ICER Working Papers - Applied Mathematics Series

From ICER - International Centre for Economic Research
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2012: Natural delta gamma hedging of longevity and interest rate risk

Elisa Luciano, Luca Regis and Elena Vigna

2011: Delta and Gamma hedging of mortality and interest rate risk

Elisa Luciano, Luca Regis and Elena Vigna

2010: Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks

Claudio Morana

2010: The 2007-? financial crisis: a euro area money market perspective

Nuno Cassola and Claudio Morana

2010: The Great Recession: US dynamics and spillovers to the world economy

Fabio Bagliano and Claudio Morana

2010: Business Time and New Credit Risk Models

Elisa Luciano

2009: Geometric Stick-Breaking Processes for Continuous-Time Nonparametric Modeling

Ramses H. Mena, Matteo Ruggiero and Stephen G. Walker

2009: On a Construction of Markov Models in Continuous Time

Ramses H. Mena and Stephen G. Walker

2009: Models beyond the Dirichlet process

Antonio Lijoi and Igor Pruenster

2009: Distributional Properties of means of Random Probability Measures

Antonio Lijoi and Igor Pruenster

2009: Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach

Richard T. Baille and Claudio Morana

2008: Exponential Utility Maximization under Partial Information

Michael Mania and Marina Santacroce

2008: Realized Betas and the Cross-Section of Expected Returns

Claudio Morana

2008: International shocks and national house prices

Andrea Beltratti and Claudio Morana

2008: Dynamic Analysis of the Behavioural Patterns of the Largest Commercial Banks in the Russian Federation

Fuad Aleskerov, Veronika Belousova, M. Serdyuk and Vasily Solodkov

2008: Power distribution in the electoral body with an application to the Russian Parliament

Fuad Aleskerov

2008: Realized portfolio selection in the euro area

Claudio Morana

2008: Backward Stochastic PDEs Related to the Utility Maximization Problem

Michael Mania and Revaz Tevzadze

2008: Bayesian nonparametric estimators derived from conditional Gibbs structures

Antonio Lijoi, Igor Pruenster and Stephen G. Walker

2008: Posterior analysis for some classes of nonparametric models

Antonio Lijoi, Igor Pruenster and Stephen G. Walker

2008: Updating Choquet Integrals, Consequentialism and Dynamic Consistency

Robert Kast, André Lapied and Pascal Toquebeuf

2007: Estimating, Filtering and Forecasting Realized Betas

Claudio Morana

2007: Bank Efficiency and Banking Sector Development: the Case of Italy

Elisa Luciano and Luca Regis

2007: Generalized Normal Mean Variance Mixture and Subordinated Brownian Motion

Elisa Luciano and Patrizia Semeraro

2007: Copulas and Dependence models in Credit Risk: Diffusions versus Jumps

Elisa Luciano

2007: Copula-Based Default Dependence Modelling: Where Do We Stand?

Elisa Luciano

2007: Dynamically Consistent Conditional Choquet Capacities

Robert Kast and André Lapied

2007: Exchangeable Claims Sizes in a Compound Poisson Type Proces

Ramsés H. Mena and Luis E. Nieto-Barajas

2007: The Neutral Population Model and Bayesian Nonparametrics

Stefano Favaro, Matteo Ruggiero, Dario Spanò and Stephen G. Walker

2007: The Bernstein-Von Mises Theorem in Semiparametric Competing Risks Models

Pierpaolo De Blasi and Nils L. Hjort

2007: A Bayesian Nonparametric Method for Prediction in EST Analysis

Antonio Lijoi, Ramsés H. Mena and Igor Prünster

2007: Bayesian Nonparametric Estimation and Consistency of Mixed Multinomial Logit Choice Models

Pierpaolo De Blasi, Lancelot F. James and John W. Lau

2007: Construction and Stationary Distribution of the Fleming-Viot Process with Viability Selection

Stephen G. Walker and Matteo Ruggiero

2007: Bayesian Nonparametric Construction of the Fleming-Viot Process with Fertility Selection

Stephen G. Walker and Matteo Ruggiero

2007: Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach

Richard T. Baillie and Claudio Morana

2006: Credit risk in pure jump structural models

Filo Fiorani and Elisa Luciano

2006: A note on stochastic survival probabilities and their calibration

Elisa Luciano, Jaap Spreeuw and Elena Vigna

2006: Linear and Quadratic Functionals of RandomHazard rates: an Asymptotic Analysis

Giovanni Peccati and Igor Prünster

2006: Distributions of Functionals of the two Parameter Poisson-Dirichlet Process

Lancelot F. James, Antonio Lijoi and Igor Prünster

2006: A Flaming-Viot Process and Bayesian non Parametric

Theodoros Nicoleris, Spyridon J. Hatjispyros and Stephen G. Walker

2006: Sampling the Dirichlet Mixture Model with Slices

Stephen G. Walker

2006: A Multivariate Time-Changed Lévy Model for Financial Applications

Patrizia Semeraro

2005: Calibrating risk-neutral default correlation

Elisa Luciano

2005: A Multivariate Jump-Driven Financial Asset Model

Elisa Luciano and Wim Schoutens

2005: Bayesian Inference via Classes of Normalized Random Measures

Lancelot F. James, Antonio Lijoi and Igor Pruenster

2005: Non mean reverting affine processes for stochastic mortality

Elisa Luciano and Elena Vigna

2005: On convexity and supermodularity

Massimo Marinacci and Luigi Montrucchio

2005: A note on stochastic survival probabilities and their calibration

Elisa Luciano and Elena Vigna

2004: Portfolio Selection with Monotone Mean-Variance Preferences

Fabio Maccheroni, Massimo Marinacci, Aldo Rustichini and Marco Taboga

2004: Contributions to the understanding of Bayesian consistency

Antonio Lijoi, Igor Prünster and Stephen G. Walker

2004: Hierarchical mixture modelling with normalized inverse Gaussian priors

Antonio Lijoi, Ramsés H. Mena and Igor Prünster

2004: On rates of convergence for posterior distributions in infinite–dimensional models

Antonio Lijoi, Igor Prünster and Stephen G. Walker

2004: On consistency of nonparametric normal mixtures for Bayesian density estimation

Antonio Lijoi, Igor Prünster and Stephen G. Walker

2004: A strong law of large numbers for capacities

Fabio Maccheroni and Massimo Marinacci

2004: Variational representation of preferences under ambiguity

Fabio Maccheroni, Massimo Marinacci and Aldo Rustichini