Publications in OpenAlex of which a co-author is affiliated to this organization
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| Title | DOI |
|---|---|
| Bootstrapping the Illiquidity: Multiple Yield Curves Construction for Market Coherent Forward Rates Estimation | |
| Interest Rate Modelling after the Financial Crisis | |
| https://doi.org/10.1080/14697688.2025.2542507 | Denoising ESG: uncertainty-aware scoring through probabilistic imputation of missing data |
| https://doi.org/10.1145/3533271.3561780 | Addressing Non-Stationarity in FX Trading with Online Model Selection of Offline RL Experts |
| https://doi.org/10.34190/ecgbl.16.1.857 | Digital Escape Games in Educational Programs for Financial Literacy |
| https://doi.org/10.1145/3604237.3626852 | CVA Hedging with Reinforcement Learning |
| https://doi.org/10.47473/2020rmm0103 | Banks' governance and risk management frameworks: how to integrate ESG and climate risks |
| https://doi.org/10.1007/s11300-008-0004-7 | Long-term Growth Perspectives and Economic Convergence of CEE and SEE Countries |
| https://doi.org/10.47473/2016ppa00037 | Fundamental Review of the Trading Book |
| https://doi.org/10.1145/3383455.3422531 | Dealing with transaction costs in portfolio optimization |
| https://doi.org/10.1007/978-3-031-63787-2_11 | Augmenting XAI with LLMs: A Case Study in Banking Marketing Recommendation |
| https://doi.org/10.1145/3490354.3494403 | Learning FX trading strategies with FQI and persistent actions |
| https://doi.org/10.31392/2307-4515/2013-3.1 | Backward Stochastic Differential Equations Driven by Levy Noise with Applications in Finance |
| https://doi.org/10.1017/s1053837223000044 | ROBERT TRIFFIN, JAPAN, AND THE QUEST FOR ASIAN MONETARY UNION |
| https://doi.org/10.1007/s10994-023-06342-9 | FairSwiRL: fair semi-supervised classification with representation learning |
| https://doi.org/10.32614/rj-2024-003 | bootCT: An R Package for Bootstrap Cointegration Tests in ARDL Models |
| https://doi.org/10.1111/1467-8454.00135 | Country Default Risk: An Empirical Assessment |
| https://doi.org/10.1111/ecno.12158 | Banking business models and risk: Findings from the ECB's comprehensive assessment |
| https://doi.org/10.47473/2020rmm0075 | Climate Change: EU taxonomy and forward looking analysis in the context of emerging climate related and environmental risks |
| https://doi.org/10.31235/osf.io/mcd7y | The ‘Court of Public Opinion:’ Public Perceptions of Business Involvement in Human Rights Violations |
| https://doi.org/10.47473/2016ppa00016 | FROM IBORS TO RFRS: IMPACTS ON BANKS PROCESSES AND PROCEDURES |
| https://doi.org/10.1145/3533271.3561728 | Dark-Pool Smart Order Routing: a Combinatorial Multi-armed Bandit Approach |
| https://doi.org/10.1103/physrevb.105.214501 | Spin and charge transport in ferromagnet-superconductor-ferromagnet heterostructures: Stoner versus spin mass mismatch mechanism |
| https://doi.org/10.1109/bigdata55660.2022.10020700 | Legal Entity Disambiguation for Financial Crime Detection |
| https://doi.org/10.22541/au.168931270.03874429/v1 | Genomic epidemiology of the main SARS-CoV-2 variants circulating in Italy in 2020 and 2022 period |
| https://doi.org/10.1007/978-3-642-28638-4_10 | Environmental Goods Trade and Technology in China |
| https://doi.org/10.1145/3383455.3422532 | Option hedging with risk averse reinforcement learning |
| https://doi.org/10.2139/ssrn.900549 | Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model |
| https://doi.org/10.2139/ssrn.1969114 | Funding Valuation Adjustment: A Consistent Framework Including CVA, DVA, Collateral, Netting Rules and Re-Hypothecation |
| https://doi.org/10.2139/ssrn.2161528 | Funding, Collateral and Hedging: Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments |
| https://doi.org/10.2139/ssrn.2411959 | Intergovernmentalism and Its Limits: Assessing the European Union's Answer to the Euro Crisis |
