… Umberto Cherubini Elisa Luciano … Umberto Cherubini Elisa Luciano … Here we follow
Cherubini (1997) and Cherubini and Della Lunga (2001) in order to provide a general formal …

The latest tools and techniques for pricing and risk management This book introduces readers
to the use of copula functions to represent the dynamics of financial assets and risk factors…

We provide general results for the dependence structure of running maxima (minima) of sets
of variables in a model based on (i) Markov dynamics; (ii) no Granger causality; (iii) cross‐…

Systemic risk is a key problem of this century. One of the most interesting methodological
solutions to this problem was given in the past century in the work of Albert Marshall and …

The adoption of copula functions is suggested in order to price bivariate contingent claims.
Copulas enable the marginal distributions extracted from vertical spreads in the options …

This paper uses copula functions to evaluate tail probabilities and market risk trade‐offs at a
given confidence level, dropping the joint normality assumption on returns. Copulas enable …

The theory of intertemporal budget constraint is applied to test Italian public debt sustainability,
with the finding that current fiscal policy has not been following a sustainable path in the …

In this contribution we provide a consistent pricing setting for multivariate equity derivatives.
Consistently with the prescriptions of the Efficient Market Hypothesis and of the martingale …

In recent years, Fourier transform methods have emerged as one of the major methodologies
for the evaluation of derivative contracts, largely due to the need to strike a balance …

A recent stream of literature has suggested that many market imperfections or ‘puzzles’ can
be easily explained once information ambiguity, or knightian uncertainty is taken into account…