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Umberto Cherubini

Professore ordinario

Dipartimento di Scienze Economiche

Settore scientifico disciplinare: STAT-04/A Metodi matematici dell’economia e delle scienze attuariali e finanziarie

Temi di ricerca

Parole chiave: Macro-finanza Asset Pricing Rischio sistemico Option Pricing Coipula Functions

  • TIME CHANGE MODELS
  1. Stochastic Clocks, Kelly Investing and Long Term Risk.
  2. Pseudo-Affine Term Structure Models.
  3. Asset Pricing with Time Change Model
  • MACROECONOMIC AND SOVEREIGN RISK
  1. Redenomination risk and comparison with default risk
  2. Systemic Risk, Diabolic Loop and Too-Big-to-Fail.
  3. CDS vs Option Pricing Based Systemic Risk Based Models
  • OPTION PRICING
  1. Smiles and the Algebraic Approach to Option Pricing
  2. Liquidity and Choquet Pricing
  3. Risk Measures


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