Advanced Search
MyIDEAS: Login

Publications

by members of

Dipartimento di Matematica per le Scienze Economiche e Sociali "MatemateS"
Alma Mater Studiorum - Università di Bologna
Bologna, Italy

(Department of Mathematics for Economics and Scoial Sciences, University of Bologna))

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2010

  1. Corradi, Corrado & Corradi, Valentina, 2010. "Strategic manipulations and collusions in Knaster procedure: a comment," MPRA Paper 28678, University Library of Munich, Germany.

2009

  1. C. Lucarelli & M. E. Bontempi & C. Mazzoli & A. G. Quaranta, 2009. "Pre-trade transparency on the Italian Stock Exchange: a trade size model on panel data," Working Papers 678, Dipartimento Scienze Economiche, Universita' di Bologna.

2008

  1. E. Agliardi & M.L. Guerra & L. Stefanini, 2008. "A fuzzy model for sensitivity analysis in real options," Working Papers 643, Dipartimento Scienze Economiche, Universita' di Bologna.

2007

  1. Raffaella Barone & Roy Cerqueti & Anna Grazia Quaranta, 2007. "A stochastic model for financiers," Working Papers 42-2007, Macerata University, Department of Finance and Economic Sciences, revised Oct 2008.
  2. Maria Letizia Guerra & Laerte Sorini & Luciano Stefanini, 2007. "Interval LU-fuzzy arithmetic in the Black and Scholes option pricing," Working Papers 0704, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2007.
  3. Luciano Stefanini & Maria Letizia Guerra, 2007. "On Fuzzy Arithmetic Operations: Some Properties and Distributive Approximations," Working Papers 0703, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2007.
  4. Riccardo Cesari & Giuseppe Grande & Fabio Panetta, 2007. "La Previdenza Complementare in Italia: Caratteristiche, Sviluppo e Opportunità per i Lavoratori," CeRP Working Papers 60, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  5. Riccardo Cesari & Giuseppe Grande & Fabio Panetta, 2007. "Supplementary pension schemes in Italy: features, development and opportunities for workers," Questioni di Economia e Finanza (Occasional Papers) 8, Bank of Italy, Economic Research and International Relations Area.

2006

  1. Luca Barzanti & Corrado Corradi & Martina Nardon, 2006. "On the efficient application of the repeated Richardson extrapolation technique to option pricing," Working Papers 147, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  2. Barzanti, Luca & Pieressa, Luca, 2006. "Soluzioni tecnologiche per la gestione del Fund Raising: un'analisi comparativa," AICCON Working Papers 30-2006, Associazione Italiana per la Cultura della Cooperazione e del Non Profit.

2005

  1. R. Cesari & C. D'Adda, 2005. "A suggestion for simplifying the theory of asset prices," Working Papers 537, Dipartimento Scienze Economiche, Universita' di Bologna.

2003

  1. R. Cesari, 2003. "Option Pricing and Asset Valuation," Working Papers 467, Dipartimento Scienze Economiche, Universita' di Bologna.
  2. Riccardo Cesari & Marzia Freo, 2003. "Analysis of european stock returns: evidence of a new risk factor," Quaderni di Dipartimento 3, Department of Statistics, University of Bologna.

2001

  1. R. Cesari, 2001. "A Simple Approach to CAPM and Option Pricing," Working Papers 418, Dipartimento Scienze Economiche, Universita' di Bologna.

1999

  1. Riccardo Cesari, 1999. "The economic effects of the new rules for the taxation of income from financial investment," Temi di discussione (Economic working papers) 349, Bank of Italy, Economic Research and International Relations Area.

1998

  1. Riccardo Cesari & Fabio Panetta, 1998. "Style, Fees and Performance of Italian Equity Funds," Temi di discussione (Economic working papers) 325, Bank of Italy, Economic Research and International Relations Area.

1994

  1. Riccardo Cesari, 1994. "A generalized measure of competition," Working Papers 204, Dipartimento Scienze Economiche, Universita' di Bologna.
  2. Bianchi, C. & Cesari, R. & Panattoni, L., 1994. "Alternative Estimators of the Cox, ingersoll and Ross Model of the Term Structure of Interest Rates: A Monte Carlo Comparison," Papers 236, Banca Italia - Servizio di Studi.

1991

  1. Riccardo Cesari, 1991. "Maturity Effects of Futures and Forward Prices in a Two-Factor General Equilibrium Model," Working Papers 124, Dipartimento Scienze Economiche, Universita' di Bologna.

Journal articles

2013

  1. Gian Luca Tassinari & Corrado Corradi, 2013. "Pricing equity and debt tranches of collateralized funds of hedge fund obligations: An approach based on stochastic time change and Esscher-transformed martingale measure," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1991-2010, December.

