Francesca Mariani

Personal Details

First Name:	Francesca
Middle Name:
Last Name:	Mariani
Suffix:
RePEc Short-ID:	pma2071
	[This author has chosen not to make the email address public]
	https://www.univpm.it/Entra/Economia_7/docname/idsel/728/docname/FRANCESCA%20MARIANI

Affiliation

Dipartimento di Scienze Economiche e Sociali
Facoltà di Economia "Giorgio Fuà"
Università Politecnica delle Marche

Ancona, Italy
http://www.dises.univpm.it/
RePEc:edi:deancit (more details at EDIRC)

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. Lorella Fatone & Francesca Mariani, 2019. "An assets-liabilities dynamical model of banking system and systemic risk governance," Papers 1905.12431, arXiv.org.

   Cited by:

   1. Lorella Fatone & Francesca Mariani, 2020. "Systemic risk governance in a dynamical model of a banking system with stochastic assets and liabilities," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 183-219, January.
   2. Gabriele Tedeschi & Fabio Caccioli & Maria Cristina Recchioni, 2020. "Taming financial systemic risk: models, instruments and early warning indicators," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 1-7, January.
   3. Bo, Lijun & Li, Tongqing & Yu, Xiang, 2022. "Centralized systemic risk control in the interbank system: Weak formulation and Gamma-convergence," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 622-654.
   4. Lorella Fatone & Francesca Mariani, 2019. "Systemic risk governance in a dynamical model of a banking system," Journal of Global Optimization, Springer, vol. 75(3), pages 851-883, November.

Articles

1. Mariani, Francesca & Recchioni, Maria Cristina & Ciommi, Mariateresa, 2019. "Merton’s portfolio problem including market frictions: A closed-form formula supporting the shadow price approach," European Journal of Operational Research, Elsevier, vol. 275(3), pages 1178-1189.

   Cited by:

   1. Feghhi Kashani , Mohammad & Mohebimajd , Ahmadreza, 2021. "Outperformance Testing of a Dynamic Assets Portfolio Selection Supplemented with a Continuous Paths Levy Process," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 16(2), pages 253-282, June.
   2. Nikolay Khabarov & Alexey Smirnov & Michael Obersteiner, 2022. "Shadow prices and optimal cost in economic applications," Papers 2211.03591, arXiv.org, revised Nov 2022.
   3. Francesca Mariani & Gloria Polinesi & Maria Cristina Recchioni, 2022. "A tail-revisited Markowitz mean-variance approach and a portfolio network centrality," Computational Management Science, Springer, vol. 19(3), pages 425-455, July.

2. Francesca Mariani & Ilaria Zambon & Luca Salvati, 2018. "Population Matters: Identifying Metropolitan Sub-Centers from Diachronic Density-Distance Curves, 1960–2010," Sustainability, MDPI, vol. 10(12), pages 1-16, December.

   Cited by:

   1. Eduard J. Alvarez-Palau & Jordi Martí-Henneberg & Jorge Solanas-Jiménez, 2019. "Urban Growth and Long-Term Transformations in Spanish Cities Since the Mid-Nineteenth Century: A Methodology to Determine Changes in Urban Density," Sustainability, MDPI, vol. 11(24), pages 1-22, December.
   2. Gianluca Egidi & Sirio Cividino & Sabato Vinci & Adele Sateriano & Rosanna Salvia, 2020. "Towards Local Forms of Sprawl: A Brief Reflection on Mediterranean Urbanization," Sustainability, MDPI, vol. 12(2), pages 1-16, January.
   3. Jian Feng & Yanguang Chen, 2021. "Modeling Urban Growth and Socio-Spatial Dynamics of Hangzhou, China: 1964–2010," Sustainability, MDPI, vol. 13(2), pages 1-25, January.

3. Lorella Fatone & Francesca Mariani & Maria Cristina Recchioni & Francesco Zirilli, 2013. "The Analysis of Real Data Using a Multiscale Stochastic Volatility Model," European Financial Management, European Financial Management Association, vol. 19(1), pages 153-179, January.

