This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Information about:
Costanza Torricelli

Personal Details | Affiliation | Works
This is information that was supplied by Costanza Torricelli in registering through RePEc. If you are Costanza Torricelli , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

First Name: Costanza
Middle Name:
Last Name: Torricelli
Suffix:

RePEc Short-ID: pto78

Email:
Homepage: http://www.economia.unimore.it/torricelli_costanza/index.htm
Postal Address:
Phone:

Affiliation

(in no particular order)

Works

| Working papers | Articles | Books | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Costanza Torricelli, 2009. "Models For Household Portfolios And Life-Cycle Allocations In The Presence Of Labour Income And Longevity Risk," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 09033, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi". [Downloadable!]

  2. Graziella Bertocchi & Marianna Brunetti & Costanza Torricelli, 2008. "Marriage and Other Risky Assets: A Portfolio Approach," Department of Economics 0606, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]
    Other versions:

  3. Simona Castellani & Chiara Pederzoli & Costanza Torricelli, 2008. "Indebtedness, macroeconomic conditions and banks’ loan losses: evidence from Italy," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08014, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi". [Downloadable!]

  4. Chiara Pederzoli & Costanza Torricelli & Dimitrios P. Tsomocos, 2008. "Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework," OFRC Working Papers Series 2008fe27, Oxford Financial Research Centre. [Downloadable!]
    Published as:

  5. Marianna Brunetti & Costanza Torricelli, 2007. "The Effect of Population Ageing on Household Portfolio Choices in Italy," Department of Economics 545, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]

  6. Michele Bonollo & Davide Morandi & Chiara Pederzoli & Costanza Torricelli, 2007. "Model risk and techniques for controlling market parameters. The experience in Banco Popolare," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 07102, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi". [Downloadable!]

  7. Marianna Brunetti & Costanza Torricelli, 2007. "The Effect of Population Ageing on Household Portfolio Choices in Italy," Heterogeneity and monetary policy 0702, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica. [Downloadable!]
    Other versions:

  8. Marianna Brunetti & Costanza Torricelli, 2007. "The role of demographic variables in explaining financial returns in Italy," Heterogeneity and monetary policy 0701, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica. [Downloadable!]

  9. Costanza Torricelli & Marianna Brunetti, 2006. "Economic activity and Recession Probabilities: spread predictive power in Italy," Computing in Economics and Finance 2006 350, Society for Computational Economics.

  10. Chiara Pederzoli & Costanza Torricelli, 2006. "Optimal banks behaviour and procyclicality," Computing in Economics and Finance 2006 349, Society for Computational Economics.

  11. Giuseppe Marotta & Chiara Pederzoli & Costanza Torricelli, 2005. "Forward-looking estimation of default probabilities with Italian data," Heterogeneity and monetary policy 0504, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica. [Downloadable!]

  12. Costanza Torricelli & Marianna Brunetti, 2005. "Economic Growth Rates and Recession Probabilities:the predictive power of the term spread in Italy," Department of Economics 518, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]

  13. Brunetti M. & Torricelli C., 2005. "The internal efficiency of Index Option Markets," Computing in Economics and Finance 2005 158, Society for Computational Economics. [Downloadable!]

  14. Vittorio Moriggia & Silvia Muzzioli & Costanza Torricelli, 2005. "The no arbitrage condition in option implied trees: evidence from the Italian index options market," Department of Economics 491, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]

  15. V. Moriggia & S. Muzzioli & C. Torricelli, 2005. "The no arbitrage condition in option implied trees: evidence from the Italian index options market," Department of Economics 0491, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]

  16. Costanza Torricelli & Marianna Brunetti, 2004. "The internal efficiency of Index Option Markets:Tests on the Italian Market," Department of Economics 0472, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]

  17. Costanza Torricelli & Chiara Pederzoli, 2004. "A forward-looking model for time-varying capital requirements and the New Basel Capital Accord," Department of Economics 453, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]

  18. Costanza Torricelli & Chiara Pederzoli, 2004. "A forward-looking model for time-varying capital requirements and the New Basel Capital Accord," Department of Economics 0453, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]

  19. Costanza Torricelli & Marianna Brunetti, 2004. "The internal efficiency of Index Option Markets:Tests on the Italian Market," Department of Economics 472, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]

  20. Costanza Torricelli & Marianna Brunetti, 2003. "The Put-Call Parity in the Index Options Markets: Further results for the Italian Mib30 Options market," Department of Economics 436, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]

  21. Vittorio Moriggia & Silvia Muzzioli & Costanza Torricelli, 2003. "Call and put implied volatilities and the derivation of option implied trees," Department of Economics 448, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]

  22. Costanza Torricelli & Marianna Brunetti, 2003. "The Put-Call Parity in the Index Options Markets: Further results for the Italian Mib30 Options market," Department of Economics 0436, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]

  23. V. Moriggia & S. Muzzioli & C. Torricelli, 2003. "Call and put implied volatilities and the derivation of option implied trees," Department of Economics 0448, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]

  24. Gianna Boero & C. Torricelli, 1999. "The Information in the Term of Structure: further Results for Germany," Working Paper CRENoS 199912, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]

  25. Boero, G. & Torricelli, C., 1998. "Tests of the Expectations Hypothesis and Policy Reaction to the Term Spread: Some Comparative Evidence," The Warwick Economics Research Paper Series (TWERPS) 512, University of Warwick, Department of Economics. [Downloadable!]

