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Sabrina Mulinacci

Personal Details

First Name:Sabrina
Middle Name:
Last Name:Mulinacci
Suffix:
RePEc Short-ID:pmu872
[This author has chosen not to make the email address public]

Affiliation

Dipartimento di Scienze Statistiche "Paolo Fortunati"
Alma Mater Studiorum - Università di Bologna

Bologna, Italy
http://www.stat.unibo.it/
RePEc:edi:dsbolit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Sabrina Mulinacci, 2017. "A systemic shock model for too big to fail financial institutions," Papers 1704.02160, arXiv.org, revised Apr 2017.
  2. Umberto Cherubini & Fabio Gobbi & Sabrina Mulinacci & Silvia Romagnoli, 2016. "Granger Independent Martingale Processes," Papers 1607.01519, arXiv.org.
  3. Sabrina Mulinacci, 2015. "Archimedean-based Marshall-Olkin Distributions and Related Copula Functions," Papers 1502.01912, arXiv.org.
  4. Umberto Cherubini & Sabrina Mulinacci, 2015. "Systemic Risk with Exchangeable Contagion: Application to the European Banking System," Papers 1502.01918, arXiv.org.

Articles

  1. Fabio Gobbi & Sabrina Mulinacci, 2023. "Time-varying dependence and currency tail risk during the Covid-19 pandemic," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 40(5), pages 839-858, July.
  2. Kolev, Nikolai & Mulinacci, Sabrina, 2022. "New characterizations of bivariate discrete Schur-constant models," Statistics & Probability Letters, Elsevier, vol. 180(C).
  3. Fabio Gobbi & Sabrina Mulinacci, 2022. "State-dependent Autoregressive Models with p Lags: Properties, Estimation and Forecasting," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 14(1), pages 81-108, March.
  4. Sabrina Mulinacci, 2022. "A Marshall-Olkin Type Multivariate Model with Underlying Dependent Shocks," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 2455-2484, December.
  5. Gobbi, Fabio & Kolev, Nikolai & Mulinacci, Sabrina, 2021. "Ryu-type extended Marshall-Olkin model with implicit shocks and joint life insurance applications," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 342-358.
  6. Umberto Cherubini & Sabrina Mulinacci, 2021. "Hierarchical Archimedean Dependence in Common Shock Models," Methodology and Computing in Applied Probability, Springer, vol. 23(1), pages 143-163, March.
  7. Fabio Gobbi & Sabrina Mulinacci, 2020. "Mixing and moments properties of a non-stationary copula-based Markov process," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 49(18), pages 4559-4570, September.
  8. Gobbi, Fabio & Kolev, Nikolai & Mulinacci, Sabrina, 2019. "Joint Life Insurance Pricing Using Extended Marshall–Olkin Models," ASTIN Bulletin, Cambridge University Press, vol. 49(2), pages 409-432, May.
  9. Sabrina Mulinacci, 2018. "Archimedean-based Marshall-Olkin Distributions and Related Dependence Structures," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 205-236, March.
  10. Sabrina Mulinacci, 2011. "The efficient hedging problem for American options," Finance and Stochastics, Springer, vol. 15(2), pages 365-397, June.
  11. Cherubini, Umberto & Mulinacci, Sabrina & Romagnoli, Silvia, 2011. "A copula-based model of speculative price dynamics in discrete time," Journal of Multivariate Analysis, Elsevier, vol. 102(6), pages 1047-1063, July.
  12. Cherubini, Umberto & Mulinacci, Sabrina & Romagnoli, Silvia, 2011. "On the distribution of the (un)bounded sum of random variables," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 56-63, January.
  13. Cherubini Umberto & Mulinacci Sabrina & Romagnoli Silvia, 2008. "A lattice model with incomplete information: A credit risk application," Statistics & Risk Modeling, De Gruyter, vol. 26(2), pages 75-88, March.
  14. Maurizio Pratelli & Sabrina Mulinacci, 1998. "Functional convergence of Snell envelopes: Applications to American options approximations," Finance and Stochastics, Springer, vol. 2(3), pages 311-327.
  15. Mulinacci, Sabrina, 1996. "An approximation of American option prices in a jump-diffusion model," Stochastic Processes and their Applications, Elsevier, vol. 62(1), pages 1-17, March.

