Foto del docente

Marco Bianchetti

Adjunct professor

Department of Statistical Sciences "Paolo Fortunati"

Publications

Scoleri, Stefano; Bianchetti, Marco; Kucherenko, Sergei, Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks: Finite Differences vs. AAD, «WILMOTT», 2021, 2021, pp. 66 - 83 [Scientific article]

Marco Bianchetti;Umberto Cherubini;Veronica Falco, Moving form IBORs to Alternative Risk Free Rates, «RISK MANAGEMENT MAGAZINE», 2021, 16, pp. 14 - 18 [Scientific article]

Cherubini, Umberto; Bianchetti, Marco, From IBORs to RFRs: Impacts on Banks' Processes and Procedures, Genova, AIFIRM – Associazione Italiana Financial Industry Risk Managers, 2019, pp. 24 . [Research monograph]

Marco Bianchetti, Camilla Ricci, Marco Scaringi, Forecasting crypto crashes with bubble analysis, «RISK», 2018, 1, pp. 1 - 3 [Comment or similar]

Marco Bianchetti, Davide Galli, Camilla Ricci, Angelo Salvatori, Marco Scaringi, Brexit or Bremain: looking for clues in bubble analysis, «RISK», 2016, 6, pp. 1 - 3 [Comment or similar]

Bianchetti M.; Galli D.E.; Ricci C.; Salvatori A.; Scaringi M., Brexit or Bremain? Evidence from bubble analysis, in: CEUR Workshop Proceedings, CEUR-WS, 2016, 1774, pp. 43 - 54 (atti di: 1st Workshop on MIning DAta for Financial ApplicationS, MIDAS 2016, Riva del Garda, Italy, 2016) [Contribution to conference proceedings]

Cherubini, Umberto; Bianchetti, Marco, Prudent Valuation Guidelines and Sound Practices, Genova, AIFIRM – Associazione Italiana Financial Industry Risk Managers, 2016, pp. 148 . [Research monograph]

Alexander Antonov, Marco Bianchetti, Ion Mihai, FVA for general instruments, «RISK», 2015, 11, pp. 1 - 6 [Scientific article]

Bianchetti, Marco; Kucherenko, Sergei; Scoleri, Stefano, Pricing and Risk Management with High-Dimensional Quasi-Monte Carlo and Global Sensitivity Analysis, «WILMOTT», 2015, 2015, pp. 46 - 70 [Scientific article]

Ferdinando Maria Ametrano; Marco Bianchetti, Bootstrapping the Illiquidity: Multiple Yield Curves Construction for Market Coherent Discount and FRA Rates Estimation, in: Interest Rate Modelling after the Financial Crisis, Londra, Risk Books, 2013, pp. 153 - 215 [Chapter or essay]

Marco Bianchetti; Mattia Carlicchi, Evolution of the Markets after the Credit Crunch, in: Interest Rate Modelling after the Financial Crisis, Londra, Risk Books, 2013, pp. 5 - 60 [Chapter or essay]

Marco Bianchetti; Mattia Carlicchi, Evolution of the markets after the credit crunch, in: Interest Rate Modelling after the Financial Crisis, Londra, Risk Books, 2013, pp. 5 - 60 [Chapter or essay]

Massimo Morini; Marco Bianchetti, Interest Rate Modelling after the Financial Crisis, Londra, Risk Books, 2013, pp. 484 . [Editorship]

Marco Bianchetti; Massimo Morini, Introduction, in: Interest Rate Modelling after the Financial Crisis, Londra, Risk Books, 2013, pp. 13 - 16 [Chapter or essay]

Marco Bianchetti, Modern Pricing of Interest Rate Derivatives including Funding and Collateral, in: Interest Rate Modelling after the Financial Crisis, Londra, Risk Books, 2013, pp. 113 - 152 [Chapter or essay]