Search Results - person:"Papi, Marco"

Inflation, central bank and short-term interest rates : A new model with calibration to market data

Antonacci, Flavia; Costantini, Cristina; D'Ippoliti, … - In: International journal of theoretical and applied finance 24 (2021) 8, pp. 1-31

Persistent link: https://www.econbiz.de/10012887366

On parameter estimation of Heston's stochastic volatilitymodel : a polynomial filtering method

Cacace, Filippo; Germani, Alfredo; Papi, Marco - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 503-525

Persistent link: https://www.econbiz.de/10012127257

Weighted average price in the Heston stochastic volatility model

Papi, Marco; Pontecorvi, Luca; Donatucci, Cristina - In: Decisions in economics and finance : DEF ; a journal of … 40 (2017) 1/2, pp. 351-373

Persistent link: https://www.econbiz.de/10011997757

A new model for the length of stay of hospital patients

Papi, Marco; Pontecorvi, Luca; Setola, Roberto - In: Health care management science 19 (2016) 1, pp. 58-65

Persistent link: https://www.econbiz.de/10011458589

Singular risk-neutral valuation equations

Costantini, Cristina; Papi, Marco; D'Ippoliti, Fernanda - In: Finance and stochastics 16 (2012) 2, pp. 249-274

Persistent link: https://www.econbiz.de/10009544668

Singular risk-neutral valuation equations

Costantini, Cristina; Papi, Marco; Fernanda D’Ippoliti - In: Finance and Stochastics 16 (2012) 2, pp. 249-274

Persistent link: https://www.econbiz.de/10010847053

Singular risk-neutral valuation equations

Costantini, Cristina; Papi, Marco; D’Ippoliti, Fernanda - In: Finance and stochastics 16 (2012) 2, pp. 249-275

Persistent link: https://www.econbiz.de/10009839741

A PDE-based approach for pricing Mortgage-Backed securities

Papi, Marco; Briani, Maya - In: Advanced mathematical methods for finance, (pp. 257-291). 2011

Persistent link: https://www.econbiz.de/10008991287

Scenario-generation methods for an optimal public debt strategy

Bernaschi, Massimo; Briani, Maya; Papi, Marco; Vergni, … - In: Quantitative fund management, (pp. 175-196). 2009

Persistent link: https://www.econbiz.de/10003796951

Scenario-generation methods for an optimal public debt strategy

Bernaschi, Massimo; Briani, Maya; Papi, Marco; Vergni, … - In: Quantitative Finance 7 (2007) 2, pp. 217-229

We describe the methods employed for the generation of possible scenarios for term structure evolution. The problem originated as a request from the Italian Ministry of Economy and Finance to find an optimal strategy for the issuance of Public Debt securities. The basic idea is to split the...

Persistent link: https://www.econbiz.de/10005495805