Graziella Pacelli

Personal Details

First Name:	Graziella
Middle Name:
Last Name:	Pacelli
Suffix:
RePEc Short-ID:	ppa200

Affiliation

Università Politecnica delle Marche- Dipartimento di Scienze Sociali

http://www.univpm.it
(60121) Ancona- Italy

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Marta Cardin & Graziella Pacelli, 2006. "On the characterization of convex premium principles," Working Papers 142, Department of Applied Mathematics, Università Ca' Foscari Venezia.
   • Marta Cardin & Graziella Pacelli, 2008. "Characterization of Convex Premium Principles," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods in Insurance and Finance, pages 53-60, Springer.

   Cited by:

   1. Marta Cardin & Elisa Pagani, 2008. "Some proposals about multivariate risk measurement," Working Papers 165, Department of Applied Mathematics, Università Ca' Foscari Venezia.

Articles

1. Ballestra, Luca Vincenzo & Ottaviani, Massimiliano & Pacelli, Graziella, 2012. "An operator splitting harmonic differential quadrature approach to solve Young’s model for life insurance risk," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 442-448.

   Cited by:

   1. Alessandro Andreoli & Luca Vincenzo Ballestra & Graziella Pacelli, 2018. "Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 379-406, March.

2. Luca Vincenzo Ballestra & Graziella Pacelli, 2009. "A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(1), pages 17-36.

   Cited by:

   1. Ballestra, Luca Vincenzo & Pacelli, Graziella, 2014. "Valuing risky debt: A new model combining structural information with the reduced-form approach," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 261-271.
   2. Hyong-Chol O. & Jong-Chol Kim & Il-Gwang Jon, 2017. "Numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon," Papers 1709.06517, arXiv.org, revised Aug 2018.

3. Ballestra, Luca Vincenzo & Pacelli, Graziella & Zirilli, Francesco, 2007. "A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3420-3437, November.

   Cited by:

   1. Fuh, Cheng-Der & Luo, Sheng-Feng & Yen, Ju-Fang, 2013. "Pricing discrete path-dependent options under a double exponential jump–diffusion model," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2702-2713.
   2. Carlos Esparcia & Elena Ibañez & Francisco Jareño, 2020. "Volatility Timing: Pricing Barrier Options on DAX XETRA Index," Mathematics, MDPI, vol. 8(5), pages 1-25, May.
   3. Bara Kim & In-Suk Wee, 2014. "Pricing of geometric Asian options under Heston's stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 14(10), pages 1795-1809, October.
   4. Kiseop Lee & Seongje Lim & Hyungbin Park, 2022. "Option pricing under path-dependent stock models," Papers 2211.10953, arXiv.org, revised Aug 2023.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-IAS: Insurance Economics (2) 2005-12-09 2006-11-18
2. NEP-RMG: Risk Management (1) 2005-12-09

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Graziella Pacelli should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.