Elvira Mancino, Maria: search on Z-Library

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1

The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability

Emilio Barucci, Paul Malliavin, Maria Elvira Mancino, Roberto Renò, Anton Thalmaier

Journal:

Mathematical Finance

Year:

2003

Language:

english

File:

PDF, 176 KB

english, 2003

2

High-frequency volatility of volatility estimation free from spot volatility estimates

Sanfelici, Simona, Curato, Imma Valentina, Mancino, Maria Elvira

Journal:

Quantitative Finance

Year:

2015

Language:

english

File:

PDF, 902 KB

english, 2015

3

Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis

Mancino, Maria Elvira, Renò, Roberto

Journal:

Applied Mathematical Finance

Year:

2005

Language:

english

File:

PDF, 400 KB

english, 2005

4

A Fourier transform method for nonparametric estimation of multivariate volatility

Malliavin, Paul, Mancino, Maria Elvira

Journal:

The Annals of Statistics

Year:

2009

Language:

english

File:

PDF, 234 KB

english, 2009

5

Estimation of quarticity with high-frequency data

Mancino, Maria Elvira, Sanfelici, Simona

Journal:

Quantitative Finance

Year:

2012

Language:

english

File:

PDF, 656 KB

english, 2012

6

Identifying financial instability conditions using high frequency data

Mancino, Maria Elvira, Sanfelici, Simona

Journal:

Journal of Economic Interaction and Coordination

Year:

2019

File:

PDF, 3.23 MB

2019

7

Quantitative developments in financial volatility—theory and practice

Alòs, Elisa, Mancino, Maria Elvira, Wang, Tai-Ho

Journal:

Decisions in Economics and Finance

Year:

2019

Language:

english

File:

PDF, 132 KB

english, 2019

8

A comparison result for FBSDE with applications to decisions theory

Fabio Antonelli, Emilio Barucci, Maria Elvira Mancino

Journal:

Mathematical Methods of Operations Research

Year:

2001

Language:

english

File:

PDF, 156 KB

english, 2001

9

Dilatation Vector Fields on the Loop Group

Maria Elvira Mancino

Journal:

Journal of Functional Analysis

Year:

1999

Language:

english

File:

PDF, 152 KB

english, 1999

10

Volatility and volatility-linked derivatives: estimation, modeling, and pricing

Alòs, Elisa, Mancino, Maria Elvira, Wang, Tai-Ho

Journal:

Decisions in Economics and Finance

Year:

2019

Language:

english

File:

PDF, 629 KB

english, 2019

11

Asset pricing with a forward–backward stochastic differential utility

Fabio Antonelli, Emilio Barucci, Maria Elvira Mancino

Journal:

Economics Letters

Year:

2001

Language:

english

File:

PDF, 65 KB

english, 2001

12

Fourier series method for measurement of multivariate volatilities

Paul Malliavin, Maria Elvira Mancino

Journal:

Finance and Stochastics

Year:

2002

Language:

english

File:

PDF, 110 KB

english, 2002

13

A TAYLOR FORMULA TO PRICE AND HEDGE EUROPEAN CONTINGENT CLAIMS

MANCINO, MARIA ELVIRA

Journal:

International Journal of Theoretical and Applied Finance

Year:

2001

Language:

english

File:

PDF, 280 KB

english, 2001

14

[SpringerBriefs in Quantitative Finance] Fourier-Malliavin Volatility Estimation || High Frequency Analysis: Market Microstructure Noise Issues

Mancino, Maria Elvira, Recchioni, Maria Cristina, Sanfelici, Simona

Year:

2017

Language:

english

File:

PDF, 681 KB

english, 2017

15

Fourier volatility forecasting with high-frequency data and microstructure noise

Barucci, Emilio, Magno, Davide, Mancino, Maria Elvira

Journal:

Quantitative Finance

Year:

2012

Language:

english

File:

PDF, 415 KB

english, 2012

16

COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA

BARUCCI, EMILIO, MANCINO, MARIA ELVIRA

Journal:

International Journal of Theoretical and Applied Finance

Year:

2010

Language:

english

File:

PDF, 249 KB

english, 2010

17

The Role of a Firm’s Net Cash Payouts in Leland’s (1994) Model

Barsotti, Flavia, Mancino, Maria Elvira, Pontier, Monique

Journal:

Year:

