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Silvia Muzzioli

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

Personal Details

First Name: Silvia
Middle Name:
Last Name: Muzzioli
Suffix:

RePEc Short-ID: pmu314

Email:
Homepage: http://www.economia.unimore.it/muzzioli_silvia/
Postal Address: V.le Berengario 51 41121 Modena, Italy
Phone: +39 059 2056771

Affiliation

(in no particular order)

Works

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Working papers

  1. Silvia Muzzioli, 2011. "Corridor implied volatility and the variance risk premium in the Italian market," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 11112, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".
  2. Silvia Muzzioli & Bernard De Baets, 2011. "Assessing the information content of option-based volatility forecasts using fuzzy regression methods," Department of Economics 0669, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
  3. Silvia Muzzioli, 2010. "Towards a volatility index for the Italian stock market," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 10091, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".
  4. Silvia Muzzioli, 2009. "The skew pattern of implied volatility in the DAX index options market," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 09122, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".
  5. Silvia Muzzioli, 2008. "Option based forecasts of volatility: An empirical study in the DAX index options market," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08051, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".
  6. Silvia Muzzioli, 2007. "The relation between implied and realised volatility: are call options more informative than put options? Evidence from the DAX index options market," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 07101, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".
  7. 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".
  8. 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".

Articles

  1. Silvia Muzzioli, 2011. "The Skew Pattern of Implied Volatility in the DAX Index Options Market," Frontiers in Finance and Economics, SKEMA Business School, vol. 8(1), pages 43-68, April.
  2. S. Muzzioli, 2010. "Option-based forecasts of volatility: an empirical study in the DAX-index options market," The European Journal of Finance, Taylor & Francis Journals, vol. 16(6), pages 561-586.
  3. 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.
  4. S. Muzzioli & H. Reynaerts, 2007. "Solving parametric fuzzy systems of linear equations by a nonlinear programming method," Computational Economics, Society for Computational Economics, vol. 29(2), pages 107-117, March.
  5. Muzzioli, Silvia & Reynaerts, Huguette, 2007. "The solution of fuzzy linear systems by non-linear programming: a financial application," European Journal of Operational Research, Elsevier, vol. 177(2), pages 1218-1231, March.
  6. V. Moriggia, S. Muzzioli, C. Torricelli, 2007. "Call an Put Implied Volatilities and the Derivation of Option Implied Trees," Frontiers in Finance and Economics, SKEMA Business School, vol. 4(1), pages 35-64, June.
  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.
  8. 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.
  9. 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.

NEP Fields

6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2011-11-28
  2. NEP-FMK: Financial Markets (4) 2008-05-24 2009-10-24 2009-12-11 2010-10-09. Author is listed
  3. NEP-FOR: Forecasting (4) 2008-05-24 2009-10-24 2009-12-11 2010-10-09. Author is listed
  4. NEP-MST: Market Microstructure (3) 2009-10-24 2009-12-11 2010-10-09. Author is listed
  5. NEP-ORE: Operations Research (1) 2008-05-24
  6. NEP-RMG: Risk Management (1) 2010-10-09

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