Sebastiano Vitali

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Using interpolated implied volatility for analysing exogenous market changes Computational Management Science	2024-05-14	Paper
Investment disputes and their explicit role in option market uncertainty and overall risk instability Computational Management Science	2023-12-14	Paper
Comparing stage-scenario with nodal formulation for multistage stochastic problems 4OR	2023-10-26	Paper
Implied volatility smoothing at COVID-19 times Computational Management Science	2023-08-22	Paper
Pension fund management with investment certificates and stochastic dominance Annals of Operations Research	2021-11-08	Paper
Evaluation of scenario reduction algorithms with nested distance Computational Management Science	2021-02-02	Paper
Implied volatility surface estimation via quantile regularization Analytical Methods in Statistics	2020-12-18	Paper
Multistage multivariate nested distance: an empirical analysis. Kybernetika	2019-03-01	Paper
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming Computational Management Science	2018-10-29	Paper
Implied volatility and state price density estimation: arbitrage analysis Computational Management Science	2018-10-10	Paper
Individual optimal pension allocation under stochastic dominance constraints Annals of Operations Research	2018-03-02	Paper
Portfolio selection strategy for fixed income markets with immunization on average Annals of Operations Research	2018-03-02	Paper
HOMOGENEOUS SELF-DUAL METHODS FOR SYMMETRIC CONES UNDER UNCERTAINTY Far East Journal of Mathematical Sciences (FJMS)	2017-02-24	Paper

Research outcomes over time

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