Silvia Romagnoli

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