List of Publications

2021

G. Campisi, S. Muzzioli, Designing volatility indices for Austria, Finland and Spain – Financial Markets and Portfolio Management. DOI: https://doi.org/10.1007/s11408-021-00381-9
E. Elyasiani, L. Gambarelli, S. Muzzioli, The Skewness index: uncovering the relation with volatility and market returns, Applied Economics, DOI: 10.1080/00036846.2021.1884837 online published 26/2/2021,1-17.

2020

G. Campisi, S. Muzzioli, “Investor sentiment and trading behaviour” - Chaos: An Interdisciplinary Journal of Nonlinear Science 30, 093103 (2020); DOI: https://doi.org/10.1063/5.0011636
Elyasiani, L. Gambarelli, S. Muzzioli, The use of option prices to assess the skewness risk premium, Applied Economics - ISSN 0003-6846 (2020), pp. 1-18. https://doi.org/10.1080/00036846.2020.1783430
S. Muzzioli, L. Gambarelli, B. De Baets, "Option implied moments obtained through fuzzy regression". Fuzzy Optimization and Decision Making, forthcoming, 2020. 10.1007/s10700-020-09316-x
E. Elyasiani, L. Gambarelli, S. Muzzioli, “Moment risk premia and the cross-section of stock returns in the European stock market”, Journal of Banking and Finance, 111, 2020. 10.1016/j.jbankfin.2019.105732

2019

F. G. Caloia, A. Cipollini, S. Muzzioli, "How do normalization schemes affect net spillovers? A replication of the Diebold and Yilmaz (2012) study", Energy Economics, 84, 2019. https://doi.org/10.1016/j.eneco.2019.104536

2018

F. G. Caloia, A. Cipollini, S. Muzzioli, "Asymmetric semi-volatility spillover effects in EMU stock markets", International Review of Financial Analysis, 57, 2018, 221-230. https://doi.org/10.1016/j.irfa.2018.03.001
A. Cipollini, I. Lo Cascio, & S. Muzzioli, Risk aversion connectedness in five European countries. Economic Modelling, 71, 68-79. https://doi.org/10.1016/j.econmod.2017.12.003.
S. Muzzioli, L. Gambarelli, B. De Baets, "Indices for financial market volatility obtained through fuzzy regression", International Journal of Information Technology & Decision Making, 17(6), 2018, 1659-1691. https://doi.org/10.1142/S0219622018500335
S. Muzzioli, L. Gambarelli, B. De Baets, "Towards a fuzzy index of skewness", In: Fullér R., Giove S., Masulli F. (eds) Fuzzy Logic and Applications. WILF 2018. Lecture Notes in Computer Science, vol 11291. Springer, Cham. https://doi.org/10.1007/978-3-030-12544-8_13
S. Muzzioli, The Future of Fuzzy Sets in Finance: New Challenges in Machine Learning and Explainable AI. In: Fullér R., Giove S., Masulli F. (eds) Fuzzy Logic and Applications. WILF 2018. Lecture Notes in Computer Science, vol 11291. Springer, Cham. https://doi.org/10.1007/978-3-030-12544-8_26
E. Elyasiani, L. Gambarelli, S. Muzzioli, "The Risk-Asymmetry Index as a New Measure of Risk", Multinational Finance Journal, 22 (3/4), 2018, 173-210.

2017

S. Muzzioli, B. De Baets, “Fuzzy Approaches to option price modelling”, IEEE Transactions on Fuzzy Systems, 25 (2), 2017, 392-401. https://doi.org/10.1109/TFUZZ.2016.2574906
E. Elyasiani, L. Gambarelli, S. Muzzioli, "The information content of corridor volatility measures during calm and turmoil periods", QUANTITATIVE FINANCE AND ECONOMICS. - ISSN 2573-0134. - 1, 4, 2017, pp. 454-473
S. Muzzioli, L. Gambarelli, B. De Baets, Towards a Fuzzy Volatility Index for the Italian Market. Intervento presentato al convegno IEEE INTERNATIONAL CONFERENCE ON FUZZY SYSTEMS (FUZZ-IEEE 2017 ) tenutosi a Napoli nel LUGLIO 9-12.

