Sabrina Mulinacci

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Publications prior to 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 Merton’s 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