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

Working Papers

2010

1. Shape factors and cross-sectional risk
   Post-Print, HAL View citations (4)
   See also Journal Article Shape factors and cross-sectional risk, Journal of Economic Dynamics and Control, Elsevier (2010) View citations (4) (2010)

2005

2. Implied Calibration of Stochastic Volatility Jump Diffusion Models
   Finance, University Library of Munich, Germany View citations (2)
3. Theory and Calibration of Swap Market Models
   FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (5)
   See also Journal Article THEORY AND CALIBRATION OF SWAP MARKET MODELS, Mathematical Finance, Wiley Blackwell (2007) View citations (7) (2007)

1998

4. Rational Decisions, Random Matrices and Spin Glasses
   Papers, arXiv.org View citations (29)
   Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (1998) View citations (31)
   See also Journal Article Rational decisions, random matrices and spin glasses, Physica A: Statistical Mechanics and its Applications, Elsevier (1998) View citations (30) (1998)

Journal Articles

2010

1. Shape factors and cross-sectional risk
   Journal of Economic Dynamics and Control, 2010, 34, (11), 2320-2340 View citations (4)
   See also Working Paper Shape factors and cross-sectional risk, Post-Print (2010) View citations (4) (2010)

2007

2. THEORY AND CALIBRATION OF SWAP MARKET MODELS
   Mathematical Finance, 2007, 17, (1), 111-141 View citations (7)
   See also Working Paper Theory and Calibration of Swap Market Models, FAME Research Paper Series (2005) View citations (5) (2005)

2006

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

1999

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

1998

5. Rational decisions, random matrices and spin glasses
   Physica A: Statistical Mechanics and its Applications, 1998, 259, (3), 449-456 View citations (30)
   See also Working Paper Rational Decisions, Random Matrices and Spin Glasses, Papers (1998) View citations (29) (1998)

1997

6. Scaling in currency exchange
   Physica A: Statistical Mechanics and its Applications, 1997, 245, (3), 423-436 View citations (28)

1994

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