Immacolata Oliva

Pubblicazioni

Titolo Pubblicato in Anno
Who can benefit from multi-license oil concessionaires valuation? ENERGY ECONOMICS 2024
Robustness meets co-jumps: optimal consumption and portfolio choice with derivatives QUANTITATIVE FINANCE 2024
Pension funds with longevity risk: an optimal portfolio insurance approach INSURANCE MATHEMATICS & ECONOMICS 2024
Co-jumps and recursive preferences in portfolio choices ANNALS OF FINANCE 2023
Constant or Variable? A Performance Analysis among Portfolio Insurance Strategies RISKS 2023
Time‐invariant portfolio strategies in structured products with guaranteed minimum equity exposure APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY 2023
A numerical method for multidimensional Volterra integral equations APPLIED MATHEMATICAL SCIENCES 2022
Betting on bitcoin: a profitable trading between directional and shielding strategies DECISIONS IN ECONOMICS AND FINANCE 2021
A Unified Approach to xVA with CSA Discounting and Initial Margin SIAM JOURNAL ON FINANCIAL MATHEMATICS 2021
Principi di Finanza Quantitativa 2021
Evaluating Ruin Probabilities: A Streamlined Approach APPLIED MATHEMATICS E-NOTES 2021
A mean-value Approach to solve fractional differential and integral equations CHAOS, SOLITONS & FRACTALS 2020
Options on constant proportion portfolio insurance with guaranteed minimum equity exposure APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY 2020
A quantization approach to the counterparty credit exposure estimation INTERNATIONAL REVIEW OF ECONOMICS & FINANCE 2020
Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like JOURNAL OF ECONOMIC DYNAMICS & CONTROL 2018
A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps NODEA-NONLINEAR DIFFERENTIAL EQUATIONS AND APPLICATIONS 2017
Estimating the Counterparty Risk Exposure by using the Brownian motion local time INTERNATIONAL JOURNAL OF APPLIED MATHEMATICS AND COMPUTER SCIENCE 2017
Credit Risk in an Economy with New Firms Arrivals METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY 2017
Counterparty Credit Risk Evaluation for Accumulator Derivatives: the Brownian Local Time Approach INTERNATIONAL JOURNAL OF ECONOMICS AND MANAGEMENT SYSTEMS 2016
An interval of no-arbitrage prices for American contingent claims in incomplete markets INTERNATIONAL JOURNAL OF PURE AND APPLIED MATHEMATICS 2015

ERC

  • PE1_13
  • PE1_22
  • SH1_4

Interessi di ricerca

L'attività di ricerca è orientata a diversi aspetti della Finanza Matematica, tra i quali: problemi di allocazione ottima di portafoglio in modelli a tempo continuo con e senza discontinuità; valutazione di strategie di portfolio insurance legate alla valutazione di strumenti derivati, valutazione e gestione del rischio di credito di controparte

Keywords

Stochastic processes
Co-jumps
portfolio insurance
Allocation problems
credit risk
Counterparty credit risk
equazioni integrali

Progetti di Ricerca

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