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Details about Silvia Muzzioli

E-mail:
Homepage:http://personale.unimore.it/Rubrica/dettaglio/smuzziol
Phone:+39 059 2056771
Postal address:V.le Berengario 51 41121 Modena, Italy
Workplace:Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Dipartimento di Economia "Marco Biagi" (Department of Economics), Università degli Studi di Modena e Reggio Emilia (University of Modena and Reggio Emilia), (more information at EDIRC)
Dipartimento di Economia "Marco Biagi" (Department of Economics), Università degli Studi di Modena e Reggio Emilia (University of Modena and Reggio Emilia), (more information at EDIRC)

Access statistics for papers by Silvia Muzzioli.

Last updated 2015-07-31. Update your information in the RePEc Author Service.

Short-id: pmu314


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Working Papers

2014

  1. Volatility risk premia and financial connectedness
    Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" Downloads

2013

  1. Option Implied Trees and Implied Moments
    Department of Economics (DEMB), University of Modena and Reggio Emilia, Department of Economics "Marco Biagi" Downloads View citations (1)
  2. The Optimal Corridor for Implied Volatility: from Calm to Turmoil Periods
    Department of Economics (DEMB), University of Modena and Reggio Emilia, Department of Economics "Marco Biagi" Downloads View citations (2)

2011

  1. Assessing the information content of option-based volatility forecasts using fuzzy regression methods
    Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" Downloads

2009

  1. The skew pattern of implied volatility in the DAX index options market
    Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" Downloads
    See also Journal Article in Frontiers in Finance and Economics (2011)

2005

  1. The no arbitrage condition in option implied trees: evidence from the Italian index options market
    Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" Downloads

2003

  1. Call and put implied volatilities and the derivation of option implied trees
    Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" Downloads
    See also Journal Article in Frontiers in Finance and Economics (2007)

Journal Articles

2013

  1. The Forecasting Performance of Corridor Implied Volatility in the Italian Market
    Computational Economics, 2013, 41, (3), 359-386 Downloads View citations (15)

2011

  1. The Skew Pattern of Implied Volatility in the DAX Index Options Market
    Frontiers in Finance and Economics, 2011, 8, (1), 43-68 Downloads
    See also Working Paper (2009)

2010

  1. Option-based forecasts of volatility: an empirical study in the DAX-index options market
    The European Journal of Finance, 2010, 16, (6), 561-586 Downloads View citations (22)

2009

  1. On the no-arbitrage condition in option implied trees
    European Journal of Operational Research, 2009, 193, (1), 212-221 Downloads View citations (9)

2007

  1. Call an Put Implied Volatilities and the Derivation of Option Implied Trees
    Frontiers in Finance and Economics, 2007, 4, (1), 35-64 Downloads
    See also Working Paper (2003)
  2. Solving parametric fuzzy systems of linear equations by a nonlinear programming method
    Computational Economics, 2007, 29, (2), 107-117 Downloads
  3. The solution of fuzzy linear systems by non-linear programming: a financial application
    European Journal of Operational Research, 2007, 177, (2), 1218-1231 Downloads View citations (3)

2005

  1. The pricing of options on an interval binomial tree. An application to the DAX-index option market
    European Journal of Operational Research, 2005, 163, (1), 192-200 Downloads View citations (2)

2004

  1. A multiperiod binomial model for pricing options in a vague world
    Journal of Economic Dynamics and Control, 2004, 28, (5), 861-887 Downloads View citations (5)

2001

  1. A MODEL FOR PRICING AN OPTION WITH A FUZZY PAYOFF
    Fuzzy Economic Review, 2001, VI, (1), 49-87 View citations (4)
 
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