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

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) 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)
2. From bond yield to macroeconomic instability: The effect of negative interest rates
   Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain)
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

2014

4. 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 (74) (2015)
5. 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

6. 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

1. 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)
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 View citations (4)

2018

3. 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
4. Spot volatility estimation using the Laplace transform
   Econometrics and Statistics, 2018, 6, (C), 22-43 View citations (3)
5. 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

6. 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)
7. From bond yield to macroeconomic instability: A parsimonious affine model
   European Journal of Operational Research, 2017, 262, (3), 1116-1135 View citations (14)

2016

8. An explicitly solvable Heston model with stochastic interest rate
   European Journal of Operational Research, 2016, 249, (1), 359-377 View citations (15)

2015

9. 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 (74)
   See also Working Paper A calibration procedure for analyzing stock price dynamics in an agent-based framework, FinMaP-Working Papers (2014) (2014)

2013

10. The Analysis of Real Data Using a Multiscale Stochastic Volatility Model
    European Financial Management, 2013, 19, (1), 153-179 View citations (6)

2009

11. 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

12. 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 (15)

2007

13. Analysis of quadrature methods for pricing discrete barrier options
    Journal of Economic Dynamics and Control, 2007, 31, (3), 826-860 View citations (23)

2004

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

2003

15. 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

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

1999

17. A hybrid method for pricing European options based on multiple assets with transaction costs
    Applied Mathematical Finance, 1999, 6, (2), 61-85
18. 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