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ICER Working Papers - Applied Mathematics Series
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2012: Natural delta gamma hedging of longevity and interest rate risk
Elisa Luciano , Luca Regis and Elena Vigna 2011: Delta and Gamma hedging of mortality and interest rate risk
Elisa Luciano , Luca Regis and Elena Vigna 2010: Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks
Claudio Morana 2010: The 2007-? financial crisis: a euro area money market perspective
Nuno Cassola and Claudio Morana 2010: The Great Recession: US dynamics and spillovers to the world economy
Fabio C. Bagliano and Claudio Morana 2010: Business Time and New Credit Risk Models
Elisa Luciano 2009: Geometric Stick-Breaking Processes for Continuous-Time Nonparametric Modeling
Ramses H. Mena , Matteo Ruggiero and Stephen G. Walker 2009: On a Construction of Markov Models in Continuous Time
Ramses H. Mena and Stephen G. Walker 2009: Models beyond the Dirichlet process
Antonio Lijoi and Igor Pruenster 2009: Distributional Properties of means of Random Probability Measures
Antonio Lijoi and Igor Pruenster 2009: Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach
Richard T. Baille and Claudio Morana 2008: Exponential Utility Maximization under Partial Information
Michael Mania and Marina Santacroce 2008: Realized Betas and the Cross-Section of Expected Returns
Claudio Morana 2008: International shocks and national house prices
Andrea Beltratti and Claudio Morana 2008: Dynamic Analysis of the Behavioural Patterns of the Largest Commercial Banks in the Russian Federation
Fuad Aleskerov , V. Belousova , M. Serdyuk and V. Solodkov 2008: Power distribution in the electoral body with an application to the Russian Parliament
Fuad Aleskerov 2008: Realized portfolio selection in the euro area
Claudio Morana 2008: Backward Stochastic PDEs Related to the Utility Maximization Problem
Michael Mania and Revaz Tevzadze 2008: Bayesian nonparametric estimators derived from conditional Gibbs structures
Antonio Lijoi , Igor Pruenster and Stephen G. Walker 2008: Posterior analysis for some classes of nonparametric models
Antonio Lijoi , Igor Pruenster and Stephen G. Walker 2008: Updating Choquet Integrals, Consequentialism and Dynamic Consistency
Robert Kast , André Lapied and Pascal Toquebeuf 2007: Estimating, Filtering and Forecasting Realized Betas
Claudio Morana 2007: Bank Efficiency and Banking Sector Development: the Case of Italy
Elisa Luciano and Luca Regis 2007: Generalized Normal Mean Variance Mixture and Subordinated Brownian Motion
Elisa Luciano and Patrizia Semeraro 2007: Copulas and Dependence models in Credit Risk: Diffusions versus Jumps
Elisa Luciano 2007: Copula-Based Default Dependence Modelling: Where Do We Stand?
Elisa Luciano 2007: Dynamically Consistent Conditional Choquet Capacities
Robert Kast and André Lapied 2007: Exchangeable Claims Sizes in a Compound Poisson Type Proces
Ramsés H. Mena and Luis E. Nieto-Barajas 2007: The Neutral Population Model and Bayesian Nonparametrics
Stefano Favaro , Matteo Ruggiero , Dario Spanò and Stephen G. Walker 2007: The Bernstein-Von Mises Theorem in Semiparametric Competing Risks Models
Pierpaolo De Blasi and Nils L. Hjort 2007: A Bayesian Nonparametric Method for Prediction in EST Analysis
Antonio Lijoi , Ramsés H. Mena and Igor Prünster 2007: Bayesian Nonparametric Estimation and Consistency of Mixed Multinomial Logit Choice Models
Pierpaolo De Blasi , Lancelot F. James and John W. Lau 2007: Construction and Stationary Distribution of the Fleming-Viot Process with Viability Selection
Stephen G. Walker and Matteo Ruggiero 2007: Bayesian Nonparametric Construction of the Fleming-Viot Process with Fertility Selection
Stephen G. Walker and Matteo Ruggiero 2007: Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach
Richard T. Baillie and Claudio Morana 2006: Credit risk in pure jump structural models
Filo Fiorani and Elisa Luciano 2006: A note on stochastic survival probabilities and their calibration
Elisa Luciano , Jaap Spreeuw and Elena Vigna 2006: Linear and Quadratic Functionals of RandomHazard rates: an Asymptotic Analysis
Giovanni Peccati and Igor Prünster 2006: Distributions of Functionals of the two Parameter Poisson-Dirichlet Process
Lancelot F. James , Antonio Lijoi and Igor Prünster 2006: A Flaming-Viot Process and Bayesian non Parametric
Theodoros Nicoleris , Spyridon J. Hatjispyros and Stephen G. Walker 2006: Sampling the Dirichlet Mixture Model with Slices
Stephen G. Walker 2006: A Multivariate Time-Changed Lévy Model for Financial Applications
Patrizia Semeraro 2005: Calibrating risk-neutral default correlation
Elisa Luciano 2005: A Multivariate Jump-Driven Financial Asset Model
Elisa Luciano and Wim Schoutens 2005: Bayesian Inference via Classes of Normalized Random Measures
Lancelot F. James , Antonio Lijoi and Igor Pruenster 2005: Non mean reverting affine processes for stochastic mortality
Elisa Luciano and Elena Vigna 2005: On convexity and supermodularity
Massimo Marinacci and Luigi Montrucchio 2005: A note on stochastic survival probabilities and their calibration
Elisa Luciano and Elena Vigna 2004: Portfolio Selection with Monotone Mean-Variance Preferences
Fabio Maccheroni , Massimo Marinacci , Aldo Rustichini and Marco Taboga 2004: Contributions to the understanding of Bayesian consistency
Antonio Lijoi , Igor Prünster and Stephen G. Walker 2004: Hierarchical mixture modelling with normalized inverse Gaussian priors
Antonio Lijoi , Ramsés H. Mena and Igor Prünster 2004: On rates of convergence for posterior distributions in infinite–dimensional models
Antonio Lijoi , Igor Prünster and Stephen G. Walker 2004: On consistency of nonparametric normal mixtures for Bayesian density estimation
Antonio Lijoi , Igor Prünster and Stephen G. Walker 2004: A strong law of large numbers for capacities
Fabio Maccheroni and Massimo Marinacci 2004: Variational representation of preferences under ambiguity
Fabio Maccheroni , Massimo Marinacci and Aldo Rustichini
2012 
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