Silvia Romagnoli

Second cycle degree programmes dissertations

• A carbon risk assessment of European Investment Bank's energy portfolio
• A Machine Learning approach to Probability of Default (PD) estimation
• A Review of Different Deep Learning Techniques for Time Series Backcasting
• An overview of credit risk: default, derivatives, spreads and models
• Application of Copula theory to the pricing of Weather Derivatives
• Asset allocation & Climate change: una valutazione machine learning dell’impatto ambientale
• Climate extreme events and their financial consequences: a focus on drought and temperature impact
• Credit risk, ESG Ratings and Vine Copula models for tail dependence
• Deep Adaptive Importance Sampling for Double Knock-Out Options
• diffusion on manifolds for Stein's method of exchangeable pairs
• Digital Economy Energy Tokens as a new financing mechanism for Energy Security
• Double degree (DD) student in QF - University of Paris-Saclay (Lucas RODRIGUEZ)
• electricity price and climate risk hedging in italy: a machine learning approach
• Entropic Fictitious Play for Mean-Field Optimization Problems
• ESG rating divergence: a probabilistic approach to portfolio selection
• ETF leader ESG. Ribilanciamento tramite VaR e DD con variabile Climate nel Merton Model
• Extreme value theory in quantitative finance
• Financial Quantum Model
• Focus on wheat market: specific features and climate change
• Hedging Energy and EU Allowances Price Risk: Swing Contract on a Quanto Option
• Hybrid SARIMA Hidden Markov Models with Application to Insurance Claims
• Impact of temperature and precipitations in the stock market: the Italian market at a glance
• Independent Pricing Verification Analyst : certification of market data and non linear rate products valuation
• Market Performance Impact of ESG Disclosure and Performance Scores: Evidence from Europe
• Méthode d’identification de la fonction de répartition des fonctions des modèles à volatilité stochastique pure (Method for identifying the cumulative distribution function of functions in pure stochastic volatility models)
• Modelli matematici per il pricing dei Green Bonds e l'analisi del Greenium
• Modello di option pricing sul carbonio in regime-switching
• Neural Networks for Option Pricing and Local Volatility Calibration
• Operational Risk model: a Lévy process approach
• Product Level Backtesting on Prisma model
• Rating ESG e impatto sulle misure di rischio dei titoli azionari
• Real Estate Replacing Bonds as a Low-Risk Investment
• Replicating Portfolios method to modelize insurance company liabilities as part of computation of Solvability II quantitative requirements
• Rolling the DICE: Java implementation of the DICE model with stochastic interest rates and Negative Emission Technologies.
• Stochastic Approximation in Reinforcement Learning with application in index tracking.
• Stochastic modelling of climatic variables in the electricity market: an extension of a structural risk-neutral model for electricity prices
• Stochastic modelling of weather derivatives: pricing of a wind speed asian option
• Structural Models under Lévy Processes: application to CDS spreads
• TARF Valuation via Monte Carlo Techniques under different models
• The influence of climate change on interest rates: a two-factor Vasicek model
• Topological data analysis of financial time series: detection of crashes
• Water-related Climate Risk Analysis and Water Trading with Index Return Forecast
• Weather Derivatives and Stochastic Modeling of Solar Irradiance
• What factors have influenced the IPO market in Poland over the past 15 years.