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. Umberto Cherubini & Sabrina Mulinacci, 2015. "Systemic Risk with Exchangeable Contagion: Application to the European Banking System," Papers 1502.01918, arXiv.org.

    Cited by:

    1. Okhrin, Ostap & Ristig, Alexander & Sheen, Jeffrey R. & Trück, Stefan, 2015. "Conditional systemic risk with penalized copula," SFB 649 Discussion Papers 2015-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Damjana Kokol Bukovv{s}ek & Tomav{z} Kov{s}ir & Blav{z} Mojv{s}kerc & Matjav{z} Omladiv{c}, 2018. "Asymmetric linkages: maxmin vs. reflected maxmin copulas," Papers 1808.07737, arXiv.org, revised Jul 2019.
    3. Sabrina Mulinacci, 2018. "Archimedean-based Marshall-Olkin Distributions and Related Dependence Structures," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 205-236, March.
    4. Damjana Kokol Bukovv{s}ek & Tomav{z} Kov{s}ir & Blav{z} Mojv{s}kerc & Matjav{z} Omladiv{c}, 2018. "Non-exchangeability of copulas arising from shock models," Papers 1808.09698, arXiv.org, revised Jul 2019.

Articles

  1. Gobbi, Fabio & Kolev, Nikolai & Mulinacci, Sabrina, 2021. "Ryu-type extended Marshall-Olkin model with implicit shocks and joint life insurance applications," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 342-358.

    Cited by:

    1. Escobar-Bach, Mikael & Helali, Salima, 2024. "Dependent censoring with simultaneous death times based on the Generalized Marshall–Olkin model," Journal of Multivariate Analysis, Elsevier, vol. 204(C).

  2. Gobbi, Fabio & Kolev, Nikolai & Mulinacci, Sabrina, 2019. "Joint Life Insurance Pricing Using Extended Marshall–Olkin Models," ASTIN Bulletin, Cambridge University Press, vol. 49(2), pages 409-432, May.

    Cited by:

    1. Sabrina Mulinacci, 2022. "A Marshall-Olkin Type Multivariate Model with Underlying Dependent Shocks," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 2455-2484, December.
    2. Khouzeima Moutanabbir & Hassan Abdelrahman, 2022. "Bivariate Sarmanov Phase-Type Distributions for Joint Lifetimes Modeling," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1093-1118, June.
    3. Albrecher Hansjörg & Bladt Martin & Müller Alaric J. A., 2023. "Joint lifetime modeling with matrix distributions," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-22, January.
    4. Gobbi, Fabio & Kolev, Nikolai & Mulinacci, Sabrina, 2021. "Ryu-type extended Marshall-Olkin model with implicit shocks and joint life insurance applications," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 342-358.
    5. Ventura-Marco, Manuel & Vidal-Meliá, Carlos & Pérez-Salamero González, Juan Manuel, 2023. "Joint life care annuities to help retired couples to finance the cost of long-term care," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 122-139.

  3. Sabrina Mulinacci, 2018. "Archimedean-based Marshall-Olkin Distributions and Related Dependence Structures," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 205-236, March.

    Cited by:

    1. Sabrina Mulinacci, 2022. "A Marshall-Olkin Type Multivariate Model with Underlying Dependent Shocks," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 2455-2484, December.
    2. Iain L. MacDonald, 2021. "Is EM really necessary here? Examples where it seems simpler not to use EM," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 105(4), pages 629-647, December.
    3. Kokol Bukovšek, Damjana & Košir, Tomaž & Mojškerc, Blaž & Omladič, Matjaž, 2022. "Extreme generators of shock induced copulas," Applied Mathematics and Computation, Elsevier, vol. 429(C).
    4. Mhamed Mesfioui & Mohamed Kayid, 2021. "Residual Probability Function for Dependent Lifetimes," Mathematics, MDPI, vol. 9(15), pages 1-13, July.
    5. Damjana Kokol Bukovv{s}ek & Tomav{z} Kov{s}ir & Blav{z} Mojv{s}kerc & Matjav{z} Omladiv{c}, 2018. "Asymmetric linkages: maxmin vs. reflected maxmin copulas," Papers 1808.07737, arXiv.org, revised Jul 2019.
    6. Umberto Cherubini & Sabrina Mulinacci, 2021. "Hierarchical Archimedean Dependence in Common Shock Models," Methodology and Computing in Applied Probability, Springer, vol. 23(1), pages 143-163, March.
    7. Escobar-Bach, Mikael & Helali, Salima, 2024. "Dependent censoring with simultaneous death times based on the Generalized Marshall–Olkin model," Journal of Multivariate Analysis, Elsevier, vol. 204(C).
    8. Ying Zhou & Liang Wang & Tzong-Ru Tsai & Yogesh Mani Tripathi, 2023. "Estimation of Dependent Competing Risks Model with Baseline Proportional Hazards Models under Minimum Ranked Set Sampling," Mathematics, MDPI, vol. 11(6), pages 1-30, March.