   Cited by:

   1. Recchioni, Maria Cristina & Tedeschi, Gabriele & Gallegati, Mauro, 2014. "A calibration procedure for analyzing stock price dynamics in an agent-based framework," FinMaP-Working Papers 26, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
      • Recchioni, Maria Cristina & Tedeschi, Gabriele & Gallegati, Mauro, 2015. "A calibration procedure for analyzing stock price dynamics in an agent-based framework," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 1-25.
   2. Andreas Kaeck & Carol Alexander, 2013. "Stochastic Volatility Jump†Diffusions for European Equity Index Dynamics," European Financial Management, European Financial Management Association, vol. 19(3), pages 470-496, June.
   3. Maria Cristina Recchioni & Yu Sun & Gabriele Tedeschi, 2016. "Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model," Working Papers 2016/23, Economics Department, Universitat Jaume I, Castellón (Spain).
      • Maria Cristina Recchioni & Yu Sun & Gabriele Tedeschi, 2017. "Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1257-1275, August.
   4. Recchioni, M.C. & Sun, Y., 2016. "An explicitly solvable Heston model with stochastic interest rate," European Journal of Operational Research, Elsevier, vol. 249(1), pages 359-377.
   5. Recchioni, Maria Cristina & Iori, Giulia & Tedeschi, Gabriele & Ouellette, Michelle S., 2021. "The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications," European Journal of Operational Research, Elsevier, vol. 293(1), pages 336-360.

4. Lorella Fatone & Francesca Mariani & Maria Cristina Recchioni & Francesco Zirilli, 2009. "An explicitly solvable multi‐scale stochastic volatility model: Option pricing and calibration problems," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 29(9), pages 862-893, September.

   Cited by:

   1. Maria Cristina Recchioni & Yu Sun & Gabriele Tedeschi, 2016. "Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model," Working Papers 2016/23, Economics Department, Universitat Jaume I, Castellón (Spain).
      • Maria Cristina Recchioni & Yu Sun & Gabriele Tedeschi, 2017. "Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1257-1275, August.
   2. Gifty Malhotra & R. Srivastava & H. C. Taneja, 2018. "Quadratic approximation of the slow factor of volatility in a multifactor stochastic volatility model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(5), pages 607-624, May.
   3. Seungho Yang & Jaewook Lee, 2014. "Do affine jump-diffusion models require global calibration? Empirical studies from option markets," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 111-123, January.
   4. Recchioni, M.C. & Sun, Y., 2016. "An explicitly solvable Heston model with stochastic interest rate," European Journal of Operational Research, Elsevier, vol. 249(1), pages 359-377.
   5. Bianca Reichert & Adriano Mendon a Souza, 2022. "Can the Heston Model Forecast Energy Generation? A Systematic Literature Review," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 289-295.
   6. Jang, H. & Lee, J., 2019. "Machine learning versus econometric jump models in predictability and domain adaptability of index options," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 74-86.
   7. Tao Pang & Katherine Varga, 2019. "Portfolio Optimization for Assets with Stochastic Yields and Stochastic Volatility," Journal of Optimization Theory and Applications, Springer, vol. 182(2), pages 691-729, August.
   8. Issouf Soumaré & Ernest Tafolong, 2017. "Risk-based capital for credit insurers with business cycles and dynamic leverage," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 597-612, April.

5. A. Farina & A. Graziano & F. Mariani & F. Zirilli, 2008. "Probabilistic Analysis of Failures in Power Transmission Networks and Phase Transitions: Study Case of a High-Voltage Power Transmission Network," Journal of Optimization Theory and Applications, Springer, vol. 139(1), pages 171-199, October.

   Cited by:

   1. Rocco S., Claudio M. & Emmanuel Ramirez-Marquez, José, 2013. "Identification of top contributors to system vulnerability via an ordinal optimization based method," Reliability Engineering and System Safety, Elsevier, vol. 114(C), pages 92-98.

More information

Research fields, statistics, top rankings, if available.

Statistics

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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-BAN: Banking (2) 2019-01-21 2019-06-10
2. NEP-RMG: Risk Management (2) 2019-01-21 2019-06-10
3. NEP-CBA: Central Banking (1) 2019-06-10
4. NEP-MON: Monetary Economics (1) 2019-01-21

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