Rosella Giacometti: search on Z-Library

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1

Stable distributions in the Black–Litterman approach to asset allocation

Giacometti, Rosella, Bertocchi, Marida, Rachev, Svetlozar T., Fabozzi, Frank J.

Journal:

Quantitative Finance

Year:

2007

Language:

english

File:

PDF, 168 KB

english, 2007

2

On pricing of credit spread options

Rosella Giacometti, Mariangela Teocchi

Journal:

European Journal of Operational Research

Year:

2005

Language:

english

File:

PDF, 391 KB

english, 2005

3

Risk factor analysis and portfolio immunization in the corporate bond market

Marida Bertocchi, Rosella Giacometti, Stavros A. Zenios

Journal:

European Journal of Operational Research

Year:

2005

Language:

english

File:

PDF, 744 KB

english, 2005

4

Intensity-based framework for surrender modeling in life insurance

Russo, Vincenzo, Giacometti, Rosella, Fabozzi, Frank J.

Journal:

Insurance: Mathematics and Economics

Year:

2016

Language:

english

File:

PDF, 298 KB

english, 2016

5

Bayesian estimation of truncated data with applications to operational risk measurement

Zhou, Xiaoping, Giacometti, Rosella, Fabozzi, Frank J., Tucker, Ann H.

Journal:

Quantitative Finance

Year:

2014

Language:

english

File:

PDF, 1.69 MB

english, 2014

6

Sparse precision matrices for minimum variance portfolios

Torri, Gabriele, Giacometti, Rosella, Paterlini, Sandra

Journal:

Computational Management Science

Year:

2019

Language:

english

File:

PDF, 489 KB

english, 2019

7

Using the Black and Litterman framework for stress test analysis in asset management

Giacometti, Rosella, Mignacca, Domenico

Journal:

Journal of Asset Management

Year:

2010

Language:

english

File:

PDF, 201 KB

english, 2010

8

Estimating the Joint Probability of Default Using Credit Default Swap and Bond Data

Pianeti, Riccardo, Giacometti, Rosella, Acerbis, Valentina

Journal:

The Journal of Fixed Income

Year:

2012

Language:

english

File:

PDF, 1.41 MB

english, 2012

9

A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates

Rosella Giacometti, Marida Bertocchi, Svetlozar T. Rachev, Frank J. Fabozzi

Journal:

Insurance: Mathematics and Economics

Year:

2012

Language:

english

File:

PDF, 917 KB

english, 2012

10

Sparse Precision Matrices for Minimum Variance Portfolios

Torri, Gabriele, Giacometti, Rosella

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 381 KB

english, 2017

11

Calibrating affine stochastic mortality models using term assurance premiums

Vincenzo Russo, Rosella Giacometti, Sergio Ortobelli, Svetlozar Rachev, Frank J. Fabozzi

Journal:

Insurance: Mathematics and Economics

Year:

2011

Language:

english

File:

PDF, 251 KB

english, 2011

12

Factor decomposition of the eurozone sovereign CDS spreads

Fabozzi, Frank J., Giacometti, Rosella, Tsuchida, Naoshi

Journal:

Journal of International Money and Finance

Year:

2016

Language:

english

File:

PDF, 1.34 MB

english, 2016

13

Time Series and Copula Dependency Analysis for Eurozone Sovereign Bond Returns

Tsuchida, Naoshi, Giacometti, Rosella, Fabozzi, Frank J, Kim, Young Shin, Frey, Robert J

Journal:

The Journal of Fixed Income

Year:

2014

Language:

english

File:

PDF, 1.57 MB

english, 2014

14

Market implied volatilities for defaultable bonds

Russo, Vincenzo, Giacometti, Rosella, Fabozzi, Frank J.

Journal:

Annals of Operations Research

Year:

2018

Language:

english

File:

PDF, 441 KB

english, 2018

15

A Three-Factor Model for Mortality Modeling

Russo, Vincenzo, Giacometti, Rosella, Rachev, Svetlozar, Fabozzi, Frank J.

Journal:

North American Actuarial Journal

Year:

2015

Language:

english

File:

PDF, 585 KB

english, 2015

16

Robust and Sparse Banking Network Estimation

Torri, Gabriele, Giacometti, Rosella, Paterlini, Sandra

Journal:

European Journal of Operational Research

Year:

2018

Language:

english

File:

PDF, 2.28 MB

english, 2018

17

Structural Credit Risk Models with Subordinated Processes

Gurny, Martin, Ortobelli Lozza, Sergio, Giacometti, Rosella

Journal:

Journal of Applied Mathematics

Year:

2013

Language:

english

File:

PDF, 452 KB

english, 2013

18

Performance of a Hedged Stochastic Portfolio Model in the Presence of Extreme Events

Rosella Castellano, Rosella Giacometti

Journal:

Computational Economics

Year:

2001

Language:

english

File:

PDF, 98 KB

english, 2001

19

Joint tails impact in stochastic volatility portfolio selection models

Bonomelli, Marco, Giacometti, Rosella, Ortobelli Lozza, Sergio

Journal:

Annals of Operations Research

Year:

2020

File:

PDF, 1.90 MB

2020

20

Bond portfolio management with repo contracts: the Italian case

Marida Bertocchi, Rosella Giacometti, Leon Slominski

Journal:

Annals of Operations Research

Year:

2000

Language:

english

File:

PDF, 223 KB

english, 2000

21

[IEEE 2010 International Conference on Management and Service Science (MASS 2010) - Wuhan, China (2010.08.24-2010.08.26)] 2010 International Conference on Management and Service Science - A Multi-Stage Stochastic Electricity Portfolio Model with Forwards Contracts

Giacometti, Rosella, Vespucci, Maria Teresa, Bertocchi, Marida

Year:

2010

Language:

english

File:

PDF, 115 KB

english, 2010

22

A nonparametric model for analysis of the EURO bond market

Jozsef Abaffy, Marida Bertocchi, Jitka Dupačová, Rosella Giacometti, Marie Hušková, Vittorio Moriggia

Journal:

Journal of Economic Dynamics and Control

Year:

2003

Language:

english

File:

PDF, 339 KB

english, 2003

23

Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Young Shin Kim, Rosella Giacometti, Svetlozar T. Rachev, Frank J. Fabozzi, Domenico Mignacca

Journal:

Annals of Operations Research

Year:

2012

Language:

english

File:

PDF, 634 KB

english, 2012

24

Euro Bonds (Markets, Infrastructure and Trends) || Credit Derivatives Market

Bertocchi, Marida, Consigli, Giorgio, D'Ecclesia, Rita, Giacometti, Rosella, Moriggia, Vittorio, Ortobelli, Sergio

Year:

2013

Language:

english

File:

PDF, 695 KB

english, 2013

25

On Optimal Design of Treasury Bonds

Rosella Giacometti

Journal:

Computational Economics

Year:

1999

Language:

english

File:

PDF, 127 KB

english, 1999

26

Euro Bonds (Markets, Infrastructure and Trends) || Securitization Market

Bertocchi, Marida, Consigli, Giorgio, D'Ecclesia, Rita, Giacometti, Rosella, Moriggia, Vittorio, Ortobelli, Sergio

Year:

2013

Language:

english

File:

PDF, 710 KB

english, 2013

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