Details about Immacolata Oliva

Access statistics for papers by Immacolata Oliva.

Last updated 2024-01-09. Update your information in the RePEc Author Service.

Short-id: pol324

Working Papers

2021

1. A unified approach to xVA with CSA discounting and initial margin
   Papers, arXiv.org View citations (7)

2019

2. Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin
   Working Papers, University of Verona, Department of Economics View citations (4)

2017

3. Estimating the Counterparty Risk Exposure by using the Brownian Motion Local Time
   Papers, arXiv.org View citations (2)

2015

4. A Quantization Approach to the Counterparty Credit Exposure Estimation
   Papers, arXiv.org View citations (2)
   See also Journal Article A quantization approach to the counterparty credit exposure estimation, International Review of Economics & Finance, Elsevier (2020) (2020)

Journal Articles

2023

1. Co-jumps and recursive preferences in portfolio choices
   Annals of Finance, 2023, 19, (3), 291-324
2. Constant or Variable? A Performance Analysis among Portfolio Insurance Strategies
   Risks, 2023, 11, (6), 1-14

2021

3. Betting on bitcoin: a profitable trading between directional and shielding strategies
   Decisions in Economics and Finance, 2021, 44, (2), 883-903 View citations (2)
4. Options on constant proportion portfolio insurance with guaranteed minimum equity exposure
   Applied Stochastic Models in Business and Industry, 2021, 37, (1), 98-112

2020

5. A mean-value Approach to solve fractional differential and integral equations
   Chaos, Solitons & Fractals, 2020, 138, (C)
6. A quantization approach to the counterparty credit exposure estimation
   International Review of Economics & Finance, 2020, 70, (C), 335-356
   See also Working Paper A Quantization Approach to the Counterparty Credit Exposure Estimation, Papers (2015) View citations (2) (2015)

2018

7. Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
   Journal of Economic Dynamics and Control, 2018, 94, (C), 242-256 View citations (16)

2017

8. Credit Risk in an Economy with New Firms Arrivals
   Methodology and Computing in Applied Probability, 2017, 19, (3), 891-912 View citations (2)