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Flavia Barsotti

Personal Details

First Name:Flavia
Middle Name:
Last Name:Barsotti
Suffix:
RePEc Short-ID:pba819
[This author has chosen not to make the email address public]

Affiliation

Dipartimento di Matematica per le Decisioni
Scuola di Economia e Management
Università degli Studi di Firenze

Firenze, Italy
http://www.dmd.unifi.it/
RePEc:edi:dmfirit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Jiro Akahori & Flavia Barsotti & Yuri Imamura, 2018. "Asymptotic Static Hedge via Symmetrization," Papers 1801.04045, arXiv.org.
  2. Jiro Akahori & Flavia Barsotti & Yuri Imamura, 2017. "The Value of Timing Risk," Papers 1701.05695, arXiv.org.
  3. Flavia Barsotti & Xavier Milhaud & Yahia Salhi, 2016. "Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors," Post-Print hal-01282601, HAL.
  4. Flavia Barsotti & Simona Sanfelici, 2012. "Microstructure effect on firm’s volatility risk," Working Papers - Mathematical Economics 2012-05, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  5. Flavia Barsotti, 2012. "Optimal Capital Structure with Endogenous Default and Volatility Risk," Working Papers - Mathematical Economics 2012-02, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  6. Flavia Barsotti & Maria Elvira Mancino & Monique Pontier, 2011. "Corporate Debt Value with Switching Tax Benefits and Payouts," Working Papers - Mathematical Economics 2011-10, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  7. Flavia Barsotti & Maria Elvira Mancino & Monique Pontier, 2010. "Debt Value and Capital Structure with Firm's Net Cash Payouts," Working Papers - Mathematical Economics 2010-10, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.

Articles

  1. J. Akahori & F. Barsotti & Y. Imamura, 2023. "Hedging error as generalized timing risk," Quantitative Finance, Taylor & Francis Journals, vol. 23(4), pages 693-703, April.
  2. Flavia Barsotti & Simona Sanfelici, 2016. "Market Microstructure Effects on Firm Default Risk Evaluation," Econometrics, MDPI, vol. 4(3), pages 1-31, July.
  3. Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia, 2016. "Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 317-331.
  4. Barsotti, Flavia & Viva, Luca Del, 2015. "Performance and determinants of the Merton structural model: Evidence from hedging coefficients," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 95-111.
  5. Barsotti, Flavia & De Castro, Yohann & Espinasse, Thibault & Rochet, Paul, 2014. "Estimating the transition matrix of a Markov chain observed at random times," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 98-105.
  6. Flavia Barsotti & Maria Elvira Mancino & Monique Pontier, 2012. "The Role of a Firm’s Net Cash Payouts in Leland’s (1994) Model," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 41(3), pages 115-144, November.

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

  1. Jiro Akahori & Flavia Barsotti & Yuri Imamura, 2017. "The Value of Timing Risk," Papers 1701.05695, arXiv.org.

    Cited by:

    1. Jiro Akahori & Flavia Barsotti & Yuri Imamura, 2018. "Asymptotic Static Hedge via Symmetrization," Papers 1801.04045, arXiv.org.

  2. Flavia Barsotti & Xavier Milhaud & Yahia Salhi, 2016. "Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors," Post-Print hal-01282601, HAL.

    Cited by:

    1. Zhao, Yixing & Mamon, Rogemar & Gao, Huan, 2018. "A two-decrement model for the valuation and risk measurement of a guaranteed annuity option," Econometrics and Statistics, Elsevier, vol. 8(C), pages 231-249.
    2. Mark Kiermayer, 2021. "Modeling surrender risk in life insurance: theoretical and experimental insight," Papers 2101.11590, arXiv.org, revised Aug 2021.
    3. Berdin, Elia & Gründl, Helmut & Kubitza, Christian, 2017. "Rising interest rates, lapse risk, and the stability of life insurers," ICIR Working Paper Series 29/17, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    4. Hainaut, Donatien, 2021. "Moment generating function of non-Markov self-excited claims processes," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 406-424.
    5. Hainaut, Donatien, 2021. "Moment generating function of non-Markov self-excited claims processes," LIDAM Discussion Papers ISBA 2021028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    6. Cheng, Chunli & Hilpert, Christian & Miri Lavasani, Aidin & Schaefer, Mick, 2023. "Surrender contagion in life insurance," European Journal of Operational Research, Elsevier, vol. 305(3), pages 1465-1479.
    7. Debbie Kusch Falden & Anna Kamille Nyegaard, 2021. "Retrospective Reserves and Bonus with Policyholder Behavior," Risks, MDPI, vol. 9(1), pages 1-28, January.
    8. Francesca Biagini & Tobias Huber & Johannes G. Jaspersen & Andrea Mazzon, 2021. "Estimating extreme cancellation rates in life insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(4), pages 971-1000, December.
    9. Mrad, Fatma & Hamdi, Haykel & Naoui, Kamel & Abid, Ilyes, 2023. "The GMWB guarantee embedded in Life Insurance Contracts: Fair Value Pricing Problem," Finance Research Letters, Elsevier, vol. 51(C).

  3. Flavia Barsotti, 2012. "Optimal Capital Structure with Endogenous Default and Volatility Risk," Working Papers - Mathematical Economics 2012-02, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.

    Cited by:

    1. Lotfaliei, Babak, 2018. "The variance risk premium and capital structure," ESRB Working Paper Series 70, European Systemic Risk Board.

Articles

  1. J. Akahori & F. Barsotti & Y. Imamura, 2023. "Hedging error as generalized timing risk," Quantitative Finance, Taylor & Francis Journals, vol. 23(4), pages 693-703, April.

    Cited by:

    1. Agni Rakshit & Gautam Bandyopadhyay & Tanujit Chakraborty, 2024. "Hedge Error Analysis In Black Scholes Option Pricing Model: An Asymptotic Approach Towards Finite Difference," Papers 2405.02919, arXiv.org.

  2. Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia, 2016. "Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 317-331.
    See citations under working paper version above.
  3. Barsotti, Flavia & Viva, Luca Del, 2015. "Performance and determinants of the Merton structural model: Evidence from hedging coefficients," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 95-111.

    Cited by:

    1. Liang, Jin & Zhao, Yuejuan & Zhang, Xudan, 2016. "Utility indifference valuation of corporate bond with credit rating migration by structure approach," Economic Modelling, Elsevier, vol. 54(C), pages 339-346.

  4. Flavia Barsotti & Maria Elvira Mancino & Monique Pontier, 2012. "The Role of a Firm’s Net Cash Payouts in Leland’s (1994) Model," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 41(3), pages 115-144, November.

    Cited by:

    1. de La Bruslerie, Hubert & Gueguen, Simon, 2021. "Creditors’ holdup, releveraging and the setting of private appropriation in a control contract between shareholders," International Review of Law and Economics, Elsevier, vol. 68(C).

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 6 papers 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.
  1. NEP-RMG: Risk Management (3) 2012-10-13 2017-01-29 2018-01-22
  2. NEP-BEC: Business Economics (2) 2010-09-11 2012-02-01
  3. NEP-ACC: Accounting and Auditing (1) 2012-01-18
  4. NEP-BAN: Banking (1) 2010-09-11
  5. NEP-CFN: Corporate Finance (1) 2012-01-18
  6. NEP-ECM: Econometrics (1) 2012-10-13
  7. NEP-MST: Market Microstructure (1) 2012-10-13

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