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Pubblicazioni antecedenti il 2004
PUBLICATIONS (Working papers, Conference abstracts, extended abstract, etc. are omitted)
Journals classified in JCR
1) Modelling uncertainty in limit order execution (2015), Communications in Nonlinear Science and Numerical Simulation (doi: 10.1016/j.cnsns.2015.08.001)
2) Convertible debt: Financing decisions and voluntary conversion under ambiguity (with E. Agliardi and W. Spanjers) (2015), International Review of Finance, 13 pages (doi:10.1111/irfi.12057)
3) Hedging through a limit order book with varying liquidity (with R. Gençay) (2014), Journal of Derivatives, 22, 2, 32-49
4) A comprehensive mathematical approach to exotic option pricing (2012), Mathematical Methods in the Applied Sciences, 35, 11, 1256-1268 (doi:10.1002/mma.2519)
5) A general framework for some economic problems with uncertainty and exogenous barriers (with P. Popivanov, A. Slavova) (2012), Economic Modelling , 29, 2320-2324
6) A country risk index for emerging markets: a stochastic dominance approach (with E. Agliardi, M. Pinar, T. Stengos, N. Topaloglu) (2012), Journal of Empirical Finance, 19, 741-761
7) A comprehensive structural model for defaultable fixed-income bonds (2011), Quantitative Finance, vol. 11, 5 , 749-762
8) Nonhypoellipticity and comparison principle for partial differential equations of Black-Scholes type (with P. Popivanov, A. Slavova) (2011), Nonlinear Analysis, Series B: Real World Applications, vol.12, 1429-1436 [doi:10.1016/j.nonrwa.2010.10.003]
9) Option pricing under some Lévy-like stochastic processes (2011), Applied Mathematics Letters, v.24, 572-576
10) An application of fuzzy methods to evaluate a patent under the chance of litigation (with E. Agliardi) (2011), Expert Systems with Applications, 38, 13143-13148 [I.F. 2.908]
11) Bond pricing under imprecise information (with E. Agliardi) (2011), Operational Research, 11, 299-309
12) On some boundary-value problems for second order PDEs arising in Finance (with P. Popivanov, A. Slavova) (2011), Comptes Rendus de L’Academie Bulgare des Sciences, 64, 1383-1392
13) Cauchy problem for nonlinear evolution equations (with L. Zanghirati) (2009), Bulletin des Sciences Mathématiques, 133, 406-418 (doi:10.1016/j.bulsci.2008.08.001)
14) Progressive taxation and corporate liquidation policy: analysis and policy implications (with E. Agliardi) (2009), Journal of Policy Modeling 31, 144-154
15) The quintessential option pricing formula under Lévy processes (2009), Applied Mathematics Letters, 22, 1626-1631
16) Fuzzy defaultable bonds (with E. Agliardi) (2009), Fuzzy Sets and Systems, 160, 2597-2607
17) Progressive taxation and corporate liquidation policy (with E. Agliardi) (2008), Economic Modelling, 25, 532-541
18) Options to expand and to contract in combination (2007), Applied Maths. Letters, 20, n. 7, 790-794
19) Options to expand: some remarks (2006), Finance Research Letters 3, 65-72
20) The Cauchy problem for a class of Kovalevskian pseudo-differential operators (with M. Cicognani) (2004) Proceedings of the American Mathematical Society, vol.132, n.3, 841-845
21) Operators of p-evolution with non regular coefficient in the time variable (with M. Cicognani) (2004), Journal of Differential Equations, n. 202, 143-157 [I.F. 1.277]
22) Cauchy problem in Gevrey classes for some evolution equations of Schrödinger type (with D. Mari) (2003), Osaka Journal of Mathematics, vol. 40, 917-924
23) A generalization of the Geske formula for compound options (with E. Agliardi) (2003), Mathematical Social Sciences, 45, 75-82