2015

S. Muzzioli, A. Ruggieri, B. De Baets, "A comparison of fuzzy regression methods for the estimation of the implied volatility smile function", Fuzzy Sets and Systems, ISSN 0165-0114, 266, 2015, pp. 131-143, https://doi.org/10.1016/j.fss.2014.11.015.
S. Muzzioli, "The optimal corridor for implied volatility: From periods of calm to turmoil", Journal of Economics and Business, ISSN 0148-6195, 81, 2015, pp. 77-94, https://doi.org/10.1016/j.jeconbus.2015.07.001.
A. Cipollini, I. Lo Cascio, S. Muzzioli, "Volatility co-movements: a time-scale decomposition analysis", Journal of Empirical Finance, ISSN 0927-5398, 34, 2015, pp. 34-44, https://doi.org/10.1016/j.jempfin.2015.08.005.

2013

S. Muzzioli, B. De Baets, A comparative assessment of different fuzzy regression methods for volatility forecasting. Fuzzy Optim Decis Making 12, 433–450 (2013). https://doi.org/10.1007/s10700-013-9161-1
S. Muzzioli, The Forecasting Performance of Corridor Implied Volatility in the Italian Market. Comput Econ 41, 359–386 (2013). https://doi.org/10.1007/s10614-012-9343-x
S. Mussioli, The information content of option based forecasts of volatility: evidence from the Italian stock market. Quarterly Journal of Finance. Vol. 03, No. 01, 1350005 (2013). https://doi.org/10.1142/S2010139213500055

2012

S. Muzzioli, Corridor implied volatility and the variance risk premium in the Italian market - ELETTRONICO. - 9(2012), pp. 1-36. Intervento presentato al convegno 2012 Annual Meeting of the Midwest Finance Association tenutosi a New Orleans, LA nel 22-25 Febbraio 2012.
S. Muzzioli, Put-Call Parity and options’ forecasting power - In: ADVANCES AND APPLICATIONS IN STATISTICS. - ISSN 0972-3617. - STAMPA. - 30(2012), pp. 1-17.

2011

S. Muzzioli, The Skew Pattern of Implied Volatility in the DAX Index Options Market - In: FRONTIERS IN FINANCE AND ECONOMICS. - ISSN 1814-2044. - ELETTRONICO. - 8 (1)(2011), pp. 43-68.
S. Muzzioli, Towards a volatility index for the Italian stock market - ELETTRONICO. - 8(2011), pp. 1-29. Intervento presentato al convegno 2011 Annual Meeting of the Midwest Finance Association tenutosi a Chicago nel 3-5 Marzo 2011.

2010

S. Muzzioli, Option-based forecasts of volatility: an empirical study in the DAX-index options market, The European Journal of Finance, 16:6, 561-586, DOI: 10.1080/13518471003640134
S. Muzzioli, The relation between implied and realised volatility in the DAX index options market - STAMPA. - (2010), pp. 215-224.

2009

V. Moriggia, S. Muzzioli, C. Torricelli, On the no-arbitrage condition in option implied trees, European Journal of Operational Research, Volume 193, Issue 1, 2009. Pages 212-221, ISSN 0377-2217. https://doi.org/10.1016/j.ejor.2007.10.017.

2008

S. Muzzioli, H., Reynaerts, American Option Pricing with Imprecise Risk-Neutral Probabilities. International Journal of Approximate Reasoning. Volume 49, Issue 1, September 2008, Pages 140-147 . https://doi.org/10.1016/j.ijar.2007.06.011

