Foto del docente

Silvia Romagnoli

Associate 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"
  • "Weather Derivatives as an emerging hedging tool: Closing the gap between theoretical developments and actual practices."
  • A GARCH-EVT-copula approach for measuring market risk: an empirical comparison of different specifications
  • A structural simulation model for Systemic Risk in the Austrian Financial Market
  • Ambiguous Optimal Hedging e Dipendenze di Coda
  • Asset Allocation according to Factor Investing and Market Capitalization in the European Markets
  • Assistant Analyste PnL et risque de marché sur l'activité matières premières
  • 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
  • Counterparty Credit Risk with a Focus on Path Dependent Instruments
  • Credit Valuation Adjustment
  • DAX30 according to the Multi-Factor model
  • Determinants of default in Peer-to-Peer lending platforms
  • Discount for Lack of Marketabilty and Employee Stock Ownership Plans: Option Pricing Models to price restricted stocks
  • Discounts for Lack of Marketability
  • Energy commodity markets: an application for cointegrated commodities over the actual pricing models
  • Energy Efficiency and Credit Risk: An IFRS 9 Impairment Application
  • Eonia-€STR transition and Euribor-linked contracts fallback
  • European Banking Authority Stress Testing Overwiew of the changesof stress testing and
  • Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives
  • Financial contagion in the interbank market: fire sales and price-impact in a multilayered network
  • Fire sales forensics
  • Fire Sales, Price Impacts and Financial Contagion
  • Forecasting Initial Margin:Regression Methods for a Dynamic Initial Margin Model
  • 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
  • Implicit guarantee in city investment bonds of China
  • 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
  • Modelling the Realized Volatility of the Overnight Shanghai Interbank Offered Rate with Autoregressive Moving Average Model and Genetic Programming
  • Modello di Merton: Machine learning per la previsione del default di società non quotate
  • Modello di Merton: reti neurali artificiali per la previsione del default di società non quotate
  • Multilevel monte carlo method for derivative pricing
  • Optimal Hedge Ratio in an Incomplete Information and Ambiguous Setting
  • Predicting the direction of stock market prices using random forest algorithm
  • Prediction of the Yield Curve Using Nelson-Siegel and Nelson-Siegel-Svensson Models
  • Propose and Validate a Proper Bond Portfolio Strategy
  • Quantile-based Risk Sharing
  • 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.
  • Rough Volatility Calibration of the rHeston Model
  • Rough Volatility Model: un'analisi di performance della volatilità prevista
  • SABR model in swaption pricing
  • SABR MODEL: Interpolatore e Predittore della Volatilità
  • Sentiment Driven Investing - Trading on News and Social Media Sentiment
  • Simulation Methods for Derivatives Pricing
  • Systemic risk indicators: a sensitivity analysis in a dynamic network model of interbank lending
  • Techniques de data science appliquées à la gestion actif-passif
  • The CIR model, the Recovery Theorem and the Long-Bond Return Process
  • 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 Effects of Fed Fund Announcements on Stock Markets
  • 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 Derivatives: un Modello di Pricing Risk-Neutral per i Rainfall Derivatives
  • Weather risk hedging in the solar energy industry
  • Yield Curve Fitting in a Negative Interest Rate Environment: from Vasiček to the Generalized Hull-White Model