Details about Maria Cristina Recchioni
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
- 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) View citations (1)
See also Journal Article Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model, Quantitative Finance, Taylor & Francis Journals (2017) View citations (2) (2017)
- From bond yield to macroeconomic instability: The effect of negative interest rates
Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain)
- 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
2014
- 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 
See also Journal Article A calibration procedure for analyzing stock price dynamics in an agent-based framework, Journal of Economic Dynamics and Control, Elsevier (2015) View citations (73) (2015)
- 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 View citations (1)
2006
- Box-constrained vector optimization: a steepest descent method without “a priori” scalarization
Economics and Quantitative Methods, Department of Economics, University of Insubria
Journal Articles
2019
- An approach to identifying micro behavior: How banks’ strategies influence financial cycles
Journal of Economic Behavior & Organization, 2019, 162, (C), 329-346 View citations (5)
- 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 View citations (4)
2018
- Opportunity and discrimination in tertiary education: a proposal of aggregation for some European countries
RIEDS - Rivista Italiana di Economia, Demografia e Statistica - The Italian Journal of Economic, Demographic and Statistical Studies, 2018, 72, (2), 85-95
- Spot volatility estimation using the Laplace transform
Econometrics and Statistics, 2018, 6, (C), 22-43 View citations (3)
- Stock return comovements and economic wealth conditions
RIEDS - Rivista Italiana di Economia, Demografia e Statistica - The Italian Journal of Economic, Demographic and Statistical Studies, 2018, 72, (4), 5-16
2017
- Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
Quantitative Finance, 2017, 17, (8), 1257-1275 View citations (2)
See also Working Paper Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model, Working Papers (2016) View citations (1) (2016)
- From bond yield to macroeconomic instability: A parsimonious affine model
European Journal of Operational Research, 2017, 262, (3), 1116-1135 View citations (13)
2016
- An explicitly solvable Heston model with stochastic interest rate
European Journal of Operational Research, 2016, 249, (1), 359-377 View citations (15)
2015
- A calibration procedure for analyzing stock price dynamics in an agent-based framework
Journal of Economic Dynamics and Control, 2015, 60, (C), 1-25 View citations (73)
See also Working Paper A calibration procedure for analyzing stock price dynamics in an agent-based framework, FinMaP-Working Papers (2014) (2014)
2013
- The Analysis of Real Data Using a Multiscale Stochastic Volatility Model
European Financial Management, 2013, 19, (1), 153-179 View citations (6)
2009
- An explicitly solvable multi‐scale stochastic volatility model: Option pricing and calibration problems
Journal of Futures Markets, 2009, 29, (9), 862-893 View citations (8)
2008
- Box-constrained multi-objective optimization: A gradient-like method without "a priori" scalarization
European Journal of Operational Research, 2008, 188, (3), 662-682 View citations (14)
2007
- Analysis of quadrature methods for pricing discrete barrier options
Journal of Economic Dynamics and Control, 2007, 31, (3), 826-860 View citations (23)
2004
- Furtivity and Masking Problems in Time-Dependent Electromagnetic Obstacle Scattering
Journal of Optimization Theory and Applications, 2004, 121, (2), 223-257
2003
- 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 View citations (3)
2000
- Monotone Variable–Metric Algorithm for Linearly Constrained Nonlinear Programming
Journal of Optimization Theory and Applications, 2000, 104, (2), 255-279 View citations (2)
1999
- A hybrid method for pricing European options based on multiple assets with transaction costs
Applied Mathematical Finance, 1999, 6, (2), 61-85
- 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
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