Foto del docente

Alberto Lanconelli

Full Professor

Department of Statistical Sciences "Paolo Fortunati"

Academic discipline: MATH-03/B Probability and Mathematical Statistics

Director of Second Cycle Degree in Quantitative Finance

Teaching

Recent dissertations supervised by the teacher.

First cycle degree programmes dissertations

  • catene di markov esplorando l'evoluzione stocastica senza memoria
  • Costruzione e simulazione del Moto Browniano
  • Entropia come misura d'incertezza
  • Review of stochastic approach to chemical kinetics and exact simulation algorithms
  • The Lévy-Ciesielski Construction of Brownian Motion

Second cycle degree programmes dissertations

  • Analisi e calibrazione del modello Binomiale per il prezzaggio delle opzioni
  • Approssimazione numerica del valore di Shapley e applicazioni
  • Calibration and Smile Consistency in the SABR Model
  • Comparative analysis of methods for pricing floating strike lookback put options
  • CRUSH Causal Regularization Under Shifted Heterogeneity
  • Fractional Ornstein-Uhlenbeck process to forecast realized volatility
  • La Geometria degli Equilibri: Un'Indagine sull'Algoritmo di Lemke-Howson per i Giochi Bimatrice
  • Metodi di scelta per la linea di un prodotto: confronto tra TURF e Valore di Shapley
  • Monte Carlo Method in the Schöbel-Zhu Model
  • Option pricing approximation under the CEV diffusion model
  • Pricing American Options: Analysis of a Primal-Dual Simulation Algorithm
  • Square Root process and Heston model: theory and implementation
  • The Dynamics of Local Volatility and Dupire’s Approach

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