| https://doi.org/10.2139/ssrn.1744101 | Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting |
| https://doi.org/10.2139/ssrn.2219548 | Everything You Always Wanted to Know about Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask |
| https://doi.org/10.2139/ssrn.1334356 | Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves |
| https://doi.org/10.2139/ssrn.1629688 | Interest-Rate Modeling with Multiple Yield Curves |
| https://doi.org/10.2139/ssrn.926067 | Counterparty Risk and Contingent CDS Valuation Under Correlation Between Interest-Rates and Default |
| https://doi.org/10.2139/ssrn.3092427 | Are Cryptocurrencies Real Financial Bubbles? Evidence from Quantitative Analyses |
| https://doi.org/10.2139/ssrn.933291 | Implied Expected Tranched Loss Surface from CDO Data |
| https://doi.org/10.2139/ssrn.1507845 | Bilateral Counterparty Risk Valuation for Interest-Rate Products: Impact of Volatilities and Correlations |
| https://doi.org/10.2139/ssrn.1295353 | Oil Price Dynamics and Speculation: A Multivariate Financial Approach |
| https://doi.org/10.2139/ssrn.1783070 | Interest Rates After the Credit Crunch: Multiple Curve Vanilla Derivatives and SABR |
| https://doi.org/10.2139/ssrn.2244580 | Interest-Rate Modelling in Collateralized Markets: Multiple Curves, Credit-Liquidity Effects, CCPs |
| https://doi.org/10.48550/arxiv.1404.7314 | Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes |
| https://doi.org/10.2139/ssrn.272608 | Exchange Rate Misalignments and Crises |
| https://doi.org/10.2139/ssrn.900784 | Risk Neutral Versus Objective Loss Distribution and CDO Tranches Valuation |
| https://doi.org/10.2139/ssrn.946755 | Implied Correlation in CDO Tranches: A Paradigm to be Handled with Care |
| https://doi.org/10.2139/ssrn.2103121 | Illustrating a Problem in the Self-Financing Condition in Two 2010-2011 Papers on Funding, Collateral and Discounting |
| https://doi.org/10.2139/ssrn.2254420 | Why Do Banks Optimize Risk Weights? The Relevance of the Cost of Equity Capital |
| https://doi.org/10.2139/ssrn.892287 | Smiling at Convexity: Bridging Swaption Skews and CMS Adjustments |
| https://doi.org/10.2139/ssrn.872708 | Mixing Gaussian Models to Price CMS Derivatives |
| https://doi.org/10.2139/ssrn.2613010 | Invariance, Existence and Uniqueness of Solutions of Nonlinear Valuation PDEs and FBSDEs Inclusive of Credit Risk, Collateral and Funding Costs |
| https://doi.org/10.2139/ssrn.966411 | Multiple Banking Relationships and Credit Market Competition: What Benefits the Firm? |
| https://doi.org/10.2139/ssrn.1529498 | Credit Models and the Crisis, or: How I Learned to Stop Worrying and Love the CDOs |
| https://doi.org/10.2139/ssrn.2592753 | Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis |
| https://doi.org/10.2139/ssrn.2686115 | A Backward Monte Carlo Approach to Exotic Option Pricing |
| https://doi.org/10.2139/ssrn.2290987 | Funding Value Adjustment for General Financial Instruments: Theory and Practice |
| https://doi.org/10.2139/ssrn.307620 | An Empirical Analysis of the Co-Movement Among Spreads on Emerging-Market Debt |
| https://doi.org/10.2139/ssrn.2380017 | CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins Under Credit, Funding and Wrong-Way Risks: A Unified Valuation Approach |
| https://doi.org/10.2139/ssrn.1334953 | Basel II Second Pillar: An Analytical VAR with Contagion and Sectorial Risks |
| https://doi.org/10.2139/ssrn.834424 | Swaption Skews and Convexity Adjustments |
| https://doi.org/10.2139/ssrn.557218 | Stock Market Exuberance: Linkages between U.S. and the European Markets |
| https://doi.org/10.2139/ssrn.4463143 | Digitalization, Financial Knowledge and Financial Decisions |
| https://doi.org/10.2139/ssrn.1298977 | Location Decisions of Italian Banks: Drivers of Expansion into Emerging and Transition Economies |
| https://doi.org/10.21203/rs.3.rs-626875/v1 | Counterfactual Explanations as Interventions in Latent Space |