24) Cauchy problem for evolution equations of Schrödinger type (2002), Journal of Differential Equations , n.180, 89-98
25) Cauchy problem for p-evolution equations (2002), Bulletin des Sciences Mathématiques, n. 126, 435-444
26) On some semilinear equations of Schrödinger type (with D. Mari) (2002), Mathematica Scandinavica, n.90, 139-151
27) On the Cauchy problem for some pseudo-differential equations of Schrödinger type (with D. Mari) (1996), Mathematical Models and Methods in Applied Sciences, vol. 6, 3, 295-314
28) Cauchy problem for non-Kovalewskian equations (1995), International Journal of Mathematics, vol.6,n.6, 791-804
29) On the Cauchy problem for some non-Kowalewskian equations in DL2 s (with D. Mari) (1996), Ann. Mat. Pur. Appl., vol.CLXX, 89-101
30) Pseudo-differential operators of infinite order on DL2 s ( DL2 s ¢ ) (1990), Ann. Mat. Pur. Appl., vol. CLVII, 369-394
31) Fourier integral operators of infinite order on DL2 s ( DL2 s ¢ ) with an application to a certain Cauchy problem (1990), Rend. Sem. Mat.Univ. Padova, vol.84,71-82
Other articles
32) On nonlinear Black-Scholes equations (with P. Popivanov, A. Slavova) (2013), Nonlinear Analysis and Differential Equations,1, n.2, 75-81
33) A general method for pricing European exotic options under Lévy processes (2011), International Journal of Financial Markets and Derivatives, 2, 209-222
34) Gevrey classes and p-evolution equations (2005), Italian Journal of Pure Applied Mathematics , vol.17, 121-126
35) A closed-form solution for multicompound options (with E. Agliardi) (2005), Risk Letters, 1, issue 2
36) Executive compensation and incentives with hybrid options: a note (with E. Agliardi) (2004) Finance Letters , vol. 2 , n. 48
37) Cauchy problem for some semilinear equations (2003), Mathematica Slovaca, n.45, 75-82
38) Cauchy problem for some semilinear evolution equations in Gevrey classes, (2001), Ricerche di Matematica, vol.L, 275-28
39) Cauchy problem for some non - Kovalewskian equations (1999), Annali Univ. di Ferrara Sez.VIII - Sc. Mat., Suppl. Vol. XLV, 13-20
40) A remark on the Cauchy problem in Gevrey classes (1993), Ricerche di Matematica, vol. XLII,fasc.1, 87-100
41) A generalization of an example by Ivrii (1993), Ann. Univ. Ferrara, sez. VII, Sc. Mat., vol XXXIX, 93-109 (1993)
42) A division theorem in Gevrey classes (1991), Rend. Sem. Mat. Univ. e Politecnico di Torino, 49, 1-13
Book Chapters
43) Boundary-value problems for second order partial differential equations arising in risk management and cellular neural networks approach (with Popivanov P., Slavova A. ) (2012), in Risk Management – Current issues and challenges (Ed. N. Banaitiene), Intechopen.com, 31-54
44) Introduction to Lévy processes (with A. Pascucci) (2011), in PDE and Martingale Methods in Option Pricing (A. Pascucci), 429-495, Springer Verlag
45) Defaultable bonds under imprecise information (with E. Agliardi) (2010), Lecture Notes in M anagement Sciences (ed. M. Collan), vol.2, p. 431-438, Turku-IAMSR, Ǻbo Akademy University
46) A mathematical analysis of real option interactions (2007) in Studies in Simulation and Modelling, 171-176, WSEAS Press
47) “Some applications of a closed-form solution for compound options of order N” Agliardi R. (2007), in Hyperbolic Problems and Regularity Questions "Partial Differential Equations and Applications", Birkhäuser
Textbooks
48)“Mercati Finanziari. Analisi Stocastica delle Opzioni” (with E. Agliardi), McGraw-Hill, Milano, 2001 (195 pages)
49) “Teoria Matematica dei Derivati Finanziari” (with E. Agliardi), Pitagora Editrice, Bologna, 1999 (225 pages)
50) “Matematica per la Teoria Economica” (with E. Agliardi), Pitagora Editrice, Bologna, 1998 (263 pages)
