vai alle Pubblicazioni
Pubblicazioni antecedenti il 2004
BOOKS
CHERUBINI U. – G.
DELLA LUNGA (2002) Matematica Finanziaria: Applicazioni con
Visual Basic per Excel, (Mathematical Finance: Visual
Basic for Excel Applications) McGraw-Hill Italia,
Milan
CHERUBINI U. – G.
DELLA LUNGA (2001)
Il Rischio Finanziario, (Financial Risk) McGraw-Hill
Italia, Milan
ARTICLES
CHERUBINI U. – E. LUCIANO
(2003) “Pricing
and Hedging Credit Derivatives with Copulas”, Economic Notes, 32,
219-242.
CHERUBINI U. – E. LUCIANO
(2003) “Pricing
Vulnerable Options with Copulas”, Journal of Risk Finance, 5
(1), 27-39.
CHERUBINI U. – E.
LUCIANO (2002) “Copula Vulnerability”,
RISK, ottobre, 83-86
CHERUBINI U. – E. LUCIANO
(2002) “Bivariate
Option
Pricing with Copulas”,
Applied Mathematical Finance, 9,
69-85
CHERUBINI U. – G. DELLA LUNGA
(2001) “Liquidity and Credit Risk” , Applied Mathematical
Finance, 8, 79-95
CHERUBINI U. – G. DELLA LUNGA
(2001) “Fuzzy Value-at-Risk: Accounting for Market Liquidity”,
Economic Notes, 30, 2, pp 293-312
CHERUBINI U. – E. LUCIANO (2001)
“Value-at-Risk Trade-Off and Capital Allocation with Copulas”,
Economic Notes, 30, 2, 235-256
CHERUBINI U. – G.
DELLA LUNGA (1999) “Stress Testing Techniques and Value-at-Risk
Measures: A Unified Approach”, Rivista di Matematica per le
Scelte Economiche e Sociali, 22, 77-99
BALDINI N. - U.
CHERUBINI, (1998):
"Term Structure Movements and Market Segmentation: A LISREL
Analysis of the Italian Case", Economic Notes , 27,
35-54.
CHERUBINI, U.
(1997): "Fuzzy Measures and Asset Prices: Accounting for
Information Ambiguity", Applied Mathematical Finance ,
vol.4, 135-49.
CHERUBINI, U. - A. SIRONI (1997): "Anomalie sul Mercato dei Titoli
di Stato: Un'Analisi con Reti Neurali Non-Supervisionate", in
Contributi all'Analisi Economica, Banca d'Italia, vol. 1,
383-406.
BAGLIONI, A. - CHERUBINI, U. (1997): "La Ristrutturazione del
Debito delle Imprese: Teoria ed Evidenza Empirica per il Caso
Italiano", in Angeloni I. et al. (eds): Le Banche ed il Finanziamento
delle Imprese, Il Mulino, Bologna.
BARUCCI, E. ,
U. CHERUBINI - L. LANDI (1997): "Neural Networks for Contingent
Claim Pricing via the Galerkin Method", in Amman et al. (eds) Computational Approaches to
Economic Problems, Kluwer Academic Publishers, 1997.
BARUCCI, E. ,
U. CHERUBINI - L. LANDI (1996): "No-Arbitrage Asset Pricing with
Neural Networks under Stochastic Volatility", in Refenes et al.
(eds) Neural Networks in
Financial Engineering, World Scientific Publishing.
BARUCCI, E. ,
U. CHERUBINI - L. LANDI (1996): "Computational Methods in Finance:
Option Pricing", IEEE Computational Science & Engineering
Magazine, spring, 66-80.
CHERUBINI, U. -
ESPOSITO, M. (1995): "Options in and on Interest Rate Futures
Contracts: Results from Martingale Pricing Theory", Applied
Mathematical Finance , vol. 2., 1-15.
BAGLIONI, A. -
CHERUBINI, U. (1994): "Capital Regulation, Adjustment Costs and
Bank Management: An (S,s) Approach", Rivista Internazionale di
Scienze Economiche, XLI, 10-11, pp. 893-904.
CHERUBINI, U. -
HAMAUI, R. (1994) "A Note on Italian Debt Sustainability ",
Economic and Financial Rewiew, Winter.
CHERUBINI, U. - GOVINO, C. - HAMAUI, R. (1994): "Liquidità ed
Efficienza Informativa sul Mercato dei BTP", in: Conti, V., R.
Hamaui (eds): Il Mercato dei
Titoli di Stato in Italia, Il Mulino
CHERUBINI, U. -
GOVINO, C. - HAMAUI, R. (1994): "Informational Efficiency and
liquidity on the T-Bond Market", in: Conti, V., R. Hamaui and Scobie H.M: (eds): Bond Markets, Treasury ande
Debt Management, Chapman-Hall
CHERUBINI, U. - ESPOSITO, M. - HAMAUI, R. (1993): "Processo di
price discovery, tecnologia di contrattazione e regole contabili
sul mercato telematico dei titoli di Stato", in: Contributi
all'Analisi Economica, Banca d'Italia.
CHERUBINI, U. - CIAMPOLINI, M. - HAMAUI, R. - SIRONI, A. (1993)
"Exchange Rates and Interest Rates Polarization,
Weltwirtschaftliches Archiv, 129, 4, 651-661.
