We ask whether empirical finance market data (Financial Stress Index, swap and equity, emerging and developed, corporate and government, short and long maturity), with their recently observed alternations between calm periods and financial turmoil, could be described by a low-dimensional...

In this paper, we consider the Heston-CIR model with Levy process for pricing in the foreign exchange (FX) market by providing a new formula that better fits the distribution of prices. To do that, first, we study the existence and uniqueness of the solution to this model. Second, we examine the...

Although the probability of default (PD) modeling has reached a great maturity in both academia and business, for the Italian case we demonstrate that banks' available PD models would be misleading if today applied directly to Italian banks. We argue that what determines the PD of Italian banks,...

Italian Abstract: Questo lavoro si propone il compito di illustrare le implicazioni relative in particolare riguardo stabilità e crescita. Le ragioni dell'unione sono da ricercare nei fattori politici tesi ad evitare il ripetersi di tragedie nel Vecchio Continente, argomento che le ceneri...

It is well known that the Cox-Ingersoll-Ross (CIR) stochastic model to study the term structure of interest rates, as introduced in 1985, is inadequate for modelling the current market environment with negative short interest rates. Moreover, the diffusion term in the rate dynamics goes to zero...