Printed from https://ideas.repec.org/s/icr/wpmath.html
Content
2012
- 21-2011 Natural delta gamma hedging of longevity and interest rate risk
by Elisa Luciano & Luca Regis & Elena Vigna
2011
- 01-2011 Delta and Gamma hedging of mortality and interest rate risk
by Elisa Luciano & Luca Regis & Elena Vigna
2010
- 36-2010 Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks
by Claudio Morana - 35-2010 The 2007-? financial crisis: a euro area money market perspective
by Nuno Cassola & Claudio Morana - 34-2010 The Great Recession: US dynamics and spillovers to the world economy
by Fabio C. Bagliano & Claudio Morana - 16-2010 Business Time and New Credit Risk Models
by E. Luciano
2009
- 26-2009 Geometric Stick-Breaking Processes for Continuous-Time Nonparametric Modeling
by Ramses H. Mena & Matteo Ruggiero & Stephen G. Walker - 25-2009 On a Construction of Markov Models in Continuous Time
by Ramses H. Mena & Stephen G. Walker - 23-2009 Models beyond the Dirichlet process
by Antonio Lijoi & Igor Pruenster - 22-2009 Distributional Properties of means of Random Probability Measures
by Antonio Lijoi & Igor Pruenster - 06-2009 Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach
by Richard T. Baille & Claudio Morana
2008
- 24-2008 Exponential Utility Maximization under Partial Information
by Michael Mania & Marina Santacroce - 15-2008 Realized Betas and the Cross-Section of Expected Returns
by Claudio Morana - 14-2008 International shocks and national house prices
by Andrea Beltratti & Claudio Morana - 12-2008 Dynamic Analysis of the Behavioural Patterns of the Largest Commercial Banks in the Russian Federation
by Fuad Aleskerov & V. Belousova & M. Serdyuk & V. Solodkov - 11-2008 Power distribution in the electoral body with an application to the Russian Parliament
by Fuad Aleskerov - 10-2008 Realized portfolio selection in the euro area
by Claudio Morana - 07-2008 Backward Stochastic PDEs Related to the Utility Maximization Problem
by Michael Mania & Revaz Tevzadze - 06-2008 Bayesian nonparametric estimators derived from conditional Gibbs structures
by Antonio Lijoi & Igor Pruenster & Stephen G. Walker - 05-2008 Posterior analysis for some classes of nonparametric models
by Antonio Lijoi & Igor Pruenster & Stephen G. Walker - 04-2008 Updating Choquet Integrals , Consequentialism and Dynamic Consistency
by Robert Kast & André Lapied & Pascal Toquebeuf
2007
- 42-2007 Generalized Normal Mean Variance Mixture and Subordinated Brownian Motion
by Elisa Luciano & Patrizia Semeraro - 31-2007 Copulas and Dependence models in Credit Risk: Diffusions versus Jumps
by Elisa Luciano - 21-2007 Copula-Based Default Dependence Modelling: Where Do We Stand?
by Elisa Luciano - 20-2007 Dynamically Consistent Conditional Choquet Capacities
by Robert Kast & André Lapied - 19-2007 Exchangeable Claims Sizes in a Compound Poisson Type Proces
by Ramsés H. Mena & Luis E. Nieto-Barajas - 18-2007 The Neutral Population Model and Bayesian Nonparametrics
by Stefano Favaro & Matteo Ruggiero & Dario Spanò & Stephen G. Walker - 17-2007 The Bernstein-Von Mises Theorem in Semiparametric Competing Risks Models
by Pierpaolo De Blasi & Nils L. Hjort - 16-2007 A Bayesian Nonparametric Method for Prediction in EST Analysis
by Antonio Lijoi & Ramsés H. Mena & Igor Prünster - 15-2007 Bayesian Nonparametric Estimation and Consistency of Mixed Multinomial Logit Choice Models
by Pierpaolo De Blasi & Lancelot F. James & John W. Lau - 14-2007 Construction and Stationary Distribution of the Fleming-Viot Process with Viability Selection
by Stephen G. Walker & Matteo Ruggiero - 13-2007 Bayesian Nonparametric Construction of the Fleming-Viot Process with Fertility Selection
by Stephen G. Walker & Matteo Ruggiero - 11-2007 Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach
by Richard T. Baillie & Claudio Morana - 6-2007 Estimating, Filtering and Forecasting Realized Betas
by Claudio Morana - 5-2007 Bank Efficiency and Banking Sector Development: the Case of Italy
by Elisa Luciano & Luca Regis
2006
- 33-2006 Linear and Quadratic Functionals of RandomHazard rates: an Asymptotic Analysis
by Giovanni Peccati & Igor Prünster - 29-2006 Distributions of Functionals of the two Parameter Poisson-Dirichlet Process
by Lancelot F. James & Antonio Lijoi & Igor Prünster - 17-2006 A Flaming-Viot Process and Bayesian non Parametric
by Theodoros Nicoleris & Spyridon J. Hatjispyros & Stephen G. Walker - 16-2006 Sampling the Dirichlet Mixture Model with Slices
by Stephen G. Walker - 10-2006 A Multivariate Time-Changed Lévy Model for Financial Applications
by Patrizia Semeraro - 6-2006 Credit risk in pure jump structural models
by Filippo Fiorani & Elisa Luciano - 5-2006 A note on stochastic survival probabilities and their calibration
by Elisa Luciano & Jaap Spreeuw & Elena Vigna
2005
- 12-2005 Calibrating risk-neutral default correlation
by Elisa Luciano - 6-2005 A Multivariate Jump-Driven Financial Asset Model
by Elisa Luciano & Wim Schoutens - 5-2005 Bayesian Inference via Classes of Normalized Random Measures
by Lancelot F. James & Antonio Lijoi & Igor Pruenster - 4-2005 Non mean reverting affine processes for stochastic mortality
