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Estimation and Arbitrage Opportunities for Exchange Rate Baskets

Mercurio, D.; Torricelli, C. - Sonderforschungsbereich 373, Quantifikation und …

Persistent link: https://www.econbiz.de/10005624005

A comparative evaluation of alternative models of the term structure of interest rates

Boero, G.; Torricelli, C. - In: European journal of operational research : EJOR 93 (1996) 1, pp. 205-223

Persistent link: https://www.econbiz.de/10006679367

The pricing of options on an interval binomial tree. An application to the DAX-index option market

Muzzioli, S.; Torricelli, C. - In: European journal of operational research : EJOR 163 (2005) 1, pp. 192-200

Persistent link: https://www.econbiz.de/10006641716

On the no-arbitrage condition in option implied trees

Moriggia, V.; Muzzioli, S.; Torricelli, C. - In: European journal of operational research : EJOR 193 (2009) 1, pp. 212-221

Persistent link: https://www.econbiz.de/10008161290

Futures market and spot price volatility: A model for a storable commodity

Torricelli, C. - In: European journal of political economy 10 (1994) 2, pp. 339-356

Persistent link: https://www.econbiz.de/10007708428

I mercati futures

Torricelli, C.; D'Alauro, G. - In: Economia internazionale 47 (1994) 1, pp. 98

Persistent link: https://www.econbiz.de/10007712385

The internal and cross market efficiency in index option markets: an investigation of the Italian market

Brunetti, M.; Torricelli, C. - In: Applied financial economics 17 (2007) 1-3, pp. 25-34

Persistent link: https://www.econbiz.de/10007616059

The internal and cross market efficiency in index option markets: an investigation of the Italian market

Brunetti, M.; Torricelli, C. - In: Applied financial economics 17 (2007) 1, pp. 25-34

Persistent link: https://www.econbiz.de/10007617372

A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises

Gianfelice, Gianfranco; Marotta, Giuseppe; Torricelli, … - Dipartimento di Economia "Marco Biagi", Università … - 2013

We provide an assessment of the IMF suggestion, based on Severo (2012), to use an index of systemic liquidity risk (SLRI) that could help to estimate a Pigouvian tax on large banks for the externality on the international banking system out of their risk exposure. To this end we compute a...

Persistent link: https://www.econbiz.de/10010678326

Family ties: occupational responses to cope with a household income shock

Baldini, Massimo; Torricelli, Costanza; Brancati, Maria … - Centre for Research on Pensions and Welfare Policies … - 2014

We use household panel data to explore the link between transitions of a household member (not only the wife) into the workforce and negative income shocks (unemployment and/or income support) suffered by another household member. We take the case of Italy where family ties other than spousal...

Persistent link: https://www.econbiz.de/10011213683