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Luca Barzanti

Personal Details

First Name:Luca
Middle Name:
Last Name:Barzanti
Suffix:
RePEc Short-ID:pba733

Affiliation

(in no particular order)

Dipartimento di Matematica per le Scienze Economiche e Sociali "MatemateS" (Department of Mathematics for Economics and Social Sciences)
Alma Mater Studiorum - Università di Bologna (University of Bologna)

Bologna, Italy
http://www.matemates.unibo.it/
RePEc:edi:dmbolit (more details at EDIRC)

Facoltà di Economia (Faculty of Economics)
Alma Mater Studiorum - Università di Bologna (University of Bologna)

Forlì, Italy
http://www.ecofo.unibo.it/
RePEc:edi:ffbolit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Luca Barzanti & Corrado Corradi & Martina Nardon, 2006. "On the efficient application of the repeated Richardson extrapolation technique to option pricing," Working Papers 147, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  2. Barzanti, Luca & Pieressa, Luca, 2006. "Soluzioni tecnologiche per la gestione del Fund Raising: un'analisi comparativa," AICCON Working Papers 30-2006, Associazione Italiana per la Cultura della Cooperazione e del Non Profit.

Articles

  1. Luca Barzanti & Corrado Corradi, 2005. "On the computation of upper approximations to ultimate ruin probabilities in case of DFR claimsize distributions," Statistica, Department of Statistics, University of Bologna, vol. 65(2), pages 219-225.
  2. Barzanti, Luca & Corradi, Corrado, 1998. "A note on interest rate term structure estimation using tension splines," Insurance: Mathematics and Economics, Elsevier, vol. 22(2), pages 139-143, June.
  3. Barzanti, Luca & Corradi, Corrado, 1998. "Erratum to: "A note on interest rate term structure estimation using tension splines" [Insurance: Mathematics and Economics 22 (1998) 139-143]," Insurance: Mathematics and Economics, Elsevier, vol. 23(2), pages 179-180, November.
  4. Luca Barzanti & Corrado Corradi, 1997. "Monotonicity preserving regression techniques for interest rate term structure estimation: A note," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 20(2), pages 125-131, September.

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

    Sorry, no citations of working papers recorded.

Articles

  1. Barzanti, Luca & Corradi, Corrado, 1998. "A note on interest rate term structure estimation using tension splines," Insurance: Mathematics and Economics, Elsevier, vol. 22(2), pages 139-143, June.

    Cited by:

    1. Márcio Laurini, 2012. "Dynamic Functional Data Analysis with Nonparametric State Space Models," IBMEC RJ Economics Discussion Papers 2012-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
    2. de Kort, J. & Vellekoop, M.H., 2016. "Term structure extrapolation and asymptotic forward rates," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 107-119.
    3. Damir Filipović & Sander Willems, 2016. "Exact Smooth Term Structure Estimation," Swiss Finance Institute Research Paper Series 16-38, Swiss Finance Institute.
    4. Fengler, Matthias R. & Hin, Lin-Yee, 2014. "A simple and general approach to fitting the discount curve under no-arbitrage constraints," Economics Working Paper Series 1423, University of St. Gallen, School of Economics and Political Science.
    5. Eduardo Mineo & Airlane Pereira Alencar & Marcelo Moura & Antonio Elias Fabris, 2020. "Forecasting the Term Structure of Interest Rates with Dynamic Constrained Smoothing B-Splines," JRFM, MDPI, vol. 13(4), pages 1-14, April.
    6. Laurini, Márcio P. & Moura, Marcelo, 2007. "Constrained Smoothing Splines for the Term Structure of Interest Rates," Insper Working Papers wpe_100, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    7. Rafael Barros de Rezende, 2011. "Giving Flexibility to the Nelson-Siegel Class of Term Structure Models," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(1), pages 27-49.
    8. Cousin, Areski & Maatouk, Hassan & Rullière, Didier, 2016. "Kriging of financial term-structures," European Journal of Operational Research, Elsevier, vol. 255(2), pages 631-648.
    9. Laurini, Márcio Poletti & Mauad, Roberto Baltieri, 2012. "Non-Parametric Pricing of Interest Rates Options," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 32(2), April.
    10. Marcio Laurini & Alberto Ohashi, 2014. "A Noisy Principal Component Analysis for Forward Rate Curves," Papers 1408.6279, arXiv.org.
    11. Leif Andersen, 2007. "Discount curve construction with tension splines," Review of Derivatives Research, Springer, vol. 10(3), pages 227-267, December.

  2. Barzanti, Luca & Corradi, Corrado, 1998. "Erratum to: "A note on interest rate term structure estimation using tension splines" [Insurance: Mathematics and Economics 22 (1998) 139-143]," Insurance: Mathematics and Economics, Elsevier, vol. 23(2), pages 179-180, November.

    Cited by:

    1. Márcio Laurini, 2012. "Dynamic Functional Data Analysis with Nonparametric State Space Models," IBMEC RJ Economics Discussion Papers 2012-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
    2. Laurini, Márcio P. & Moura, Marcelo, 2007. "Constrained Smoothing Splines for the Term Structure of Interest Rates," Insper Working Papers wpe_100, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    3. Marcio Laurini & Alberto Ohashi, 2014. "A Noisy Principal Component Analysis for Forward Rate Curves," Papers 1408.6279, arXiv.org.

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 1 paper 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-CFN: Corporate Finance (1) 2007-01-14

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