Foto del docente

Silvia Romagnoli

Full Professor

Department of Statistical Sciences "Paolo Fortunati"

Academic discipline: SECS-S/06 Mathematical Methods of Economics, Finance and Actuarial Sciences

Director of Second Cycle Degree in Quantitative Finance


Recent dissertations supervised by the teacher.

Second cycle degree programmes dissertations

  • "Counterparty Risk and the needed Valuation Adjustments (CVA and DVA frameworks)"
  • "Funds transfer pricing in a commercial bank"
  • CDO PRICING TECHNIQUES: A comprehensive analysis of four models to price small pools of assets
  • Climate change risk in finance: A credit risk approach
  • Climate risk assessment in the financial market: carbon intensity effect on risk profile
  • Comparison of standard methods of option valuation with method involving Monte Carlo Simulation
  • DAX30 according to the Multi-Factor model
  • Discounts for Lack of Marketability
  • Energy commodity markets: an application for cointegrated commodities over the actual pricing models
  • ESG hedging: Strategies and products to facilitate the green transition
  • Financial contagion in the interbank market: fire sales and price-impact in a multilayered network
  • Fire sales forensics
  • Fundamental analysis as a tool of investment decisions in the Italian Market
  • Il ruolo dei green bond nella diversificazione del rischio di portafoglio: un'analisi empirica
  • Impact of climate change on credit risk assessment
  • Impacts of COVID-19 Pandemic on the Rare Earth Industry
  • Implicit guarantee in city investment bonds of China
  • Inflation Covered Option: a Financial Engineering Product to hedge Inflation Expectations
  • Interest Rate Models Comparison in the Negative Rates Environment
  • Locally risk-minimizing hedging under Heston model with comparison on VIX strategies
  • Market Microstructure & Market Maker Constraints: A Compliance App
  • Prediction of the Yield Curve Using Nelson-Siegel and Nelson-Siegel-Svensson Models
  • Propose and Validate a Proper Bond Portfolio Strategy
  • Relationship between stock market returns and weather anomalies: a case study of Italian bourse
  • Research on the impact of green financial business on the profitability of China’s commercial banks
  • Reti Neurali Artificiali per prezzare le Opzioni Finanziarie.
  • SABR model in swaption pricing
  • SABR MODEL: Interpolatore e Predittore della Volatilità
  • Simulation Methods for Derivatives Pricing
  • the cost of efficient funding small and medium-sized enterprises in poland through analysis of comparative simulation regarding leasing against other sources of financing
  • The Illiquidity Discount in Exponential Lévy Markets: Evidences from Oil Futures
  • The impact of an alternative investment on the investment portfolio
  • The impact of the global financial crisis on banks’ business models – the case of Italy
  • Time-Homogeneous LIBOR Market Model for the Valuation of Derivatives on Backward-Looking Rates
  • Transition Finance: Integrating Transition Risk in Sustainable Financial Markets
  • Weather risk hedging in the solar energy industry