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Details about Stefano Galluccio

Access statistics for papers by Stefano Galluccio.

Last updated 2007-09-12. Update your information in the RePEc Author Service.

Short-id: pga176


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Working Papers

2010

  1. Shape factors and cross-sectional risk
    Post-Print, HAL Downloads View citations (3)
    See also Journal Article in Journal of Economic Dynamics and Control (2010)

2005

  1. Implied Calibration of Stochastic Volatility Jump Diffusion Models
    Finance, University Library of Munich, Germany Downloads View citations (2)
  2. Theory and Calibration of Swap Market Models
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads View citations (6)
    See also Journal Article in Mathematical Finance (2007)

1998

  1. Rational Decisions, Random Matrices and Spin Glasses
    Papers, arXiv.org Downloads View citations (23)
    Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (1998) View citations (24)

    See also Journal Article in Physica A: Statistical Mechanics and its Applications (1998)

Journal Articles

2010

  1. Shape factors and cross-sectional risk
    Journal of Economic Dynamics and Control, 2010, 34, (11), 2320-2340 Downloads View citations (3)
    See also Working Paper (2010)

2007

  1. THEORY AND CALIBRATION OF SWAP MARKET MODELS
    Mathematical Finance, 2007, 17, (1), 111-141 Downloads View citations (4)
    See also Working Paper (2005)

2006

  1. A new measure of cross-sectional risk and its empirical implications for portfolio risk management
    Journal of Banking & Finance, 2006, 30, (8), 2387-2408 Downloads View citations (4)

2004

  1. The Co-initial Swap Market Model
    Economic Notes, 2004, 33, (2), 209-232 Downloads View citations (2)

1999

  1. American option pricing in Gauss–Markov interest rate models
    Physica A: Statistical Mechanics and its Applications, 1999, 269, (1), 61-71 Downloads

1998

  1. Rational decisions, random matrices and spin glasses
    Physica A: Statistical Mechanics and its Applications, 1998, 259, (3), 449-456 Downloads View citations (23)
    See also Working Paper (1998)

1997

  1. Scaling in currency exchange
    Physica A: Statistical Mechanics and its Applications, 1997, 245, (3), 423-436 Downloads View citations (24)

1994

  1. Stretching of material lines and surfaces in systems with Lagrangian chaos
    Physica A: Statistical Mechanics and its Applications, 1994, 212, (1), 75-98 Downloads
 
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