Silvia Romagnoli

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
Fuzzy Esscher changes of measure and copula invariance in Lévy markets Fuzzy Sets and Systems	2025-05-25	Paper
The SINC way: a fast and accurate approach to Fourier pricing Quantitative Finance	2022-05-05	Paper
A vague multidimensional dependency structure: conditional versus unconditional fuzzy copula models Information Sciences	2021-03-18	Paper
Counting statistics for dependent random events. With a focus on finance	2021-02-18	Paper
Measure-invariance of copula functions as tool for testing no-arbitrage assumption Journal of Computational and Applied Mathematics	2018-04-16	Paper
Granger Independent Martingale Processes	2016-07-06	Paper
A hierarchical copula-based world-wide valuation of sovereign risk Insurance Mathematics & Economics	2015-05-26	Paper
A copula-based hierarchical hybrid loss distribution Statistics & Risk Modeling	2015-04-17	Paper
Computing the volume of a high-dimensional semi-unsupervised hierarchical copula International Journal of Computer Mathematics	2011-11-29	Paper
On the distribution of the (un)bounded sum of random variables Insurance Mathematics & Economics	2011-08-01	Paper
A copula-based model of speculative price dynamics in discrete time Journal of Multivariate Analysis	2011-05-23	Paper
The range of derivative's arbitrage prices in a general incomplete market	2010-06-03	Paper
The dependence structure of running maxima and minima: results and option pricing applications Mathematical Finance	2010-03-12	Paper
Computing the volume of \(n\)-dimensional copulas Applied Mathematical Finance	2009-12-16	Paper
A lattice model with incomplete information: A credit risk application Statistics & Decisions	2009-01-09	Paper
A Copula-Based Model of the Term Structure of CDO Tranches Applied Quantitative Finance	2008-12-01	Paper
scientific article; zbMATH DE number 2217299 (Why is no real title available?)	2006-09-27	Paper
Robustness of the Black-Scholes approach in the case of options on several assets Finance and Stochastics	2001-03-01	Paper

Research outcomes over time

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