Roberto Baviera

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
Short-time implied volatility of additive normal tempered stable processes Annals of Operations Research	2024-06-04	Paper
A fast Monte Carlo scheme for additive processes and option pricing Computational Management Science	2023-08-22	Paper
Is (independent) subordination relevant in option pricing?	2023-07-14	Paper
Additive normal tempered stable processes for equity derivatives and power-law scaling Quantitative Finance	2022-05-05	Paper
Model risk in mean-variance portfolio selection: an analytic solution to the worst-case approach Journal of Global Optimization	2021-09-29	Paper
A method that reveals the multi-level ultrametric tree hidden in p-spin-glass-like systems Journal of Statistical Mechanics: Theory and Experiment	2020-08-11	Paper
Back-of-the-envelope swaptions in a very parsimonious multi-curve interest rate model International Journal of Theoretical and Applied Finance	2019-09-09	Paper
Vol-bond: an analytical solution Quantitative Finance	2019-01-14	Paper
A joint model for temperature and natural gas with an application to the US market Quantitative Finance	2018-11-19	Paper
CVA with Wrong-Way Risk in the Presence of Early Exercise Innovations in Derivatives Markets	2018-10-22	Paper
A note on dual-curve construction: Mr. Crab's bootstrap Applied Mathematical Finance	2018-09-18	Paper
A perturbative approach to Bermudan options pricing with applications Quantitative Finance	2014-02-08	Paper
Multiscale analysis of hierarchical landscapes Physica D	2010-09-11	Paper
A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS International Journal of Theoretical and Applied Finance	2008-09-03	Paper
TRANSACTION COSTS: A NEW POINT OF VIEW International Journal of Theoretical and Applied Finance	2008-09-03	Paper
A simple solution for sticky cap and sticky floor Quantitative Finance	2007-10-09	Paper
BOND MARKET MODEL International Journal of Theoretical and Applied Finance	2006-08-14	Paper
MOVING AVERAGES AND PRICE DYNAMICS International Journal of Theoretical and Applied Finance	2005-06-22	Paper
Antipersistent Markov behavior in foreign exchange markets Physica A	2002-08-21	Paper
Correlations and multi-affinity in high frequency financial datasets Physica A	2001-10-23	Paper
Optimal strategies for prudent investors International Journal of Theoretical and Applied Finance	2001-02-28	Paper
A variational approach to Ising spin glasses in finite dimensions Journal of Physics A: Mathematical and General	1999-11-30	Paper

Research outcomes over time

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