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Publications

by alumni of

Università Ca' Foscari Venezia → Dipartimento di Matematica Applicata

University Ca' Foscari Venice → Department of Applied Mathematics

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles | Books | Chapters |

Working papers

2024

  1. Paolo Pellizzari, 2024, "Learning Whether to Be Informed in an Agent-Based Evolutionary Market Model," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2024: 03.

2023

  1. Diana Barro & Luca Barzanti & Marco Corazza & Martina Nardon, 2023, "Machine Learning and Fundraising: Applications of Artificial Neural Networks," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2023: 33.

2020

  1. Diana Barro & Marco Corazza & Martina Nardon, 2020, "Cumulative Prospect Theory portfolio selection," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2020:26.

2019

  1. Martina Nardon & Paolo Pianca, 2019, "Insurance premium calculation under continuous cumulative prospect theory," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2019:03.

2017

  1. Luca Gerotto & Paolo Pellizzari, 2017, "A replication of Pindyck's willingness to pay: on the sacrifice needed to obtain results," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2017:27.

2016

  1. Martina Nardon & Paolo Pianca, 2016, "Covered call writing in a cumulative prospect theory framework," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2016:35.

2015

  1. Martina Nardon & Paolo Pianca, 2015, "Probability weighting functions," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2015:29.
  2. Shira Fano & Paolo Pellizzari, 2015, "The Effects of Facebook Discussions on Academic Performance," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2015:28.

2014

  1. Martina Nardon & Paolo Pianca, 2014, "European option pricing with constant relative sensitivity probability weighting function," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2014:25.
  2. Paolo Pellizzari & Dan Ladley, 2014, "The simplicity of optimal trading in order book markets," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2014:05.
  3. Paolo Pellizzari & Elena Sartori & Marco Tolotti, 2014, "Trade-in programs in the context of technological innovation with herding," Working Papers, Venice School of Management - Department of Management, Università Ca' Foscari Venezia, number 04, Apr.

2012

  1. Martina Nardon & Paolo Pianca, 2012, "Extracting information on implied volatilities and discrete dividends from American options prices," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012_25.
  2. Martina Nardon & Paolo Pianca, 2012, "Prospect theory: An application to European option pricing," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012:34.
  3. Ron Bird & Paolo Pellizzari & Danny Yeung & Paul Woolley, 2012, "The Strategic Implementation of an Investment Process in a Funds Management Firm," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 17, Sep.
  4. Danny Yeung & Paolo Pellizzari & Ron Bird & Sazali Abidin, 2012, "Diversification Versus Concentration ......... and the Winner Is?," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 18, Sep.
  5. Paolo Pellizzari, 2012, "Facebook as an academic learning platform: A case study in Mathematics," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012_01.
  6. Paolo Pellizzari & Dino Rizzi, 2012, "Citizenship and Power in an Agent-based Model of Tax Compliance with Public Expenditure," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012_24, revised 2012.
  7. Caterina Cruciani & Anna Moretti & Paolo Pellizzari, 2012, "Does sharing values lead to cooperation? A similarity-based investigation," Working Papers, Venice School of Management - Department of Management, Università Ca' Foscari Venezia, number 1, Jan.
  8. Caterina Cruciani & Anna Moretti & Paolo Pellizzari, 2012, "Sense making and information in an agent-based model of cooperation," Working Papers, Venice School of Management - Department of Management, Università Ca' Foscari Venezia, number 14, Sep.

2011

  1. Ron Bird & Paolo Pellizzari & Danny Yeung, 2011, "Performance Implications of Active Management of Institutional Mutual Funds," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 13, Sep.
  2. Shira Fano & Paolo Pellizzari, 2011, "Time-dependent trading strategies in a continuous double auction," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2011_03.
  3. Paolo Pellizzari & Dino Rizzi, 2011, "A Multi-Agent Model of Tax Evasion with Public Expenditure," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2011_15.
  4. Paolo Pellizzari, 2011, "Optimal trading in a limit order book using linear strategies," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2011_16, revised Sep 2011.