  4. Sabrina Mulinacci, 2011. "The efficient hedging problem for American options," Finance and Stochastics, Springer, vol. 15(2), pages 365-397, June.

    Cited by:

    1. Peter Lindberg, 2012. "Optimal partial hedging of an American option: shifting the focus to the expiration date," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 75(3), pages 221-243, June.
    2. Erhan Bayraktar & Yan Dolinsky & Jia Guo, 2018. "Continuity of Utility Maximization under Weak Convergence," Papers 1811.01420, arXiv.org, revised Jun 2020.
    3. Roxana Dumitrescu & Romuald Elie & Wissal Sabbagh & Chao Zhou, 2017. "A new Mertens decomposition of $\mathscr{Y}^{g,\xi}$-submartingale systems. Application to BSDEs with weak constraints at stopping times," Papers 1708.05957, arXiv.org, revised May 2023.

  5. Cherubini, Umberto & Mulinacci, Sabrina & Romagnoli, Silvia, 2011. "A copula-based model of speculative price dynamics in discrete time," Journal of Multivariate Analysis, Elsevier, vol. 102(6), pages 1047-1063, July.

    Cited by:

    1. Harb, Etienne & Louhichi, Wael, 2017. "Pricing CDS spreads with Credit Valuation Adjustment using a mixture copula," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 963-975.
    2. Matkovskyy, Roman, 2019. "Centralized and decentralized bitcoin markets: Euro vs USD vs GBP," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 270-279.
    3. Overbeck Ludger & Schmidt Wolfgang M., 2015. "Multivariate Markov Families of Copulas," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-13, October.
    4. Roman Matkovskyy, 2019. "Extremal Economic (Inter)Dependence Studies: A Case of the Eastern European Countries," Post-Print hal-02332090, HAL.
    5. Sel Ly & Kim-Hung Pho & Sal Ly & Wing-Keung Wong, 2019. "Determining Distribution for the Product of Random Variables by Using Copulas," Risks, MDPI, vol. 7(1), pages 1-20, February.
    6. Cossette, Hélène & Côté, Marie-Pier & Marceau, Etienne & Moutanabbir, Khouzeima, 2013. "Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 560-572.
    7. Liu, Francis & Packham, Natalie & Lu, Meng-Jou & Härdle, Wolfgang, 2021. "Hedging cryptos with Bitcoin futures," IRTG 1792 Discussion Papers 2022-001, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    8. Bressan, Giacomo Maria & Romagnoli, Silvia, 2021. "Climate risks and weather derivatives: A copula-based pricing model," Journal of Financial Stability, Elsevier, vol. 54(C).
    9. Jenq-Tzong Shiau, 2021. "Analytical Water Shortage Probabilities and Distributions of Various Lead Times for a Water Supply Reservoir," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 35(11), pages 3809-3825, September.

  6. Cherubini, Umberto & Mulinacci, Sabrina & Romagnoli, Silvia, 2011. "On the distribution of the (un)bounded sum of random variables," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 56-63, January.

    Cited by:

    1. Jorge Navarro & Franco Pellerey & Julio Mulero, 2022. "On sums of dependent random lifetimes under the time-transformed exponential model," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(4), pages 879-900, December.
    2. Gijbels, Irène & Herrmann, Klaus, 2014. "On the distribution of sums of random variables with copula-induced dependence," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 27-44.
    3. Guillén, Montserrat & Sarabia, José María & Prieto, Faustino, 2013. "Simple risk measure calculations for sums of positive random variables," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 273-280.

