Details about Graziella Pacelli

Access statistics for papers by Graziella Pacelli.

Last updated 2016-11-08. Update your information in the RePEc Author Service.

Short-id: ppa200

Working Papers

2006

1. On the characterization of convex premium principles
   Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia View citations (1)

2005

2. On characterization of a class of convex operators for pricing insurance risks
   Game Theory and Information, University Library of Munich, Germany

Journal Articles

2012

1. An operator splitting harmonic differential quadrature approach to solve Young’s model for life insurance risk
   Insurance: Mathematics and Economics, 2012, 51, (2), 442-448 View citations (1)

2011

2. The constant elasticity of variance model: calibration, test and evidence from the Italian equity market
   Applied Financial Economics, 2011, 21, (20), 1479-1487 View citations (2)

2010

3. On a variational formulation used in credit risk modeling
   Finance Research Letters, 2010, 7, (2), 110-118

2009

4. A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model
   Applied Mathematical Finance, 2009, 16, (1), 17-36 View citations (2)

2007

5. A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model
   Journal of Banking & Finance, 2007, 31, (11), 3420-3437 View citations (6)

1999

6. A hybrid method for pricing European options based on multiple assets with transaction costs
   Applied Mathematical Finance, 1999, 6, (2), 61-85