2010

  1. Martina Nardon & Paolo Pianca, 2010, "Extracting Implied Dividends from Options Prices: some Applications to the Italian Derivatives Market," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 198, Sep.
  2. Shira Fano & Marco Li Calzi & Paolo Pellizzari, 2010, "Convergence of outcomes and evolution of strategic behavior in double auctions," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 196, Feb.

2009

  1. Martina Nardon & Paolo Pianca, 2009, "Implied volatilities of American options with cash dividends: an application to Italian Derivatives Market (IDEM)," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 195, Nov.
  2. Paolo Pellizzari & Frank Westerhoff, 2009, "Some effects of transaction taxes under different microstructures," Post-Print, HAL, number hal-00727590, Sep, DOI: 10.1016/j.jebo.2009.08.010.
  3. Ron Bird & Lorenzo Casavecchia & Paolo Pellizzari & Paul Woolley, 2009, "The Impact on the Pricing Process of Costly Active Management and Performance Chasing Clients," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 3, Feb.
  4. Carl Chiarella & Xue-Zhong He & Paolo Pellizzari, 2009, "A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 251, Jul.
  5. Lucia Milone & Paolo Pellizzari, 2009, "Mutual funds flows and the "Sheriff of Nottingham" effect," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 188, Jun.

2008

  1. Martina Nardon & Paolo Pianca, 2008, "An efficient binomial approach to the pricing of options on stocks with cash dividends," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 178, Nov.
  2. Paolo Pellizzari, 2008, "The Toll of Subrational Trading in an Agent Based Economy," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 217, Mar.
  3. Marco LiCalzi & Paolo Pellizzari, 2008, "Zero-Intelligence Trading without Resampling," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 164, May.
  4. Marco LiCalzi & Lucia Milone & Paolo Pellizzari, 2008, "Allocative efficiency and traders' protection under zero intelligence behavior," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 168, Oct, revised Nov 2009.

2007

  1. Marco LiCalzi & Paolo Pellizzari, 2007, "Which market protocols facilitate fair trading?," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 151, May.

2006

  1. Martina Nardon & Paolo Pianca, 2006, "Simulation techniques for generalized Gaussian densities," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 145, Nov.
  2. Luca Barzanti & Corrado Corradi & Martina Nardon, 2006, "On the efficient application of the repeated Richardson extrapolation technique to option pricing," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 147, Nov.
  3. Marco LiCalzi & Paolo Pellizzari, 2006, "The allocative effectiveness of market protocols under intelligent trading," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 134, May.
  4. Alberto Fogale & Paolo Pellizzari & Massimo Warglien, 2006, "Learning and equilibrium selection in a coordination game with heterogeneous agents," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 135, May.
  5. Marco LiCalzi & Paolo Pellizzari, 2006, "Simple Market Protocols for Efficient Risk Sharing," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 136, Jul.
  6. Paolo Pellizzari & Arianna Dal Forno, 2006, "A comparison of different trading protocols in an agent-based market," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 140, Jul.

2005

  1. Martina Nardon, 2005, "Valuing defaultable bonds: an excursion time approach," Finance, University Library of Munich, Germany, number 0511015, Nov.
  2. Marco LiCalzi & Paolo Pellizzari, 2005, "Breeds of risk-adjusted fundamentalist strategies in an order- driven market," Computational Economics, University Library of Munich, Germany, number 0506001, Jun.

2003

  1. Paolo Pellizzari, 2003, "Static Hedging of Multivariate Derivatives by Simulation," Finance, University Library of Munich, Germany, number 0311013, Nov, revised 04 Dec 2003.