by Elisa Luciano & Elena Vigna - 3-2005 On convexity and supermodularity
by Massimo Marinacci & Luigi Montrucchio - 1-2005 A note on stochastic survival probabilities and their calibration
by Elisa Luciano & Elena Vigna
2004
- 28-2004 A strong law of large numbers for capacities
by Fabio Maccheroni & Massimo Marinacci - 27-2004 Portfolio Selection with Monotone Mean-Variance Preferences
by Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini & Marco Taboga - 24-2004 On rates of convergence for posterior distributions in infinite–dimensional models
by Antonio Lijoi & Igor Prünster & Stephen G. Walker - 23-2004 On consistency of nonparametric normal mixtures for Bayesian density estimation
by Antonio Lijoi & Igor Prünster & Stephen G. Walker - 13-2004 Contributions to the understanding of Bayesian consistency
by Antonio Lijoi & Igor Prünster & Stephen G. Walker - 12-2004 Hierarchical mixture modelling with normalized inverse Gaussian priors
by Antonio Lijoi & Ramsés H. Mena & Igor Prünster - 05-2004 Variational representation of preferences under ambiguity
by Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini
2003
- 30-2003 Monotone Continuous Multiple Priors
by Massimo Marinacci & Fabio Maccheroni & Alain Chateauneuf & Jean-Marc Tallon - 25-2003 Archimedean Copulae and Positive Dependence
by Alfred Müller & Marco Scarsini - 16-2003 Multidimensional generalized Gini indices
by Thibault Gajdos & John A. Weymark - 13-2003 Ultramodular functions
by Massimo Marinacci & Luigi Montrucchio - 10-2003 A folk theorem for minority games
by Jerome Renault & Sergio Scarlatti & Marco Scarsini - 07-2003 Cores and stable sets of finite dimensional games
by Massimo Marinacci & Luigi Montrucchio - 02-2003 Existence of solutions and asset pricing bubbles in general equilibrium models
by Claudio Mattalia - 01-2003 The convexity-cone approach to comparative risk and downside risk
by Salvatore Modica & Marco Scarsini
2002
- 40-2002 Certainty Independence and the Separation of Utility and Beliefs
by Paolo Ghirardato & Fabio Maccheroni & Massimo Marinacci - 39-2002 Wealth Polarization and Pulverization in Fractal Societies
by Guido Cozzi & Fabio Privileggi - 28-2003 Some Counterexamples in Positive Dependence
by Taizhong Hu & Alfred Müller & Marco Scarsini - 24-2002 Insurance Premia Consistent with the Market
by Erio Castagnoli & Fabio Maccheroni & Massimo Marinacci - 23-2002 How to cut a pizza fairly: fair division with descreasing marginal evaluations
by Massimo Marinacci & Fabio Maccheroni - 18-2003 Decision Making with Imprecise Probabilistic Information
by Thibault Gajdos & Jean-Marc Tallon & Jean-Christophe Vergnaud - 18-2002 The convexity-cone approach to comparative risk and downside risk
by Massimo Marinacci & Luigi Montrucchio - 17-2002 Ambiguity from the Differential Viewpoint
by Paolo Ghirardato & Fabio Maccheroni & Massimo Marinacci - 15-2003 Unequal uncertainties and uncertain inequalities: an axiomatic approach
by Thibault Gajdos & Eric Maurin - 14-2003 Choquet insurance pricing: a caveat
by Erio Castagnoli & Fabio Maccheroni & Massimo Marinacci - 11-2003 A smooth model of decision making under ambiguity
by Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji - 10-2002 Coherence without Additivity
by Enrico Diecidue & Fabio Maccheroni - 09-2002 Optimal investment strategies and risk measures in defined contribution pension schemes
by Steven Haberman & Elena Vigna - 06-2002 Pricing Vulnerable Options with Copulas
by Umberto Cherubini & Elisa Luciano - 05-2002 Multivariate Option Pricing with Copulas
by Umberto Cherubini & Elisa Luciano
2001
- 29-2001 BV as a dual space
by Fabio Maccheroni & William H. Ruckle - 26-2003 Positive value of information in games
by Bruno Bassan & Olivier Gossner & Marco Scarsini & Shmuel Zamir - 23-2001 Credit rationing, wealth inequality, and allocation of talent
by Maitreesh Ghatak & Massimo Morelli & Tomas Sjoström - 22-2001 Change of numéraire for affine arbitrage pricing models driven by multifactor marked point processes
by Andrea Roncoroni - 21-2001 Risk, ambiguity, and the separation of utility and beliefs
by Massimo Marinacci & Paolo Ghirardato - 18-2001 Optimal two-object auctions with synergies
by Domenico Menicucci - 17-2001 A subjective spin on roulette wheels
by Paolo Ghirardato & Fabio Maccheroni & Massimo Marinacci & Marciano Siniscalchi - 12-2001 Random correspndences as bundles of random variables
by Adriana Castaldo & Massimo Marinacci - 11-2001 Expected utility theory without the completeness axiom
by Juan Dubra & Fabio Maccheroni & Efe Oki - 09-2001 Subcalculus for set functions and cores of TU games
by Massimo Marinacci & Luigi Montrucchio - 08-2001 Probabilistic sophistication and multiple priors
by Massimo Marinacci - 05-2001 On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type
by Luigi Montrucchio & Fabio Privileggi
2000
- 30-2001 Yaari dual theory without the completeness axiom
by Fabio Maccheroni - 27-2003 Zonoids, Linear Dependence, and Size-Biased Distributions on the Simplex
by Marco Dall’Aglio & Marco Scarsini