  26. Gianna Boero & C. Torricelli, 1997. "The expectations hypothesis of the term structure: Evidence for Germany," Working Paper CRENoS 199704, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]

  27. D. Mercurio & C. Torricelli, . "Estimation and Arbitrage Opportunities for Exchange Rate Baskets," Sonderforschungsbereich 373 2001-37, Humboldt Universitaet Berlin.
    Published as:

Articles

  1. Chiara Pederzoli & Costanza Torricelli & Dimitrios Tsomocos, 2010. "Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework," Annals of Finance, Springer, vol. 6(1), pages 33-49, January. [Downloadable!] (restricted)
    Other versions:

  2. Moriggia, V. & Muzzioli, S. & Torricelli, C., 2009. "On the no-arbitrage condition in option implied trees," European Journal of Operational Research, Elsevier, vol. 193(1), pages 212-221, February. [Downloadable!] (restricted)

  3. Marianna Brunetti & Costanza Torricelli, 2009. "Economic activity and recession probabilities: information content and predictive power of the term spread in Italy," Applied Economics, Taylor and Francis Journals, vol. 41(18), pages 2309-2322. [Downloadable!] (restricted)

  4. V. Moriggia, S. Muzzioli, C. Torricelli, 2007. "Call an Put Implied Volatilities and the Derivation of Option Implied Trees," Frontiers in Finance and Economics, Lille Graduate School of Management, vol. 4(1), pages 35-64, June. [Downloadable!]

  5. M. Brunetti & C. Torricelli, 2007. "The internal and cross market efficiency in index option markets: an investigation of the Italian market," Applied Financial Economics, Taylor and Francis Journals, vol. 17(1), pages 25-33, January. [Downloadable!] (restricted)

  6. Brunetti, Marianna & Torricelli, Costanza, 2005. "Put-call parity and cross-markets efficiency in the index options markets: evidence from the Italian market," International Review of Financial Analysis, Elsevier, vol. 14(5), pages 508-532. [Downloadable!] (restricted)

  7. Muzzioli, S. & Torricelli, C., 2005. "The pricing of options on an interval binomial tree. An application to the DAX-index option market," European Journal of Operational Research, Elsevier, vol. 163(1), pages 192-200, May. [Downloadable!] (restricted)

  8. Pederzoli, Chiara & Torricelli, Costanza, 2005. "Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3121-3140, December. [Downloadable!] (restricted)

  9. Muzzioli, Silvia & Torricelli, Costanza, 2004. "A multiperiod binomial model for pricing options in a vague world," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 861-887, February. [Downloadable!] (restricted)

  10. Danilo Mercurio & Costanza Torricelli, 2003. "Estimation and arbitrage opportunities for exchange rate baskets," Applied Economics, Taylor and Francis Journals, vol. 35(15), pages 1689-1698, October. [Downloadable!] (restricted)
    Other versions:

  11. Gianna Boero & Costanza Torricelli, 2002. "The information in the term structure of German interest rates," European Journal of Finance, Taylor and Francis Journals, vol. 8(1), pages 21-45, March. [Downloadable!] (restricted)

  12. Muzzioli, Silvia & Torricelli, Costanza, 2001. "A Model For Pricing An Option With A Fuzzy Payoff," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(1), pages 49-87, May.

  13. Boero, G. & Torricelli, C., 1996. "A comparative evaluation of alternative models of the term structure of interest rates," European Journal of Operational Research, Elsevier, vol. 93(1), pages 205-223, August. [Downloadable!] (restricted)

  14. Torricelli, Costanza, 1994. "Futures market and spot price volatility: A model for a storable commodity," European Journal of Political Economy, Elsevier, vol. 10(2), pages 339-355, July. [Downloadable!] (restricted)

Books

  1. Ignazio Visco & Barry Eichengreen & Gilles Mourre & Declan Costello & Giuseppe Carone & Nuria Diez Guardia & Bartosz Przywara & Aino Salomäki & Vincenzo Galasso & Mark Weth & Sebastian Schich & Etien, 2007. "Money, Finance and Demography: The Consequences of Ageing," SUERF Colloquium Volumes, SUERF - The European Money and Finance Forum, number 1 edited by Morten Balling & Ernest Gnan & Frank Lierman, November.

NEP Fields

13 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (3) 2007-10-27 2008-02-16 2008-07-20
  2. NEP-BEC: Business Economics (1) 2008-07-20
  3. NEP-EEC: European Economics (1) 2007-02-17
  4. NEP-FDG: Financial Development & Growth (1) 2008-02-16
  5. NEP-FIN: Finance (1) 2005-04-30
  6. NEP-IFN: International Finance (1) 2001-09-10
  7. NEP-LAB: Labour Economics (3) 2009-02-14 2009-02-22 2009-04-13
  8. NEP-MAC: Macroeconomics (5) 2005-04-30 2008-02-16 2009-02-22 2009-02-28 2009-02-28 Author is listed
  9. NEP-RMG: Risk Management (4) 2007-02-17 2007-10-27 2008-02-16 2008-07-20 Author is listed
Did you know? There is a FAQ (frequently asked questions).

This page was last updated on 2009-11-16.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.