BAGLIONI, A. -
CHERUBINI, U. (1993): "Intertemporal Budget Constraint and Public
Debt Sustainability: the Case of Italy", Applied Economics, 25,
275-283.
CHERUBINI, U. - SIRONI, A. (1992) : "Componenti strutturali e
'correzioni tecniche' nel mercato dei B.O.T.: un'analisi di common
trend", Rivista Internazionale di Scienze Sociali, 2, .
CHERUBINI, U. -
CIAMPOLINI, M. - DE FELICE, G. (1992): "The Role of Banks as
Investors in Securities: Theoretical and Empirical Features in an
International Perspective", in Conti, V. and R. Hamaui, (eds) Financial Liberalization and
the Role of Banks, Cambridge University Press.
CHERUBINI, U. -
CIAMPOLINI, M. - HAMAUI, R. - SIRONI, A. (1992) "Domestic and
Foreign Determinants of Interest rates in EMS Economies: The Case
of France and Italy" in Motamen-Scobie, Starck (ed.): Economic Policy Coordination in
an Integrating Europe, Bank of Finland, Helsinki.
CHERUBINI, U. - CIAMPOLINI, M. - HAMAUI, R. - SIRONI, A. (1992)
"Polarizzazione e asimmetrie nei tassi d'interesse in Europa" in E.
Giovannini (ed): I mercati
monetari e finanziari nel breve periodo, Il Sole 24 Ore
Libri.
CHERUBINI U.
(1991): "Futures Markets and Risk Management in the Banking
Industry: A Theoretical View", Economic Notes, 20, 3, pp.
600-618
CHERUBINI, U. - RATTI, M. (1991): "Quanto Valgono le Matricole?
Teoria ed Analisi Empirica", in Penati, A. (ed) Il rischio azionario e la
Borsa, EGEA, Milano.
CHERUBINI U. – CIAMPOLINI M. – DE FELICE G. (1991): “L'investimento
in titoli delle banche commerciali: un'analisi comparata”, in Conti
V. – R. Hamaui (ed) Operatori e Mercati nel
Processo di Liberalizzazione, vol III, 9-51
BAGLIONI, A. - CHERUBINI, U. (1990): "Bank Behavior under Capital
Requirement Regulations: Theory and Simulations", Giornale degli
Economisti e Annali di Economia, XLIX, 9-10, pp. 413-444.
PROCEEDINGS AND OTHER CONTRIBUTIONS
CHERUBINI U. –
ROMAGNOLI S. (2007): “The Dependence Structure of Running Maxima
and Minima: Results and Option Pricing Applications”, World
Conference: Computational Finance: The First Decade, London, March
26
CHERUBINI U. –
BAGLIONI A. (2005): “Accounting Fraud and the Pricing of Corporate
Liabilities: Structural Models with Garbling”, atti della 2005
World Conference Econometric Society, Londra
CHERUBINI U. –
MANERA M. (2005): “Hunting the Living Dead: A “Peso Problem” in
Corporate Liabilities Data”, International Conference
Journal of Applied Econometrics, Venezia, giugno.
CHERUBINI, U.
(2004): “Pricing Swap Credit Risk with Copulas”, IV International
Conference on Financial Engineering and Statistical Finance,
Tokyo, 18-19
march, II
International Credit Risk Conference, Montréal, 15-16
april
CHERUBINI U. – DELLA LUNGA G. (2003): “Fuzzy Pricing”, Jaffee-
Columbia Conference,
Tokyo, 15-16 march
CHERUBINI (2002): “Statistica per la gestione del rischio:
questioni di frontiera”, Società Italiana di Statistica, Milano,
Bicocca, June.
CHERUBINI (2000): “Comment on “Relazioni di
causalità tra prezzi a pronti e prezzi future sull'indice azionario
Mib30” by Rosario Rizzo in Violi R. (ed) Mercati dei derivati, controllo
monetario e stabilità finanziaria, Il Mulino, 159-162
CHERUBINI, U.
(1997): "Risk Management toward the EMU Era: A Review of Techniques
and Future Challenges", International IAFE Conference
(International Association of Financial Engineers): "EURO 99:
Implications for Risk Management", may, Paris.
BAGLIONI, A. -
CHERUBINI, U. (1995): "Financial Distress, Debt Restructuring and
the Role of Equity with Non-Additive Expected Utility", Conference
"The Design of the Banking System", IGIER.
CHERUBINI, U. -
HAMAUI, R. (1994) "Term Structure and Debt Sustainability: A Note
on The Italian Anomaly", Conference MIT-BCI on World Economy,
Milan, May.
CHERUBINI, U. -
SIRONI, A. (1993) : "Short Run Effects of Persistent Shocks in the
Term Structure", Collana Ricerche n. 93-7, Banca Commerciale
Italiana.
CHERUBINI, U.
(1993): " The Orthogonal Polynomial Approach to Contingent Claim
Pricing: Pricing Futures when Interest Rates Are Regulated",
Collana Ricerche n. 93-17, Banca Commerciale Italiana.
CHERUBINI, U. -
ESPOSITO, M. (1993): "Using Pearson's System to Characterize
Diffusion Processes: A Note", Collana Ricerche n. 93-1, Banca
Commerciale Italiana.
CHERUBINI, U. - RATTI, M. (1992): "Underpricing of Initial Public
Offerings in the Milan Stock Exchange, 1985-1991", EFER Conference
(European Foundation of Entrepreneurship Research), London Business
School, 13-15 December