[1] Di Francesco M., Kamm K.,
On the Deterministic-Shift Extended CIR Model in a Negative Interest Rate Framework
Int. J. Financial Stud. 2022, 10(2), 38
[2] Di Francesco M., Simonella S.,
A stochastic Asset Liability Management model for life insurance companies
Financial Markets and Portfolio Management, 2022
[3] Di Francesco M., Kamm K.,
How to handle negative interest rates in a CIR framework
Sema Journal, 2021
[4] Di Francesco M.,
Portfolio optimization under solvency II: a multi-objective approach incorporating market views and real-world constraints
Decis. Econ. Finance (44), pp.269-294, 2021
[5] Di Francesco M., Diop S. , Pascucci A.,
CDS calibration under an extended JDCEV model
Int. J. Comput. Math. 96, no. 9, 1735-1751, 2019
[6] De Marchi G.L., Di Francesco M., Diop S. ,
Sovereign CDS calibration under a hybrid Sovereign Risk Model
Appl. Math. Finance 25(4), pp.336-360, 2018
[7] Di Francesco M.,
A General Gaussian Interest Rate Model Consistent with the Current Term Structure
ISRN Probability and Statistics, Volume 2012, Article ID 673607, 2012
[8] Di Francesco M., Pascucci A. ,
The obstacle problem for a class of hypoelliptic ultraparabolic equations
Proc. R. Soc. Lond. A, 464, pp.155-176, 2008
[9] Di Francesco M., Pascucci A.,
A continuous dependence result for ultra-parabolic equations in option pricing
J. Math. Anal. Appl., vol. 336, pp. 1026-1041, 2007
[10] Di Francesco M., Foschi P. , Pascucci A.,
Analysis of an uncertain volatility model
J. Appl. Math. Decis. Sci., vol. 2006, Article ID 15609, 17 pages, 2006
[11] Di Francesco M., Polidoro S.,
Schauder estimates, Harnack inequality and Gaussian lower bound for Kolmogorov type operators in non-divergence form
Advances in Differential Equations, Vol. 11-11, pp. 1261-1320, 2006
[12] Di Francesco M., Pascucci A. ,
On a class of degenerate parabolic equations of Kolmogorov type
AMRX Appl. Math. Res. Express 3, 77-116, 2005
[13] Di Francesco M., Pascucci A. ,
On the complete model with stochastic volatility by Hobson and Rogers
Proc. R. Soc. Lond. A Vol. 460, pp.3327-3338, 2004
