Foto del docente

Silvia Romagnoli

Professoressa ordinaria

Dipartimento di Scienze Statistiche "Paolo Fortunati"

Settore scientifico disciplinare: SECS-S/06 METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE

Coordinatrice del Corso di Laurea Magistrale in Quantitative finance

Pubblicazioni

M. Barbi; E. Bajo; S. Romagnoli, Optimal Corporate Hedging Using Options with Basis and Production Risk, «THE NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE», 2014, 30, pp. 56 - 71 [articolo]

Romagnoli S.; Bernardi E., A clusterized copula-based probability distribution of a counting variable for high-dimensional problems, «THE JOURNAL OF CREDIT RISK», 2013, 9, pp. 3 - 26 [articolo]

Massimiliano, Marzo; Silvia, Romagnoli; Paolo, Zagaglia, A Continuous Time Model of the Term Structure of Interest Rates with Fiscal-Monetary Policy Interactions, «COMMUNICATIONS IN MATHEMATICAL FINANCE», 2013, 2, pp. 1 - 28 [articolo]

U.Cherubini;F.Gobbi;S.Mulinacci;S.Romagnoli, Dynamic Copula Methods in Finance, CHICHESTER, John Wiley & Sons, Ltd, 2012, pp. 274 . [libro]

Romagnoli S.; Bernardi E., Limiting Loss distribution on a Hierarchical copula-based model, «INTERNATIONAL REVIEW OF APPLIED FINANCIAL ISSUES AND ECONOMICS», 2012, 4, pp. 126 - 135 [articolo]

Cherubini U.; Mulinacci S.; Romagnoli S., A copula-based model of speculative price dynamics in discrete time, «JOURNAL OF MULTIVARIATE ANALYSIS», 2011, 102, pp. 1047 - 1063 [articolo]

E. Bernardi; S. Romagnoli, Computing the volume of an high-dimensional semi-unsupervised Hierarchical copula, «INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS», 2011, 88, pp. 2591 - 2607 [articolo]

U.Cherubini; S.Romagnoli, Multivariate Digital Options with Memory, «EUROPEAN JOURNAL OF FINANCE», 2011, 17, pp. 649 - 660 [articolo]

Cherubini U.; Mulinacci S.; Romagnoli S., On the distribution of (un)bounded sum of random variables, «INSURANCE MATHEMATICS & ECONOMICS», 2011, 48, pp. 56 - 63 [articolo]

U. Cherubini; F. Gobbi; S. Mulinacci; S. Romagnoli, A Copula-Based Model for Spatial and Temporal Dependence of Equity Markets, in: Copula Theory and Its Applications, Lecture Notes in Statistics, BERLIN HEIDELBERG, Springer Verlag, 2010, 198, pp. 257 - 265 (atti di: Workshop on Copula Theory and Its Applications, Varsavia, 25-26 Settembre 2009) [Contributo in Atti di convegno]

U.Cherubini;S.Romagnoli, The Dependence Structure of Running Maxima and Minima:Results and Option Pricing Applications, «MATHEMATICAL FINANCE», 2010, 20(1), pp. 35 - 58 [articolo]

U.Cherubini; S.Romagnoli, Computing the Volume of N-Dimensional Copulas, «APPLIED MATHEMATICAL FINANCE», 2009, 16(4), pp. 307 - 314 [articolo]

U. Cherubini; S. Mulinacci; S. Romagnoli, Modeling the term structure of CDO tranches, in: ECONOMICA, Financial Risks. New developments in Structured Product & Credit Derivatives., PARIS, C. Gourieroux, M. Jeanblanc, 2009, pp. 145 - 154 (atti di: Financial Risks. New developments in Structured Product & Credit Derivatives., Paris, May 2009) [Contributo in Atti di convegno]

U.Cherubini; S.Mulinacci; S.Romagnoli, A Copula-Based Model of the Term Structure of CDO Tranches, in: Applied Quantitative Finance, BERLIN, Springer Verlag, 2008, pp. 69 - 81 [capitolo di libro]

U.Cherubini;S.Mulinacci;S.Romagnoli, A Lattice Model with Incomplete Information: A Credit Risk Application, «STATISTICS & DECISIONS», 2008, 26(2), pp. 75 - 88 [articolo]