2012

  1. Raffaella Barone & Roy Cerqueti & Anna Quaranta, 2012. "Illegal finance and usurers behaviour," European Journal of Law and Economics, Springer, vol. 34(2), pages 265-277, October.
  2. Mauro Marconi & Anna Grazia Quaranta & Silvana Tartufoli, 2012. "Lineamenti dell’evoluzione del settore manifatturiero. Le Marche quale laboratorio," ARGOMENTI, FrancoAngeli Editore, vol. 2012(35), pages 5-30.
  3. Gianna Figa-Talamanca & Maria Letizia Guerra, 2012. "Market Application of the Fuzzy-Stochastic Approach in the Heston Option Pricing Model," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(2), pages 162-179, May.

2011

  1. Riccardo Cesari & Anna Grazia Quaranta, 2011. "A robust risk-based approach in portfolio management," BANCARIA, Bancaria Editrice, vol. 1, pages 18-31, January.
  2. Figà-Talamanca, G. & Guerra, M.L. & Stefanini, L., 2011. "Fuzzy uncertainty in the heston stochastic volatility model," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(2), pages 3-19, November.

2010

  1. Massimo Biasin & Anna Grazia Quaranta & Emanuela Giacomini, 2010. "Italian real estate funds and regulatory structure: effects on Nav discount," BANCARIA, Bancaria Editrice, vol. 1, pages 31-45, January.
  2. Massimo Biasin & Anna Grazia Quaranta, 2010. "Effects of Regulatory and Market Constraints on the Capital Structure and Share Value of REITs: Evidence from the Italian Market," International Real Estate Review, Asian Real Estate Society, vol. 13(3), pages 282-322.

2008

  1. Quaranta, Anna Grazia & Zaffaroni, Alberto, 2008. "Robust optimization of conditional value at risk and portfolio selection," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2046-2056, October.
  2. Riccardo Cesari & Giuseppe Grandi & Fabio Panetta, 2008. "Supplementary Pension Schemes in Italy: Features,Development and Opportunities for Workers," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 67(1), pages 21-73, March.

2006

  1. Figa-Talamanca, Gianna & Guerra, Maria Letizia, 2006. "Fitting prices with a complete model," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 247-258, January.

2005

  1. Guerra, Maria Letizia & Sorini, Laerte, 2005. "Testing robustness in calibration of stochastic volatility models," European Journal of Operational Research, Elsevier, vol. 163(1), pages 145-153, May.
  2. Luca Barzanti & Corrado Corradi, 2005. "On the computation of upper approximations to ultimate ruin probabilities in case of DFR claimsize distributions," Statistica, Department of Statistics, University of Bologna, vol. 65(2), pages 219-225.

2003

  1. Cesari, Riccardo & Cremonini, David, 2003. "Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 987-1011, April.

2002

  1. Cesari, Riccardo & Panetta, Fabio, 2002. "The performance of Italian equity funds," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 99-126, January.

1998

  1. Barzanti, Luca & Corradi, Corrado, 1998. "Erratum to: "A note on interest rate term structure estimation using tension splines" [Insurance: Mathematics and Economics 22 (1998) 139-143]," Insurance: Mathematics and Economics, Elsevier, vol. 23(2), pages 179-180, November.
  2. Barzanti, Luca & Corradi, Corrado, 1998. "A note on interest rate term structure estimation using tension splines," Insurance: Mathematics and Economics, Elsevier, vol. 22(2), pages 139-143, June.

1997

  1. Luca Barzanti & Corrado Corradi, 1997. "Monotonicity preserving regression techniques for interest rate term structure estimation: A note," Decisions in Economics and Finance, Springer, vol. 20(2), pages 125-131, September.

1996

  1. Corradi, Corrado, 1996. "On the estimation of smooth forward rate curves from a finite number of observations: A comment," Insurance: Mathematics and Economics, Elsevier, vol. 18(2), pages 115-117, July.

1991

  1. C. Corradi, 1991. "Approximating the solution of an integral equation arising in the theory of risk: A comment," Decisions in Economics and Finance, Springer, vol. 14(1), pages 3-7, March.
  2. Cesari, Riccardo, 1991. "La valutazione delle attività finanziarie in mercati imperfetti: una nota su premio al rischio e potere di mercato - The Valuation of Assets in Imperfect Markets: A Note on Risk Premium and Market Po," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 44(1), pages 20-26.

1990

  1. Corradi, Corrado, 1990. "On Square Root Kalman Filtering: A Comment," Computer Science in Economics & Management, Society for Computational Economics, vol. 3(3), pages 269-70.

1979

  1. Corradi, Corrado, 1979. "A note on the computation of maximum likelihood estimates in linear regression models with autocorrelated errors," Journal of Econometrics, Elsevier, vol. 11(2-3), pages 303-317.

1977

  1. Corradi, Corrado, 1977. "Smooth distributed lag estimators and smoothing spline functions in Hilbert spaces," Journal of Econometrics, Elsevier, vol. 5(2), pages 211-219, March.
  2. Corradi, Corrado, 1977. "A Variable Projection Algorithm for Estimating Nonlinear Systems of Equations by Iterated Generalized Least Squares," Empirical Economics, Springer, vol. 2(2), pages 101-08.

1976

  1. Corradi, C & Gambetta, G, 1976. "The Estimation of Distributed Lags by Spline Functions," Empirical Economics, Springer, vol. 1(1), pages 41-51.