2002

  1. M. LiCalzi & P. Pellizzari, 2002, "Clashing Fundamentalists and the Dynamics of Price Formation," Computing in Economics and Finance 2002, Society for Computational Economics, number 95, Jul.
  2. Marco LiCalzi & Paolo Pellizzari, 2002, "Fundamentalists Clashing over the Book: A Study of Order-Driven Stock Markets," Computational Economics, University Library of Munich, Germany, number 0207001, Jul, revised 04 Mar 2003.
  3. Pizzi Claudio & Pellizzari Paolo, 2002, "Monte Carlo Pricing of American Options Using Nonparametric Regression," Finance, University Library of Munich, Germany, number 0207007, Aug, revised 04 Mar 2003.

1999

  1. A. Gamba & P. Pellizzari, 1999, "Utility based pricing of contingent claims," Finance, University Library of Munich, Germany, number 9902003, Feb, revised 14 Oct 2002.

1998

  1. P. Pellizzari, 1998, "Efficient Monte Carlo Pricing of Basket Options," Finance, University Library of Munich, Germany, number 9801001, Jan.

Journal articles

2022

  1. Rosario Maggistro & Paolo Pellizzari & Elena Sartori & Marco Tolotti, 2022, "Dangerous tangents: an application of $$\Gamma $$ Γ -convergence to the control of dynamical systems," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 45, issue 2, pages 451-480, December, DOI: 10.1007/s10203-022-00372-z.

2021

  1. Luca Gerotto & Paolo Pellizzari, 2021, "A replication of Pindyck’s willingness to pay: on the efforts required to obtain results," SN Business & Economics, Springer, volume 1, issue 5, pages 1-25, May, DOI: 10.1007/s43546-021-00069-2.

2020

  1. Donadelli, Michael & Gufler, Ivan & Pellizzari, Paolo, 2020, "The macro and asset pricing implications of rising Italian uncertainty: Evidence from a novel news-based macroeconomic policy uncertainty index," Economics Letters, Elsevier, volume 197, issue C, DOI: 10.1016/j.econlet.2020.109606.

2019

  1. Martina Nardon & Paolo Pianca, 2019, "European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions," Computational Management Science, Springer, volume 16, issue 1, pages 249-274, February, DOI: 10.1007/s10287-018-0324-y.
  2. Martina Nardon & Paolo Pianca, 2019, "Behavioral premium principles," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 42, issue 1, pages 229-257, June, DOI: 10.1007/s10203-019-00246-x.
  3. Danilo Liuzzi & Paolo Pellizzari & Marco Tolotti, 2019, "Fast traders and slow price adjustments: an artificial market with strategic interaction and transaction costs," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 14, issue 3, pages 643-662, September, DOI: 10.1007/s11403-018-0233-8.

2017

  1. Caterina Cruciani & Anna Moretti & Paolo Pellizzari, 2017, "Dynamic patterns in similarity-based cooperation: an agent-based investigation," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 12, issue 1, pages 121-141, April, DOI: 10.1007/s11403-015-0155-7.

2015

  1. Ron Bird & Paolo Pellizzari & Danny Yeung & David Gallagher, 2015, "Performance implications of active management of institutional mutual funds," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 55, issue 1, pages 1-27, March.
  2. Paolo Pellizzari & Friederike Wall, 2015, "Simulation in management accounting and management control: editorial," Journal of Management Control: Zeitschrift für Planung und Unternehmenssteuerung, Springer, volume 26, issue 2, pages 95-98, August, DOI: 10.1007/s00187-015-0215-0.
  3. Paolo Pellizzari & Elena Sartori & Marco Tolotti, 2015, "Optimal Policies In Two-Step Binary Games Under Social Pressure And Limited Resources," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., volume 18, issue 05n06, pages 1-16, August, DOI: 10.1142/S0219525915500204.

2014

  1. Pellizzari, Paolo & Rizzi, Dino, 2014, "Citizenship and power in an agent-based model of tax compliance with public expenditure," Journal of Economic Psychology, Elsevier, volume 40, issue C, pages 35-48, DOI: 10.1016/j.joep.2012.12.006.