2007

S. Muzzioli, H. Reynaerts, Option Pricing in the Presence of Uncertainty. In: Batyrshin I., Kacprzyk J., Sheremetov L., Zadeh L.A. (eds) Perception-based Data Mining and Decision Making in Economics and Finance. Studies in Computational Intelligence, vol 36. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-36247-0_11
V. Moriggia, S. Muzzioli, C. Torricelli, Call and put implied volatilities and the derivation of option implied trees - In: FRONTIERS IN FINANCE AND ECONOMICS. SKEMA Business School, vol. 4(1), pages 35-64, June.
S. Muzzioli, H. Reynaerts, Solving parametric fuzzy systems of linear equations by a nonlinear programming method. Comput Econ 29, 107–117 (2007). https://doi.org/10.1007/s10614-006-9070-2
S. Muzzioli, H. Reynaerts, The solution of fuzzy linear systems by non-linear programming: a financial application. European Journal of Operational Research. Volume 177, Issue 2, 1 March 2007, Pages 1218-1231. https://doi.org/10.1016/j.ejor.2005.10.055

2006

S. Muzzioli, H. Reynaerts, Fuzzy binary tree model for European options - STAMPA. - 8(2006), pp. 437-441.
S. Muzzioli, H. Reynaerts, Fuzzy linear systems of the form A(1)x plus b(1) = A(2)x plus b(2). Fuzzy Sets and Systems. Volume 157, Issue 7,1 April 2006, Pages 939-951. https://doi.org/10.1016/j.fss.2005.09.005

2005

S. Muzzioli, H. Reynaerts, Solving fuzzy systems of linear equations by a nonlinear programming method - ELETTRONICO. - unico(2005), pp. 1370-1378. Intervento presentato al convegno International Symposium on Applied Stochastic Models and Data Analysis tenutosi a Brest nel 17-20 May 2005.
S. Muzzioli, C. Torricelli, The pricing of options on an interval binomial tree. An application to the DAX-index option market - In: EUROPEAN JOURNAL OF OPERATIONAL RESEARCH. - ISSN 0377-2217. - STAMPA. - 163(2005), pp. 192-200. http://dx.doi.org/10.1016/j.ejor.2004.01.008

2004

S. Muzzioli, C. Torricelli, A multiperiod binomial model for pricing options in a vague world - In: JOURNAL OF ECONOMIC DYNAMICS & CONTROL. - ISSN 0165-1889. - STAMPA. - 28(2004), pp. 861-887.
S. Muzzioli, H. Reynaerts, Fuzzy binary tree model for European style vanilla options - STAMPA. - 1(2004), pp. 222-229. Intervento presentato al convegno International Conference on Fuzzy Sets and Soft Computing in Economics and Finance (FSSCEF2004) tenutosi a S. Petersburg (Russia) nel 17-20 Giugno 2004.

2002

S. Muzzioli, C. Torricelli, Implied trees in illiquid markets: A Choquet pricing approach - In: INTERNATIONAL JOURNAL OF INTELLIGENT SYSTEMS. - ISSN 0884-8173. - STAMPA. - 17(2002), pp. 577-594. http://dx.doi.org/10.1002%2Fint.10039

2001

S. Muzzioli, C. Torricelli, A Multiperiod Binomial Model for Pricing Options in an Uncertain World - STAMPA. - (2001), pp. 255-264. Intervento presentato al convegno Second International Symposium on Imprecise Probabilities and Their Applications tenutosi a Itacha nel 26-29 June 2001.
S. Muzzioli, C. Torricelli, A model for pricing an option with a fuzzy payoff - In: FUZZY ECONOMIC REVIEW. - ISSN 1136-0593. - STAMPA. - 6(2001), pp. 49-62.

1999

S. Muzzioli, C. Torricelli, Pricing options on a vague asset - STAMPA. - I(1999), pp. 546-548. Intervento presentato al convegno 5th International conference of the Decision Science Institute tenutosi a Athens, Greece nel 4-7 July 1999.

1998

G. Facchinetti, R. Ghiselli Ricci, S. Muzzioli, Note on ranking fuzzy triangular numbers - In: INTERNATIONAL JOURNAL OF INTELLIGENT SYSTEMS. - ISSN 0884-8173. - STAMPA. - 13 (7)(1998), pp. 613-622.

Page updated

Google Sites

Report abuse