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ICER Working Papers - Applied Mathematics Series

from ICER - International Centre for Economic Research
Viale Settimio Severo, 63 - 10133 Torino - Italy.
Contact information at EDIRC.
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2012: Natural delta gamma hedging of longevity and interest rate risk Downloads
Elisa Luciano, Luca Regis and Elena Vigna
2011: Delta and Gamma hedging of mortality and interest rate risk Downloads
Elisa Luciano, Luca Regis and Elena Vigna
2010: Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks Downloads
Claudio Morana
2010: The 2007-? financial crisis: a euro area money market perspective Downloads
Nuno Cassola and Claudio Morana
2010: The Great Recession: US dynamics and spillovers to the world economy Downloads
Fabio C. Bagliano and Claudio Morana
2010: Business Time and New Credit Risk Models Downloads
Elisa Luciano
2009: Geometric Stick-Breaking Processes for Continuous-Time Nonparametric Modeling Downloads
Ramses H. Mena, Matteo Ruggiero and Stephen G. Walker
2009: On a Construction of Markov Models in Continuous Time Downloads
Ramses H. Mena and Stephen G. Walker
2009: Models beyond the Dirichlet process Downloads
Antonio Lijoi and Igor Pruenster
2009: Distributional Properties of means of Random Probability Measures Downloads
Antonio Lijoi and Igor Pruenster
2009: Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach Downloads
Richard T. Baille and Claudio Morana
2008: Exponential Utility Maximization under Partial Information Downloads
Michael Mania and Marina Santacroce
2008: Realized Betas and the Cross-Section of Expected Returns Downloads
Claudio Morana
2008: International shocks and national house prices Downloads
Andrea Beltratti and Claudio Morana
2008: Dynamic Analysis of the Behavioural Patterns of the Largest Commercial Banks in the Russian Federation Downloads
Fuad Aleskerov, V. Belousova, M. Serdyuk and Vasily Solodkov
2008: Power distribution in the electoral body with an application to the Russian Parliament Downloads
Fuad Aleskerov
2008: Realized portfolio selection in the euro area Downloads
Claudio Morana
2008: Backward Stochastic PDEs Related to the Utility Maximization Problem Downloads
Michael Mania and Revaz Tevzadze
2008: Bayesian nonparametric estimators derived from conditional Gibbs structures Downloads
Antonio Lijoi, Igor Pruenster and Stephen G. Walker
2008: Posterior analysis for some classes of nonparametric models Downloads
Antonio Lijoi, Igor Pruenster and Stephen G. Walker
2008: Updating Choquet Integrals, Consequentialism and Dynamic Consistency Downloads
Robert Kast, André Lapied and Pascal Toquebeuf
2007: Estimating, Filtering and Forecasting Realized Betas Downloads
Claudio Morana
2007: Bank Efficiency and Banking Sector Development: the Case of Italy Downloads
Elisa Luciano and Luca Regis
2007: Generalized Normal Mean Variance Mixture and Subordinated Brownian Motion Downloads
Elisa Luciano and Patrizia Semeraro
2007: Copulas and Dependence models in Credit Risk: Diffusions versus Jumps Downloads
Elisa Luciano
2007: Copula-Based Default Dependence Modelling: Where Do We Stand? Downloads
Elisa Luciano
2007: Dynamically Consistent Conditional Choquet Capacities Downloads
Robert Kast and André Lapied
2007: Exchangeable Claims Sizes in a Compound Poisson Type Proces Downloads
Ramsés H. Mena and Luis E. Nieto-Barajas
2007: The Neutral Population Model and Bayesian Nonparametrics Downloads
Stefano Favaro, Matteo Ruggiero, Dario Spanò and Stephen G. Walker
2007: The Bernstein-Von Mises Theorem in Semiparametric Competing Risks Models Downloads
Pierpaolo De Blasi and Nils L. Hjort
2007: A Bayesian Nonparametric Method for Prediction in EST Analysis Downloads
Antonio Lijoi, Ramsés H. Mena and Igor Prünster
2007: Bayesian Nonparametric Estimation and Consistency of Mixed Multinomial Logit Choice Models Downloads
Pierpaolo De Blasi, Lancelot F. James and John W. Lau
2007: Construction and Stationary Distribution of the Fleming-Viot Process with Viability Selection Downloads
Stephen G. Walker and Matteo Ruggiero
2007: Bayesian Nonparametric Construction of the Fleming-Viot Process with Fertility Selection Downloads
Stephen G. Walker and Matteo Ruggiero
2007: Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach Downloads
Richard T. Baillie and Claudio Morana
2006: Credit risk in pure jump structural models Downloads
Filo Fiorani and Elisa Luciano
2006: A note on stochastic survival probabilities and their calibration Downloads
Elisa Luciano, Jaap Spreeuw and Elena Vigna
2006: Linear and Quadratic Functionals of RandomHazard rates: an Asymptotic Analysis Downloads
Giovanni Peccati and Igor Prünster
2006: Distributions of Functionals of the two Parameter Poisson-Dirichlet Process Downloads
Lancelot F. James, Antonio Lijoi and Igor Prünster
2006: A Flaming-Viot Process and Bayesian non Parametric Downloads
Theodoros Nicoleris, Spyridon J. Hatjispyros and Stephen G. Walker
2006: Sampling the Dirichlet Mixture Model with Slices Downloads
Stephen G. Walker
2006: A Multivariate Time-Changed Lévy Model for Financial Applications Downloads
Patrizia Semeraro
2005: Calibrating risk-neutral default correlation Downloads
Elisa Luciano
2005: A Multivariate Jump-Driven Financial Asset Model Downloads
Elisa Luciano and Wim Schoutens
2005: Bayesian Inference via Classes of Normalized Random Measures Downloads
Lancelot F. James, Antonio Lijoi and Igor Pruenster
2005: Non mean reverting affine processes for stochastic mortality Downloads
Elisa Luciano and Elena Vigna
2005: On convexity and supermodularity Downloads
Massimo Marinacci and Luigi Montrucchio
2005: A note on stochastic survival probabilities and their calibration Downloads
Elisa Luciano and Elena Vigna
2004: Portfolio Selection with Monotone Mean-Variance Preferences Downloads
Fabio Maccheroni, Massimo Marinacci, Aldo Rustichini and Marco Taboga
2004: Contributions to the understanding of Bayesian consistency Downloads
Antonio Lijoi, Igor Prünster and Stephen G. Walker
2004: Hierarchical mixture modelling with normalized inverse Gaussian priors Downloads
Antonio Lijoi, Ramsés H. Mena and Igor Prünster
2004: On rates of convergence for posterior distributions in infinite–dimensional models Downloads
Antonio Lijoi, Igor Prünster and Stephen G. Walker
2004: On consistency of nonparametric normal mixtures for Bayesian density estimation Downloads
Antonio Lijoi, Igor Prünster and Stephen G. Walker
2004: A strong law of large numbers for capacities Downloads
Fabio Maccheroni and Massimo Marinacci
2004: Variational representation of preferences under ambiguity Downloads
Fabio Maccheroni, Massimo Marinacci and Aldo Rustichini
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