Viviana Fanelli

MaRDI QIDQ320914zbMATH OpenFDO

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
Amortization dismantling to remove any doubt of anatocism Decisions in Economics and Finance	2024-12-23	Paper
Seasonality in commodity prices: new approaches for pricing plain vanilla options Annals of Operations Research	2024-06-04	Paper
Long memory and crude oil's price predictability Annals of Operations Research	2021-11-08	Paper
A nonlinear dynamic model for credit risk contagion Mathematics and Computers in Simulation	2021-02-02	Paper
On the seasonality in the implied volatility of electricity options Quantitative Finance	2019-09-26	Paper
Implications of implicit credit spread volatilities on interest rate modelling European Journal of Operational Research	2018-02-06	Paper
A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch European Journal of Operational Research	2016-10-07	Paper
A time delay model for the diffusion of a new technology Nonlinear Analysis. Real World Applications	2012-05-20	Paper
Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model European Journal of Operational Research	2011-01-28	Paper

Research outcomes over time

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