| https://doi.org/10.2139/ssrn.2638229 | Interest-Rate Modeling in Collateralized Markets: Multiple Curves and Credit-Liquidity Effects |
| https://doi.org/10.2139/ssrn.1337811 | A Multi-Factor SABR Model for Forward Inflation Rates |
| https://doi.org/10.2139/ssrn.3674249 | No Fear of Discounting - How to Manage the Transition from EONIA to €STR |
| https://doi.org/10.2139/ssrn.956827 | Default Correlation, Cluster Dynamics and Single Names: The GPCL Dynamical Loss Model |
| https://doi.org/10.2139/ssrn.1413047 | Analytical Credit VAR with Stochastic Probabilities of Default and Recoveries |
| https://doi.org/10.2139/ssrn.2798434 | Brexit or Bremain? Evidence from Bubble Analysis |
| https://doi.org/10.2139/ssrn.504526 | The Impact of the Argentine Default on Volatility Co-Movements in Emerging Bond Markets |
| https://doi.org/10.2139/ssrn.2190138 | Markets Evolution after the Credit Crunch |
| https://doi.org/10.2139/ssrn.1951578 | The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management |
| https://doi.org/10.2139/ssrn.2361697 | CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-Hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA? |
| https://doi.org/10.2139/ssrn.1077762 | Stressing Rating Criteria Allowing for Default Clustering: the CPDO case |
| https://doi.org/10.2139/ssrn.2911698 | Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks |
| https://doi.org/10.2139/ssrn.3131352 | Risk-Neutral Valuation Under Differential Funding Costs, Defaults and Collateralization |
| https://doi.org/10.2139/ssrn.3240490 | Smile Modelling in Commodity Markets |
| https://doi.org/10.1101/2020.05.28.20115790 | CoViD-19 in Italy: a mathematical model to analyze the epidemic containment strategy and the economic impacts |
| https://doi.org/10.2139/ssrn.965640 | The Buffer Stock Model Redux? An Analysis of the Dynamics of Foreign Reserve Accumulation |
| https://doi.org/10.2139/ssrn.881050 | The International Reserves Glut: Is it for Real? |
| https://doi.org/10.2139/ssrn.1499099 | Is Oil a Financial Asset? An Empirical Investigation Spanning the Last Fifteen Years |
| https://doi.org/10.2139/ssrn.1928513 | Is M&A Different During a Crisis? Evidence from the European Banking Sector |
| https://doi.org/10.2139/ssrn.2518976 | One Size Does Not Fit All. A Non-Linear Analysis of European Monetary Transmission |
| https://doi.org/10.2139/ssrn.2790629 | Prudent Valuation Guidelines and Sound Practices |
| https://doi.org/10.2139/ssrn.3022805 | An Indifference Approach to the Cost of Capital Constraints: KVA and Beyond |
| https://doi.org/10.2139/ssrn.2914086 | Rough Volatility: Evidence from Option Prices |
| https://doi.org/10.2139/ssrn.3757940 | Moving from IBORs to Alternative Risk Free Rates |
| https://doi.org/10.2139/ssrn.3104407 | VIX Index Strategies: Shorting Volatility As a Portfolio Enhancing Strategy |
| https://doi.org/10.21203/rs.3.rs-1162350/v1 | The Zoo of Fairness Metrics in Machine Learning |
| https://doi.org/10.2139/ssrn.3949672 | Interpolating commodity futures prices with Kriging |
| https://doi.org/10.2139/ssrn.4140372 | Rough-Heston Local-Volatility Model |
| https://doi.org/10.2139/ssrn.4646847 | Machine learning methods for American-style path-dependent contracts |
| https://doi.org/10.2139/ssrn.5168579 | Assessing the Impact of Artificial Intelligence Systems on Fundamental Rights |
| https://doi.org/10.2139/ssrn.2646516 | FX Modelling in Collateralized Markets: Foreign Measures, Basis Curves, and Pricing Formulae |
| https://doi.org/10.2139/ssrn.2625502 | Stressing the European Banks: An Evaluation of the Comprehensive Assessment |
| https://doi.org/10.2139/ssrn.3749995 | A General Framework for a Joint Calibration of VIX and VXX Options |
| https://doi.org/10.2139/ssrn.3872744 | Chebyshev Greeks: Smoothing Gamma without Bias |
| https://doi.org/10.2139/ssrn.3891120 | Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask |