Details about Flavia Barsotti

Access statistics for papers by Flavia Barsotti.

Last updated 2024-02-08. Update your information in the RePEc Author Service.

Short-id: pba819

Working Papers

2018

1. Asymptotic Static Hedge via Symmetrization
   Papers, arXiv.org

2017

2. The Value of Timing Risk
   Papers, arXiv.org View citations (1)

2016

3. Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors
   Post-Print, HAL View citations (9)
   See also Journal Article Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors, Insurance: Mathematics and Economics, Elsevier (2016) View citations (9) (2016)

2012

4. Microstructure effect on firm’s volatility risk
   Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa
5. Optimal Capital Structure with Endogenous Default and Volatility Risk
   Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa View citations (1)

2011

6. Corporate Debt Value with Switching Tax Benefits and Payouts
   Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa

2010

7. Debt Value and Capital Structure with Firm's Net Cash Payouts
   Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa

Journal Articles

2023

1. Hedging error as generalized timing risk
   Quantitative Finance, 2023, 23, (4), 693-703 View citations (1)

2016

2. Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors
   Insurance: Mathematics and Economics, 2016, 71, (C), 317-331 View citations (9)
   See also Working Paper Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors, Post-Print (2016) View citations (9) (2016)
3. Market Microstructure Effects on Firm Default Risk Evaluation
   Econometrics, 2016, 4, (3), 1-31

2015

4. Performance and determinants of the Merton structural model: Evidence from hedging coefficients
   Journal of Banking & Finance, 2015, 58, (C), 95-111 View citations (1)

2014

5. Estimating the transition matrix of a Markov chain observed at random times
   Statistics & Probability Letters, 2014, 94, (C), 98-105

2012

6. The Role of a Firm’s Net Cash Payouts in Leland’s (1994) Model
   Economic Notes, 2012, 41, (3), 115-144 View citations (1)