2012

Language:

english

File:

PDF, 1.27 MB

english, 2012

18

Instantaneous liquidity rate, its econometric measurement by volatility feedback

Paul Malliavin, Maria Elvira Mancino

Journal:

Comptes Rendus Mathematique

Year:

2002

Language:

english

File:

PDF, 41 KB

english, 2002

19

A non-parametric calibration of the HJM geometry: an application of Itô calculus to financial statistics

Paul Malliavin, Maria Elvira Mancino, Maria Cristina Recchioni

Journal:

Japanese Journal of Mathematics

Year:

2007

Language:

english

File:

PDF, 265 KB

english, 2007

20

Spot Volatility Estimation Using the Laplace Transform

Mancino, Maria Elvira, Curato, Imma Valentina, Recchioni, Maria Cristina

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 555 KB

english, 2014

21

Cost analysis of blood purification: a tool for decision-making and supply chain optimization

Grazzini, Silvia, Razzauti, Claudia, Fabbri, Lea Paola, Galatà, Michele, Bellucci, Stefano, Colivicchi, Ilaria, Mancino, Maria Elvira

Journal:

Renal Replacement Therapy

Year:

2019

Language:

english

File:

PDF, 547 KB

english, 2019

22

On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?

Allaj, Erindi, Mancino, Maria Elvira

Journal:

Communications in Statistics - Simulation and Computation

Year:

2019

Language:

english

File:

PDF, 2.10 MB

english, 2019

23

Asymptotic results for the Fourier estimator of the integrated quarticity

Livieri, Giulia, Mancino, Maria Elvira, Marmi, Stefano

Journal:

Decisions in Economics and Finance

Year:

2019

Language:

english

File:

PDF, 929 KB

english, 2019

24

Nonparametric MalliavinâMonte Carlo Computation of Hedging Greeks

Mancino, Maria Elvira, Sanfelici, Simona

Journal:

Year:

2020

File:

PDF, 1.20 MB

2020

25

Asset pricing with endogenous aspirations

Fabio Antonelli, Emilio Barucci, Maria Elvira Mancino

Journal:

Decisions in Economics and Finance

Year:

2001

Language:

english

File:

PDF, 117 KB

english, 2001

26

Optimal strategies in a risky debt context

Dorobantu, Diana, Elvira Mancino, Maria, Pontier, Monique

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2009

Language:

english

File:

PDF, 138 KB

english, 2009

27

Spot volatility estimation using the Laplace transform

Curato, Imma Valentina, Mancino, Maria Elvira, Recchioni, Maria Cristina

Journal:

Econometrics and Statistics

Year:

2016

Language:

english

File:

PDF, 742 KB

english, 2016

28

[SpringerBriefs in Quantitative Finance] Fourier-Malliavin Volatility Estimation ||

Mancino, Maria Elvira, Recchioni, Maria Cristina, Sanfelici, Simona

Year:

2017

Language:

english

File:

PDF, 2.84 MB

english, 2017

29

Estimating Covariance Via Fourier Method in the Presence of Asynchronous Trading and Microstructure Noise

Mancino, Maria Elvira Elvira, Sanfelici, Simona

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 299 KB

english, 2008

30

Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data

Mancino, Maria Elvira, Recchioni, Maria Cristina, Germano, Guido

Journal:

Year:

2015

Language:

english

File:

PDF, 1.39 MB

english, 2015

31

Computation of Volatility in Stochastic Volatility Models with High Frequency Data

Barucci, Emilio, Mancino, Maria Elvira Elvira

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 202 KB

english, 2008

32

DIFFUSION PROCESSES WITH RESPECT TO FREE BROWNIAN MOTION

MANCINO, MARIA ELVIRA

Journal:

Infinite Dimensional Analysis Quantum Probability and Related Topics

Year:

2000

Language:

english

File:

PDF, 184 KB

english, 2000

33

Switching tax structure and payouts in endogenous bankruptcy models

Barsotti, Flavia, Mancino, Maria Elvira, Pontier, Monique

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2015

Language:

english

File:

PDF, 590 KB

english, 2015

34

A Fourier Transform Method for Nonparametric Estimation of Multivariate Volatility

Paul Malliavin and Maria Elvira Mancino

Journal:

The Annals of Statistics

Year:

2009

Language:

english

File:

PDF, 1.64 MB

english, 2009

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