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Pubblicazioni antecedenti il 2004
U.CHERUBINI, F.GOBBI, S.MULINACCI, S.ROMAGNOLI (2012). Dynamic
Copula Methods in Finance. CHIKESTER:John Wiley & Sons Limited,
ISBN: 978-0-470-68307-1
Cherubini U, Mulinacci S (2012). A Model for Estimating the
Liquidity Valuation Adjustment on OTC Derivatives. In: Managing
Illiquid Assets: Perspectives and Challenges. p. 129-155,
LONDON:Risk Books, ISBN: 978-1-906348-41-0
S. MULINACCI (2011). The efficient hedging problem for American
options. FINANCE AND STOCHASTICS, vol. 15(2), p. 365-397, ISSN:
0949-2984
CHERUBINI U., MULINACCI S., ROMAGNOLI S. (2011). On the
distribution of (un)bounded sum of random variables. INSURANCE
MATHEMATICS & ECONOMICS, vol. 48, p. 56-63, ISSN: 0167-66875.
CHERUBINI U., MULINACCI S., ROMAGNOLI S. (2011). A copula-based
model of speculative price dynamics in discrete time. JOURNAL OF
MULTIVARIATE ANALYSIS, vol. 102, p. 1047-1063, ISSN:0047-259X
COLIVICCHI I., MIGNANEGO F., MULINACCI S. (2011). THE CONCEPT OF A
SUITABLE INSURANCE POLICY USING LEADER -FOLLOWER GAMES. In: Game
Theory and Applications. Volume 15. p. 21-35, NEW YORK:Nova Science
Publishers, Inc., ISBN: 978-1-61470-187-3
I. COLIVICCHI, F. MIGNANEGO, S. MULINACCI (2010). The Concept of a
Suitable Insurance Policy Using Leader-Follower Games.
INTERNATIONAL JOURNAL OF MATHEMATICS GAME THEORY AND ALGEBRA, vol.
19, 5-6, p. 439-454, ISSN: 1099-18591
Mignanego F., Mulinacci S.,
Two-level imitative problems in
stock-markets and Bayesian estimation of Credibility
Parameters, Game Theory and Applications, vol.9, (2003)
Mulinacci S., American Path- Dependent Options: Analysis and
Approximations, Rendiconti per gli studi Economici e
Quantitativi, vol. 2002, (2003), 93-120
Becchere G., Mulinacci S., Hedging American Options in
Mertons Model: A Locally Risk Minimizing Approach,
Asia-Pacific Financial Markets, 6 (1999)
Mulinacci S., Valutazione del prezzo delle opzioni americane:
metodi probabilistici, Bollettino U.M.I.,(8) 1-A Suppl.
(1998),137-140
Mulinacci S., Pratelli M.,Functional Convergence of Snell
envelopes: Applications to American options approximations,
Finance and Stochastics, 2 (1998),311-327
Mulinacci S., Valutazione del prezzo delle opzioni americane:
metodi probabilistici, PhD Thesis, Febbraio 1997
Mulinacci S., An approximation of American option
prices in a jump-diffusion model, Stochastic processes and
their applications, 62(1996), 1-17
PRE-PRINTS
Cherubini U., Mulinacci S., Romagnoli S., A lattice model
with incomplete information: A credit risk application,
forthcoming in Statistics & Decisions, 26, (2008)
Cherubini U., Mulinacci S., Romagnoli S., Copula based
Martingale Processes and Financial Prices Dynamics,
submitted
S. Mulinacci, The Efficient Hedging Problem for America
Options, submitted
F. Mignanego, S. Mulinacci, A Note on the Lack of Efficiency
of the American Option Contract in Incomplete Markets,
submitted
F. Mignanego, S. Mulinacci, Credibility and Stochastic
Leader-Follower Games.
I. Colivicchi, F. Mignanego, S.Mulinacci, The concept of a
new insurance policy using leader- follower games,
submitted