Marco Di Francesco

Tesi di Laurea Magistrale

• Credit Valuation Adjustment (CVA) in Derivatives: Quantitative Modeling, Simulation and Regulatory Context
• Fractional Brownian Motion: Numerical Simulation Methods and Applications in Financial Markets
• Modeling Sovereign Default Risk: A Severity-Frequency Approach to Estimating Expected Losses
• The Role of Copula Functions in CDO Pricing: A Critical Analysis