Luca Barzanti
Personal Details
First Name: | Luca |
Middle Name: | |
Last Name: | Barzanti |
Suffix: | |
RePEc Short-ID: | pba733 |
| |
Affiliation
(in no particular order)
Dipartimento di Matematica per le Scienze Economiche e Sociali "MatemateS" (Department of Mathematics for Economics and Social Sciences)
Alma Mater Studiorum - Università di Bologna (University of Bologna)
Bologna, Italyhttp://www.matemates.unibo.it/
RePEc:edi:dmbolit (more details at EDIRC)
Facoltà di Economia (Faculty of Economics)
Alma Mater Studiorum - Università di Bologna (University of Bologna)
Forlì, Italyhttp://www.ecofo.unibo.it/
RePEc:edi:ffbolit (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Luca Barzanti & Corrado Corradi & Martina Nardon, 2006. "On the efficient application of the repeated Richardson extrapolation technique to option pricing," Working Papers 147, Department of Applied Mathematics, Università Ca' Foscari Venezia.
- Barzanti, Luca & Pieressa, Luca, 2006. "Soluzioni tecnologiche per la gestione del Fund Raising: un'analisi comparativa," AICCON Working Papers 30-2006, Associazione Italiana per la Cultura della Cooperazione e del Non Profit.
Articles
- Luca Barzanti & Corrado Corradi, 2005. "On the computation of upper approximations to ultimate ruin probabilities in case of DFR claimsize distributions," Statistica, Department of Statistics, University of Bologna, vol. 65(2), pages 219-225.
- Barzanti, Luca & Corradi, Corrado, 1998. "A note on interest rate term structure estimation using tension splines," Insurance: Mathematics and Economics, Elsevier, vol. 22(2), pages 139-143, June.
- Barzanti, Luca & Corradi, Corrado, 1998. "Erratum to: "A note on interest rate term structure estimation using tension splines" [Insurance: Mathematics and Economics 22 (1998) 139-143]," Insurance: Mathematics and Economics, Elsevier, vol. 23(2), pages 179-180, November.
- Luca Barzanti & Corrado Corradi, 1997. "Monotonicity preserving regression techniques for interest rate term structure estimation: A note," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 20(2), pages 125-131, September.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
-
Sorry, no citations of working papers recorded.
Articles
- Barzanti, Luca & Corradi, Corrado, 1998.
"A note on interest rate term structure estimation using tension splines,"
Insurance: Mathematics and Economics, Elsevier, vol. 22(2), pages 139-143, June.
Cited by:
- Rafael Barros de Rezende, 2011.
"Giving Flexibility to the Nelson-Siegel Class of Term Structure Models,"
Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(1), pages 27-49.
- Rafael Barros de Rezende, 2008. "Giving flexibility to the Nelso-Siegel class of term structure models," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807211322560, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Laurini, Márcio Poletti & Mauad, Roberto Baltieri, 2012. "Non-Parametric Pricing of Interest Rates Options," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 32(2), April.
- Márcio Laurini, 2012.
"Dynamic Functional Data Analysis with Nonparametric State Space Models,"
IBMEC RJ Economics Discussion Papers
2012-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
- M�rcio Poletti Laurini, 2014. "Dynamic functional data analysis with non-parametric state space models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(1), pages 142-163, January.
- Areski Cousin & Hassan Maatouk & Didier Rulli`ere, 2016.
"Kriging of financial term-structures,"
Papers
1604.02237, arXiv.org.
- Cousin, Areski & Maatouk, Hassan & Rullière, Didier, 2016. "Kriging of financial term-structures," European Journal of Operational Research, Elsevier, vol. 255(2), pages 631-648.
- Areski Cousin & Hassan Maatouk & Didier Rullière, 2016. "Kriging of financial term-structures," Post-Print hal-01206388, HAL.
- Fengler, Matthias R. & Hin, Lin-Yee, 2014.
"A simple and general approach to fitting the discount curve under no-arbitrage constraints,"
Economics Working Paper Series
1423, University of St. Gallen, School of Economics and Political Science.
- Fengler, Matthias R. & Hin, Lin-Yee, 2015. "A simple and general approach to fitting the discount curve under no-arbitrage constraints," Finance Research Letters, Elsevier, vol. 15(C), pages 78-84.
- Marcio Laurini & Alberto Ohashi, 2014.
"A Noisy Principal Component Analysis for Forward Rate Curves,"
Papers
1408.6279, arXiv.org.
- Laurini, Márcio Poletti & Ohashi, Alberto, 2015. "A noisy principal component analysis for forward rate curves," European Journal of Operational Research, Elsevier, vol. 246(1), pages 140-153.
- de Kort, J. & Vellekoop, M.H., 2016. "Term structure extrapolation and asymptotic forward rates," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 107-119.
- Leif Andersen, 2007. "Discount curve construction with tension splines," Review of Derivatives Research, Springer, vol. 10(3), pages 227-267, December.
- Eduardo Mineo & Airlane Pereira Alencar & Marcelo Moura & Antonio Elias Fabris, 2020. "Forecasting the Term Structure of Interest Rates with Dynamic Constrained Smoothing B-Splines," JRFM, MDPI, vol. 13(4), pages 1-14, April.
- Laurini, Márcio P. & Moura, Marcelo, 2007.
"Constrained Smoothing Splines for the Term Structure of Interest Rates,"
Insper Working Papers
wpe_100, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Poletti Laurini, Márcio & Moura, Marcelo, 2010. "Constrained smoothing B-splines for the term structure of interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 339-350, April.
- Damir Filipović & Sander Willems, 2016. "Exact Smooth Term Structure Estimation," Swiss Finance Institute Research Paper Series 16-38, Swiss Finance Institute.
- Rafael Barros de Rezende, 2011.
"Giving Flexibility to the Nelson-Siegel Class of Term Structure Models,"
Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(1), pages 27-49.
- Barzanti, Luca & Corradi, Corrado, 1998.
"Erratum to: "A note on interest rate term structure estimation using tension splines" [Insurance: Mathematics and Economics 22 (1998) 139-143],"
Insurance: Mathematics and Economics, Elsevier, vol. 23(2), pages 179-180, November.
Cited by:
- Márcio Laurini, 2012.
"Dynamic Functional Data Analysis with Nonparametric State Space Models,"
IBMEC RJ Economics Discussion Papers
2012-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
- M�rcio Poletti Laurini, 2014. "Dynamic functional data analysis with non-parametric state space models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(1), pages 142-163, January.
- Marcio Laurini & Alberto Ohashi, 2014.
"A Noisy Principal Component Analysis for Forward Rate Curves,"
Papers
1408.6279, arXiv.org.
- Laurini, Márcio Poletti & Ohashi, Alberto, 2015. "A noisy principal component analysis for forward rate curves," European Journal of Operational Research, Elsevier, vol. 246(1), pages 140-153.
- Laurini, Márcio P. & Moura, Marcelo, 2007.
"Constrained Smoothing Splines for the Term Structure of Interest Rates,"
Insper Working Papers
wpe_100, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Poletti Laurini, Márcio & Moura, Marcelo, 2010. "Constrained smoothing B-splines for the term structure of interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 339-350, April.
- Márcio Laurini, 2012.
"Dynamic Functional Data Analysis with Nonparametric State Space Models,"
IBMEC RJ Economics Discussion Papers
2012-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
More information
Research fields, statistics, top rankings, if available.Statistics
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Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-CFN: Corporate Finance (1) 2007-01-14
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