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
• From Value-at-Risk to Expected Shortfall: The Impact of Estimation Methods on Market Risk Capital under Basel 2.5 and Basel III
• The Role of Copula Functions in CDO Pricing: A Critical Analysis