2013

  1. Shira Fano & Marco LiCalzi & Paolo Pellizzari, 2013, "Convergence of outcomes and evolution of strategic behavior in double auctions," Journal of Evolutionary Economics, Springer, volume 23, issue 3, pages 513-538, July, DOI: 10.1007/s00191-011-0226-4.

2012

  1. Chiarella, Carl & He, Xue-Zhong & Pellizzari, Paolo, 2012, "A Dynamic Analysis Of The Microstructure Of Moving Average Rules In A Double Auction Market," Macroeconomic Dynamics, Cambridge University Press, volume 16, issue 4, pages 556-575, September.

2011

  1. Ron Bird & Lorenzo Casavecchia & Paolo Pellizzari & Paul Woolley, 2011, "The impact on the pricing process of costly active management and performance chasing clients," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 6, issue 1, pages 61-82, May, DOI: 10.1007/s11403-010-0076-4.

2009

  1. Pellizzari, Paolo & Westerhoff, Frank, 2009, "Some effects of transaction taxes under different microstructures," Journal of Economic Behavior & Organization, Elsevier, volume 72, issue 3, pages 850-863, December.

2008

  1. Martina Nardon, 2008, "First Passage and Excursion Time Models for Valuing Defautltable Bonds: a Review with Some Insights," Frontiers in Finance and Economics, SKEMA Business School, volume 5, issue 2, pages 1-25, October.

2007

  1. LiCalzi, Marco & Pellizzari, Paolo, 2007, "Simple market protocols for efficient risk sharing," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 11, pages 3568-3590, November.
  2. Fogale, Alberto & Pellizzari, Paolo & Warglien, Massimo, 2007, "Learning and equilibrium selection in a coordination game with heterogeneous agents," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 380, issue C, pages 519-527, DOI: 10.1016/j.physa.2007.02.073.
  3. Paolo Pellizzari & Arianna Forno, 2007, "A comparison of different trading protocols in an agent-based market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 2, issue 1, pages 27-43, June, DOI: 10.1007/s11403-006-0016-5.

2006

  1. LiCalzi, Marco & Pellizzari, Paolo, 2006, "Breeds of risk-adjusted fundamentalist strategies in an order-driven market," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 359, issue C, pages 619-633, DOI: 10.1016/j.physa.2005.06.039.

2005

  1. Pellizzari, P., 2005, "Static hedging of multivariate derivatives by simulation," European Journal of Operational Research, Elsevier, volume 166, issue 2, pages 507-519, October.

2004

  1. Antonella Basso & Martina Nardon & Paolo Pianca, 2004, "A two-step simulation procedure to analyze the exercise features of American options," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 27, issue 1, pages 35-56, August, DOI: 10.1007/s10203-004-0045-2.

2003

  1. Marco Licalzi & Paolo Pellizzari, 2003, "Fundamentalists clashing over the book: a study of order-driven stock markets," Quantitative Finance, Taylor & Francis Journals, volume 3, issue 6, pages 470-480, DOI: 10.1088/1469-7688/3/6/306.

2002

  1. Andrea Gam & Paolo Pellizzari, 2002, "Utility based pricing of contingent claims in incomplete markets," Applied Mathematical Finance, Taylor & Francis Journals, volume 9, issue 4, pages 241-260, DOI: 10.1080/1350486021000029255.

2001

  1. P. Pellizzari, 2001, "Efficient Monte Carlo pricing of European options¶using mean value control variates," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 24, issue 2, pages 107-126, November, DOI: 10.1007/s102030170002.

Books

2010

  1. Marco Li Calzi & Lucia Milone & Paolo Pellizzari (ed.), 2010, "Progress in Artificial Economics," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-13947-5, ISBN: ARRAY(0x771d1250), December, DOI: 10.1007/978-3-642-13947-5.

