risky-debt context
2009 D., Dorobantu; Mancino, MARIA ELVIRA; M., Pontier
A Fourier transform method for nonparametric estimation of multivariate volatility
2009 Mancino, Maria Elvira; Malliavin, Paul
Computation of volatility in stochasticvolatility models with high frequency data
2010 Mancino, M.; Barucci, E.
Estimating covariance via Fourier methodin the presence of asynchronous trading and microstructure noise
2011 Mancino, Maria Elvira; Sanfelici, Simona
Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology
2011 Mancino, M.; Sanfelici, S.
Fourier Estimation Method Applied to Forward Interest Rates
2012 Mancino, M. E.; Liu, N-L.
The role of firm's net cash payouts in Leland's (1994) model
2012 Mancino, MARIA ELVIRA; F., Barsotti; M., Pontier
Estimation of quarticity with high frequency data
2012 Mancino, MARIA ELVIRA; S., Sanfelici
Multivariate volatility estimation with high frequency data usingFourier method
2012 Mancino, M. E.; Sanfelici, S.
Capital Structure with Firm's Net Cash Payout
2012 Mancino, MARIA ELVIRA; Barsotti, F.; Pontier, M.
Fourier volatility forecasting with high frequency data and microstructure noise
2012 Mancino, MARIA ELVIRA; E., Barucci; D., Magno
Boundary Spot Volatility Estimation using the Laplace Tran sform
2013 Mancino, MARIA ELVIRA; Imma, Curato; Maria Cristina, Recchioni
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