  7. Maurizio Pratelli & Sabrina Mulinacci, 1998. "Functional convergence of Snell envelopes: Applications to American options approximations," Finance and Stochastics, Springer, vol. 2(3), pages 311-327.

    Cited by:

    1. Libo Li & Ruyi Liu & Marek Rutkowski, 2022. "Vulnerable European and American Options in a Market Model with Optional Hazard Process," Papers 2212.12860, arXiv.org.
    2. Dietmar P.J. Leisen, 1997. "The Random-Time Binomial Model," Finance 9711005, University Library of Munich, Germany, revised 29 Nov 1998.
    3. Ross A. Maller & David H. Solomon & Alex Szimayer, 2006. "A Multinomial Approximation For American Option Prices In Lévy Process Models," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 613-633, October.
    4. Horvath, Blanka & Jacquier, Antoine & Muguruza, Aitor & Søjmark, Andreas, 2024. "Functional central limit theorems for rough volatility," LSE Research Online Documents on Economics 122848, London School of Economics and Political Science, LSE Library.
    5. Blanka Horvath & Antoine Jacquier & Aitor Muguruza & Andreas Sojmark, 2017. "Functional central limit theorems for rough volatility," Papers 1711.03078, arXiv.org, revised Nov 2023.
    6. Leisen, Dietmar P. J., 1999. "The random-time binomial model," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1355-1386, September.
    7. Anna Battauz & Francesco Rotondi, 2022. "American options and stochastic interest rates," Computational Management Science, Springer, vol. 19(4), pages 567-604, October.
    8. RØdiger Frey, 2000. "Superreplication in stochastic volatility models and optimal stopping," Finance and Stochastics, Springer, vol. 4(2), pages 161-187.
    9. Anna Battauz & Francesco Rotondi, 2024. "Optimal liquidation policies of redeemable shares," Computational Management Science, Springer, vol. 21(2), pages 1-32, December.
    10. Blanka Horvath & Antoine Jacquier & Aitor Muguruza & Andreas Søjmark, 2024. "Functional central limit theorems for rough volatility," Finance and Stochastics, Springer, vol. 28(3), pages 615-661, July.
    11. Yan Dolinsky, 2009. "Applications of weak convergence for hedging of game options," Papers 0908.3661, arXiv.org, revised Nov 2010.
    12. Szimayer, Alex & Maller, Ross A., 2007. "Finite approximation schemes for Lévy processes, and their application to optimal stopping problems," Stochastic Processes and their Applications, Elsevier, vol. 117(10), pages 1422-1447, October.

  8. Mulinacci, Sabrina, 1996. "An approximation of American option prices in a jump-diffusion model," Stochastic Processes and their Applications, Elsevier, vol. 62(1), pages 1-17, March.

    Cited by:

    1. N. Hilber & N. Reich & C. Schwab & C. Winter, 2009. "Numerical methods for Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 471-500, September.
    2. Jiang, George J., 1998. "Jump-diffusion model of exchange rate dynamics : estimation via indirect inference," Research Report 98A40, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    3. Carl Chiarella & Andrew Ziogas, 2004. "McKean's Methods Applied to American Call Options on Jump-Diffusion Processes," Research Paper Series 117, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Ross A. Maller & David H. Solomon & Alex Szimayer, 2006. "A Multinomial Approximation For American Option Prices In Lévy Process Models," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 613-633, October.
    5. Carl Chiarella & Andrew Ziogas, 2006. "American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach," Research Paper Series 174, Quantitative Finance Research Centre, University of Technology, Sydney.
    6. Philipp N. Baecker, 2007. "Real Options and Intellectual Property," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-48264-2, February.
    7. Wee, In-Suk, 1999. "Stability for multidimensional jump-diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 80(2), pages 193-209, April.

More information

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 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-BAN: Banking (2) 2015-02-16 2017-04-23
  2. NEP-ECM: Econometrics (2) 2015-02-11 2015-02-16
  3. NEP-RMG: Risk Management (2) 2015-02-16 2017-04-23
  4. NEP-CBA: Central Banking (1) 2017-04-23

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