Research (English)

Selected Publications:

Papers in Refereed Journals

• • Multilevel and Tail Risk Management (2021) with Khalaf L. and Urga G., Journal of Financial Econometrics, In Press, doi: 10.1093/jjfinec/nbaa044

  • Extreme Price Moves: An INGARCH Approach to Model Coexceedances in Commodity Markets (2020) with Algieri B., European Review of Agricultural Economics, In Press, doi: 10.1093/erae/jbaa030

  • On the determinants of data breaches: A cointegration analysis (2020) with De Giovanni D. and Pirra M., Decisions in Economics and Finance , In Press

  • Ask CARL: Forecasting tail probabilities for energy commodities (2019) with Algieri B., Energy Economics, 84

  • Price volatility and speculative activities in futures commodity markets: A combination of combinations of p-values test (2018) with Algieri B., Journal of Commodity Markets, 13, 40-54

• • Assessing Contagion Risk From Energy and Non-Energy Commodity Markets (2017) with Algieri B., Energy Economics 62, 312-322

  • Pricing and hedging basket options with exact moment matching (2016) with Paletta T. and Tunaru R., Insurance: Mathematics and Economics 69, 59-69

  • Trading Strategies with Implied Forward Credit Default Swap Spreads (2015) with Tunaru R. and Urga G., Journal of Banking and Finance, 58, 361-375

  • Value at Risk and Expected Shortfall Improved Calculation Based on the Power Transformation Method (2014) with Toscano P. and Tunaru R., Journal of Derivatives, 22, 67-81

  • A Regime Switching Ohlson Model (2014), with Veltri S., Quality & Quantity 49, 2015-2035

  • Extracting Market Information from Equity Options with Exponential Levy Processes (2014) with Fabozzi F.J. and Tunaru R., Journal of Economic Dynamics and Control, 38, 125-141

  • Option pricing under regime-switching jump–diffusion models (2014) with Costabile M., Massabò I. and Russo E. Journal of Computational and Applied Mathematics, 256, 152-167

  • Evaluating the Accuracy of Value-at-Risk Forecasts: New Multilevel Tests, (2014) with Boffelli S.. and Urga G., International Journal of Forecasting, 30(2), 206-216

  • True Vs Spurious Long Memory: Some Theoretical Results And A Monte Carlo Comparison, (2013) with Rachedi O. and Urga G., Econometric Reviews

  • A reduced lattice model for option pricing under regime-switching, (2014) with Costabile M., Massabò I. and Russo E., Review of Quantitative Finance and Accounting, 42(4), 667-690

  • Hermite Binomial Trees: A novel Technique for Derivatives Pricing. (2012) with Toscano P. and Tunaru R. International Journal of Theoretical and Applied Finance, 15, 1250058,

  • A New Method to Generate Approximation Algorithms for Financial Mathematics Applications. (2012) with Fabozzi F.J. and Tunaru R. Quantitative Finance, 12, 1571-1583

  • Computationally Simple Lattice Methods for Option and Bond Pricing. (2009), with Costabile M. and Massabò I., Decisions in economics and finance, 32, 161-181.

  • Portfolio selection and risk management with Markov chains. (2007), with Ortobelli L. S. and Russo E., International Journal of Computer Science and Network Security 7, 115-123

  • Financial Risk Modeling with Markov Chains.(2006), with Ortobelli L. S., Russo E. and Iaquinta G., Lecture Notes in Computer Science 4224, 1275-1282.

Books Chapters:

• • Pricing and hedging basket options under shifted asymmetric jump diffusion processes, with Paletta, T. and Tunaru R. In C. Perna and M. Sibillo (Eds.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pp. 167-171. Springer International Publishing, 2014

  • Extracting risk-neutral density information from options market prices, with Tunaru R., The Encyclopedia of Financial Models, Ed. Fabozzi F.J., Wiley, 2012