Publications


Journal Papers

  1. Mean-Reverting Statistical Arbitrage in Crude Oil Markets , V. Fanelli. Submitted.

    1. working paper:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2949716

  2. On the seasonality of the implied volatility of electricity options, V. Fanelli, M.D. Schmeck. Quantitative Finance, In press.

  3. Long Run Analysis of Crude Oil Portfolios, R. Cerqueti, V. Fanelli, G. Rotundo, Energy Economics, In press.

  4. Pricing a Swing contract in a Gas Sale Company, V. Fanelli, A. Ryden, Economics, Management, and Financial Markets, forthcoming.

  5. Implications of implicit credit spread volatilities on interest rate modelling, V. Fanelli, European Journal of Operational Research, Volume 263, Issue 2, 1 December 2017, Pages 707–718.

    1. working paper: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2949703

  6. The Hybrid Pricing System of European Natural Gas, V. Fanelli, A. Ryden, The Empirical Economics Letters, Volume 15(10), October 2016, p. 975-983.

  7. Asian option pricing in the day-ahead electricity market, V. Fanelli, L. Maddalena, S. Musti, Sustainable Cities and Society, Volume 27, November 2016, Pages 196–202.

  8. Modelling electricity futures prices using seasonal path-dependent volatility, V. Fanelli, L. Maddalena, S. Musti, Applied Energy, Volume 173, 1 July 2016, Pages 92–102.

  9. A Defaultable HJM Modelling of the Libor Rate for Pricing Basis Swaps after the Credit Crunch. V. Fanelli, European Journal of Operational Research, Volume 249, Issue 1, 16 February 2016, Pages 238–244.

    1. working paper: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2667455

  10. Electricity market equilibrium model with seasonal volatilities. V. Fanelli, L. Maddalena, S. Musti. Procedia Engineering, Volume 118, 2015, Pages 1217–1224.

  11. Natural Gas Statistical Arbitrage: A systematic approach. V. Fanelli, A. Lesca, Argo, New Frontiers in Practical Risk Management, Issue n. 4, Fall 2014.

  12. A time delay model for the diffusion of a new technology. V. Fanelli, L. Maddalena, Nonlinear Analysis: Real World Applications, vol. 13 (2), p. 643-649, 2012, ISSN: 1468-12182012 7

  13. Investigating the diffusion of renewable energy technologies in Italy. V. Fanelli, L. Maddalena, S. Musti. Advances and Applications in Mathematical Sciences, vol. 12(1), p. 59-70, 2012, ISSN: 0974-6803

  14. Modelling the evolution of Credit Spreads using the Cox process within the HJM framework: aCDS option pricing model. C. Chiarella, V. Fanelli, S. Musti, European Journal of Operational Research, Vol. 208, Issue 2, 16 January 2011, Pages 95-108, doi:10.1016/j.ejor.2010.03.006

    1. working paper: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1352114

  15. A mathematical model for renewable technology diffusion, V.Fanelli, L. Maddalena. Proc. Mathematica Italia User Group meeting.Università di Torino, 2011, ISBN: 9788896810026

  16. Why did CPDOs fail? An analysis focused on credit spread modeling. V. Fanelli, S. Musti, 2010, International Review of Applied Financial Issues and Economics, in press, Vol. 2, Issue 4, December 2010

Book


Financial Modelling in Commodity Markets, V. Fanelli, Chapman & Hall/CRC Financial Mathematics Series - Taylor & Francis Group, 2020


Book Chapters

  1. Commodity-linked Arbitrage Strategies and Portfolio Management. Viviana Fanelli. In Handbook of Multi-Commodity, markets and products, Structuring, Trading and Risk Management, edited by A. Roncoroni, G. Fusai, and M. Cummins, the Wiley Finance Series, ISBN: 978-0-470-74524-3, March 2015.

  2. La diffusione di tecnologie per la produzione di energia da fonte rinnovabile in Puglia: modelli a confronto. V. Fanelli, L. Maddalena, S. Musti. In: Lucia Maddalena. Lo sviluppo dele energie alternatice: il caso Puglia, 2012. Milano:Franco Angeli, ISBN: 9788820408893

  3. Implementazionedi un modello di equilibrio per la determinazione del prezzo forward dell’energia elettrica. V. Fanelli, L. Maddalena, S. Musti, 2012. In: Lucia Maddalena. Lo sviluppo del mercato energetico in Puglia: energie rinnovabili ed implicazioni economico-finanziarie. Milano:Franco Angeli, ISBN: 9788820408893

  4. Nonlinear phenomena: turbulences and correlations in financial markets. Beyond Black and Scholes. V. Fanelli. In Econofisica, Metodi per l’Economia, Collana Interdipartimentale di Studi Economici, vol.11, pp. 49-62, 2006 (ISBN: 88-495-1325-9), Edizioni Scientifiche Italiane, Napoli



PhD Thesis

Numerical Implementation of a Credit Risk Model in the HJM framework, Viviana Fanelli, Ph.D. Thesis, Università degli Studi di Foggia, December 2007.