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Details about Maria Cristina Recchioni

Workplace:Dipartimento di Scienze Economiche e Sociali (Department of Economics and Social Sciences), Facoltà di Economia "Giorgio Fuà" (Faculty of Economics), Università Politecnica delle Marche (Polytechnic University of Marche), (more information at EDIRC)

Access statistics for papers by Maria Cristina Recchioni.

Last updated 2019-10-23. Update your information in the RePEc Author Service.

Short-id: pre561


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Working Papers

2016

  1. Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
    Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain) Downloads
    See also Journal Article in Quantitative Finance (2017)
  2. From bond yield to macroeconomic instability: The effect of negative interest rates
    Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain) Downloads
  3. Increasing Graduation and Calling for More Autonomy in Higher Education: Is It a Good Thing? A Theoretical Model
    Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali Downloads

2014

  1. A calibration procedure for analyzing stock price dynamics in an agent-based framework
    FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents Downloads
    See also Journal Article in Journal of Economic Dynamics and Control (2015)
  2. Bank's strategies during the financial crisis
    FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents Downloads View citations (1)

2006

  1. Box-constrained vector optimization: a steepest descent method without “a priori” scalarization
    Economics and Quantitative Methods, Department of Economics, University of Insubria Downloads

Journal Articles

2019

  1. An approach to identifying micro behavior: How banks’ strategies influence financial cycles
    Journal of Economic Behavior & Organization, 2019, 162, (C), 329-346 Downloads View citations (1)
  2. Merton’s portfolio problem including market frictions: A closed-form formula supporting the shadow price approach
    European Journal of Operational Research, 2019, 275, (3), 1178-1189 Downloads

2018

  1. Opportunity and discrimination in tertiary education: a proposal of aggregation for some European countries
    RIEDS - Rivista Italiana di Economia, Demografia e Statistica - Italian Review of Economics, Demography and Statistics, 2018, 72, (2), 85-95 Downloads
  2. Spot volatility estimation using the Laplace transform
    Econometrics and Statistics, 2018, 6, (C), 22-43 Downloads View citations (1)
  3. Stock return comovements and economic wealth conditions
    RIEDS - Rivista Italiana di Economia, Demografia e Statistica - Italian Review of Economics, Demography and Statistics, 2018, 72, (4), 5-16 Downloads

2017

  1. Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
    Quantitative Finance, 2017, 17, (8), 1257-1275 Downloads
    See also Working Paper (2016)
  2. From bond yield to macroeconomic instability: A parsimonious affine model
    European Journal of Operational Research, 2017, 262, (3), 1116-1135 Downloads View citations (7)

2016

  1. An explicitly solvable Heston model with stochastic interest rate
    European Journal of Operational Research, 2016, 249, (1), 359-377 Downloads View citations (5)

2015

  1. A calibration procedure for analyzing stock price dynamics in an agent-based framework
    Journal of Economic Dynamics and Control, 2015, 60, (C), 1-25 Downloads View citations (45)
    See also Working Paper (2014)

2013

  1. The Analysis of Real Data Using a Multiscale Stochastic Volatility Model
    European Financial Management, 2013, 19, (1), 153-179 Downloads View citations (5)

2009

  1. An explicitly solvable multi‐scale stochastic volatility model: Option pricing and calibration problems
    Journal of Futures Markets, 2009, 29, (9), 862-893 Downloads View citations (5)

2008

  1. Box-constrained multi-objective optimization: A gradient-like method without "a priori" scalarization
    European Journal of Operational Research, 2008, 188, (3), 662-682 Downloads View citations (3)

2007

  1. Analysis of quadrature methods for pricing discrete barrier options
    Journal of Economic Dynamics and Control, 2007, 31, (3), 826-860 Downloads View citations (16)

2004

  1. Furtivity and Masking Problems in Time-Dependent Electromagnetic Obstacle Scattering
    Journal of Optimization Theory and Applications, 2004, 121, (2), 223-257 Downloads

2003

  1. A path following method for box-constrained multiobjective optimization with applications to goal programming problems
    Mathematical Methods of Operations Research, 2003, 58, (1), 69-85 Downloads View citations (2)

2000

  1. Monotone Variable–Metric Algorithm for Linearly Constrained Nonlinear Programming
    Journal of Optimization Theory and Applications, 2000, 104, (2), 255-279 Downloads View citations (1)

1999

  1. A hybrid method for pricing European options based on multiple assets with transaction costs
    Applied Mathematical Finance, 1999, 6, (2), 61-85 Downloads
  2. Inverse Problem for a Class of Two-Dimensional Diffusion Equations with Piecewise Constant Coefficients
    Journal of Optimization Theory and Applications, 1999, 100, (1), 29-57 Downloads
 
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