Chapters

2021

  1. Diana Barro & Marco Corazza & Martina Nardon, 2021, "Behavioral Aspects in Portfolio Selection," Springer Books, Springer, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo, "Mathematical and Statistical Methods for Actuarial Sciences and Finance", DOI: 10.1007/978-3-030-78965-7_14.

2015

  1. Paolo Pellizzari & Elena Sartori & Marco Tolotti, 2015, "Trade-In Programs in the Context of Technological Innovation with Herding," Lecture Notes in Economics and Mathematical Systems, Springer, in: Frédéric Amblard & Francisco J. Miguel & Adrien Blanchet & Benoit Gaudou, "Advances in Artificial Economics", DOI: 10.1007/978-3-319-09578-3_18.

2014

  1. Susanna Calimani & Paolo Pellizzari, 2014, "Tax Enforcement in an Agent-Based Model with Endogenous Audits," Lecture Notes in Economics and Mathematical Systems, Springer, in: Stephan Leitner & Friederike Wall, "Artificial Economics and Self Organization", DOI: 10.1007/978-3-319-00912-4_4.

2012

  1. Caterina Cruciani & Anna Moretti & Paolo Pellizzari, 2012, "Sense making and information in an agent-based model of cooperation," Lecture Notes in Economics and Mathematical Systems, Springer, chapter 0, in: Andrea Teglio & Simone Alfarano & Eva Camacho-Cuena & Miguel Ginés-Vilar, "Managing Market Complexity", DOI: 10.1007/978-3-642-31301-1_11.

2011

  1. Marco LiCalzi & Lucia Milone & Paolo Pellizzari, 2011, "Allocative Efficiency and Traders’ Protection Under Zero Intelligence Behavior," Dynamic Modeling and Econometrics in Economics and Finance, Springer, in: Herbert Dawid & Willi Semmler, "Computational Methods in Economic Dynamics", DOI: 10.1007/978-3-642-16943-4_2.
  2. Shira Fano & Paolo Pellizzari, 2011, "Time-Dependent Trading Strategies in a Continuous Double Auction," Lecture Notes in Economics and Mathematical Systems, Springer, in: Sjoukje Osinga & Gert Jan Hofstede & Tim Verwaart, "Emergent Results of Artificial Economics", DOI: 10.1007/978-3-642-21108-9_14.

2009

  1. Lucia Milone & Paolo Pellizzari, 2009, "Mutual Funds Flows and the “Sheriff of Nottingham” Effect," Lecture Notes in Economics and Mathematical Systems, Springer, chapter 0, in: Cesáreo Hernández & Marta Posada & Adolfo López-Paredes, "Artificial Economics", DOI: 10.1007/978-3-642-02956-1_10.

2008

  1. Martina Nardon & Paolo Pianca, 2008, "Simulating a Generalized Gaussian Noise with Shape Parameter 1/2," Springer Books, Springer, in: Cira Perna & Marilena Sibillo, "Mathematical and Statistical Methods in Insurance and Finance", DOI: 10.1007/978-88-470-0704-8_22.
  2. Marco LiCalzi & Paolo Pellizzari, 2008, "Zero-Intelligence Trading Without Resampling," Lecture Notes in Economics and Mathematical Systems, Springer, chapter 1, in: Klaus Schredelseker & Florian Hauser, "Complexity and Artificial Markets", DOI: 10.1007/978-3-540-70556-7_1.

2007

  1. Marco LiCalzi & Paolo Pellizzari, 2007, "Which Market Protocols Facilitate Fair Trading?," Lecture Notes in Economics and Mathematical Systems, Springer, chapter 6, in: Andrea Consiglio, "Artificial Markets Modeling", DOI: 10.1007/978-3-540-73135-1_6.

2006

  1. Marco LiCalzi & Paolo Pellizzari, 2006, "The Allocative Effectiveness of Market Protocols Under Intelligent Trading," Lecture Notes in Economics and Mathematical Systems, Springer, chapter 2, in: Charlotte Bruun, "Advances in Artificial Economics", DOI: 10.1007/3-540-37249-0_2.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.