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1

Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory

Francesca Mariani, Graziella Pacelli, Francesco Zirilli

Journal:

Optimization Letters

Year:

2008

Language:

english

File:

PDF, 798 KB

english, 2008

2

A numerical method to price European derivatives based on the one factor LIBOR Market Model of interest rates

Luca Vincenzo Ballestra, Graziella Pacelli, Francesco Zirilli

Journal:

Nonlinear Analysis Hybrid Systems

Year:

2008

Language:

english

File:

PDF, 562 KB

english, 2008

3

A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model

Luca Vincenzo Ballestra, Graziella Pacelli, Francesco Zirilli

Journal:

Journal of Banking & Finance

Year:

2007

Language:

english

File:

PDF, 236 KB

english, 2007

4

A method for computing the transition probability density associated with a multifactor Cox–Ingersoll–Ross model of the term structure of interest rates with no drift term

Lorella Fatone, Graziella Pacelli, Maria Cristina Recchioni, Francesco Zirilli

Journal:

Nonlinear Analysis Hybrid Systems

Year:

2008

Language:

english

File:

PDF, 1.14 MB

english, 2008

5

An inverse problem for the three dimensional vector helmholtz equation for a perfectly conducting obstacle

Pierluigi Maponi, Luciano Misici, Francesco Zirilli

Journal:

Computers & Mathematics with Applications

Year:

1991

Language:

english

File:

PDF, 597 KB

english, 1991

6

Boundary layers and non-linear vibrations in an axially moving beam

Francesco Pellicano, Francesco Zirilli

Journal:

International Journal of Non-Linear Mechanics

Year:

1998

Language:

english

File:

PDF, 1.51 MB

english, 1998

7

The Numerical Solution of an Inverse Problem for a Class of One-Dimensional Diffusion Equations with Piecewise Constant Coefficients

Giordana, Claudia, Mochi, Marina, Zirilli, Francesco

Journal:

SIAM Journal on Applied Mathematics

Year:

1992

Language:

english

File:

PDF, 1.07 MB

english, 1992

8

Asymptotic Expansion of the Waiting Time Distribution of Two Models of a Closed Processor-Sharing System: Heavy Usage

Barbagallo, Roberto, Mochi, Marina, Zirilli, Francesco

Journal:

SIAM Journal on Applied Mathematics

Year:

1994

Language:

english

File:

PDF, 1.70 MB

english, 1994

9

The Numerical Solution of an Inverse Problem for a Class of One-Dimensional Diffusion Equations with Piecewise Constant Coefficients

Claudia Giordana, Marina Mochi and Francesco Zirilli

Journal:

SIAM Journal on Applied Mathematics

Year:

1992

Language:

english

File:

PDF, 281 KB

english, 1992

10

A hybrid method for pricing European options based on multiple assets with transaction costs

Pacelli, Graziella, Recchioni, Maria Cristina, Zirilli, Francesco

Journal:

Applied Mathematical Finance

Year:

1999

Language:

english

File:

PDF, 453 KB

english, 1999

11

A new formalism for time-dependent wave scattering from a bounded obstacle

Mecocci, Eleonora, Misici, Luciano, Recchioni, Maria C., Zirilli, Francesco

Journal:

The Journal of the Acoustical Society of America

Year:

2000

Language:

english

File:

PDF, 306 KB

english, 2000

12

Asymptotic Expansion of the Waiting Time Distribution of Two Models of a Closed Processor-Sharing System: Heavy Usage

Roberto Barbagallo, Marina Mochi and Francesco Zirilli

Journal:

SIAM Journal on Applied Mathematics

Year:

1994

Language:

english

File:

PDF, 1.42 MB

english, 1994

13

A global optimization algorithm using stochastic differential equations

Aluffi-Pentini, Filippo, Parisi, Valerio, Zirilli, Francesco

Journal:

ACM Transactions on Mathematical Software

Year:

1988

Language:

english

File:

PDF, 1.41 MB

english, 1988

14

A Stochastic Cobweb Dynamical Model

Brianzoni, Serena, Mammana, Cristiana, Michetti, Elisabetta, Zirilli, Francesco

Journal:

Discrete Dynamics in Nature and Society

Year:

2008

Language:

english

File:

PDF, 741 KB

english, 2008

15

The Use of Statistical Tests to Calibrate the Black-Scholes Asset Dynamics Model Applied to Pricing Options with Uncertain Volatility

Fatone, Lorella, Mariani, Francesca, Recchioni, Maria Cristina, Zirilli, Francesco

Journal:

Journal of Probability and Statistics

Year:

2012

Language:

english

File:

PDF, 450 KB

english, 2012

16

An explicitly solvable multi-scale stochastic volatility model: Option pricing and calibration problems

Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli

Journal:

Journal of Futures Markets

Year:

2009

Language:

english

File:

PDF, 457 KB

english, 2009

17

A quadratically convergent method for linear programming

Stefano Herzel, Maria Cristina Recchioni, Francesco Zirilli

Journal:

Linear Algebra and its Applications

Year:

1991

Language:

english

File:

PDF, 1.54 MB

english, 1991

18

On some nonlinear boundary value problem on the poincaré disc with discontinuous data—II

Garth Baker, Graziella Pacelli, Francesco Zirilli

Journal:

Nonlinear Analysis: Theory, Methods & Applications

Year:

1986

Language:

english

File:

PDF, 574 KB

english, 1986

19

On some nonlinear boundary value problem on the poincaré disc with disc with discontinuous data—I

Cristiana Mammana, Francesco Zirilli

Journal:

Nonlinear Analysis: Theory, Methods & Applications

Year:

1986

Language:

english

File:

PDF, 392 KB

english, 1986

20

Scattering states and bound states in λ℘(φ)2

Thomas Spencer, Francesco Zirilli

Journal:

Communications in Mathematical Physics

Year:

1976

Language:

english

File:

PDF, 874 KB

english, 1976

21

The use of a syncytium model of the crystalline lens of the eye as a new tool to study the light flashes phenomenon seen by astronauts

Giampietro Nurzia, Renato Scrimaglio, Bruno Spataro, Francesco Zirilli

Journal:

Radiation and Environmental Biophysics

Year:

2006

Language:

english

File:

PDF, 1.98 MB

english, 2006

22

Optimal-control methods for two new classes of smart obstacles in time-dependent acoustic scattering

Lorella Fatone, Graziella Pacelli, Maria Cristina Recchioni, Francesco Zirilli

Journal:

Journal of Engineering Mathematics

Year:

2006

Language:

english

File:

PDF, 775 KB

english, 2006

23

The Analysis of Real Data Using a Multiscale Stochastic Volatility Model

Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli

Journal:

European Financial Management

Year:

2012

Language:

english

File:

PDF, 685 KB

english, 2012

24

A Class of Global Optimization Problems as Models of the Phase Unwrapping Problem

Pierluigi Maponi, Francesco Zirilli

Journal:

Journal of Global Optimization

Year:

2001

Language:

english

File:

PDF, 1.89 MB

english, 2001

25

Time evolution of magmatic tongues

Gianni Dalu, Ettore Salusti, Francesco Zirilli

Journal:

Physics of the Earth and Planetary Interiors

Year:

1988

Language:

english

File:

PDF, 276 KB

english, 1988

26

The Solution of Nonlinear Systems of Equations by Second Order Systems of O.D.E. and Linearly Implicit A -Stable Techniques

Zirilli, Francesco

Journal:

SIAM Journal on Numerical Analysis

Year:

1982

Language:

english

File:

PDF, 1.39 MB

english, 1982

27

A New Method for Solving Nonlinear Simultaneous Equations

Incerti, Sandro, Parisi, Valerio, Zirilli, Francesco

Journal:

SIAM Journal on Numerical Analysis

Year:

1979

Language:

english

File:

PDF, 876 KB

english, 1979

28

Three-Dimensional Inverse Obstacle Scattering for Time Harmonic Acoustic Waves: A Numerical Method

Misici, Luciano, Zirilli, Francesco

Journal:

SIAM Journal on Scientific Computing

Year:

1994

Language:

english

File:

PDF, 1.84 MB

english, 1994

29

The Use of Wavelets in the Operator Expansion Method for Time-Dependent Acoustic Obstacle Scattering

Recchioni, Maria Cristina, Zirilli, Francesco

Journal:

SIAM Journal on Scientific Computing

Year:

2004

Language:

english

File:

PDF, 2.14 MB

english, 2004

30

Parallel option pricing on GPU: barrier options and realized variance options

Lorella Fatone, Marco Giacinti, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli

Journal:

The Journal of Supercomputing

Year:

2012

Language:

english

File:

PDF, 810 KB

english, 2012

31

Determining a stable relationship between hedge fund index HFRI-Equity and S&P 500 behaviour, using filtering and maximum likelihood

Capelli, Paolo, Mariani, Francesca, Recchioni, Maria Cristina, Spinelli, Fabio, Zirilli, Francesco

Journal:

Inverse Problems in Science and Engineering

Year:

2010

Language:

english

File:

PDF, 1008 KB

english, 2010

32

A New Method for Solving Nonlinear Simultaneous Equations

Sandro Incerti, Valerio Parisi and Francesco Zirilli

Journal:

SIAM Journal on Numerical Analysis

Year:

1979

Language:

english

File:

PDF, 717 KB

english, 1979

33

The use of the Pontryagin maximum principle in a furtivity problem in time-dependent acoustic obstacle scattering

Mariani, Francesca, Recchioni, Maria Cristina, Zirilli, Francesco

Journal:

Waves in Random Media

Year:

2001

Language:

english

File:

PDF, 466 KB

english, 2001

34

[IEEE 2007 Information, Decision and Control - Adelaide, Australia (2007.02.12-2007.02.14)] 2007 Information, Decision and Control - Acoustic scattering problems and smart obstacles

Zirilli, Francesco

Year:

2007

Language:

english

File:

PDF, 246 KB

english, 2007

35

The exact response of a two-dimensional flat-layered medium to a probing pulse: An application to a layer stripping reconstruction procedure

Maponi, Pierluigi, Zirilli, Francesco

Journal:

Waves in Random Media

Year:

2000

Language:

english

File:

PDF, 1.53 MB

english, 2000

36

A large class of non-zonal oceanic flows satisfying the arnold-blumen sufficient condition for stability

Salusti, Ettore, Zirilli, Francesco

Journal:

Geophysical & Astrophysical Fluid Dynamics

Year:

1986

Language:

english

File:

PDF, 527 KB

english, 1986

37

Time harmonic electromagnetic scattering from a bounded obstacle: An existence theorem and a computational method

Fatone, Lorella, Pignotti, Cristina, Recchioni, Maria Cristina, Zirilli, Francesco

Journal:

Journal of Mathematical Physics

Year:

1999

Language:

english

File:

PDF, 1.51 MB

english, 1999

38

Asymptotic eigenvalue degeneracy for a class of one-dimensional Fokker–Planck operators

Angeletti, Angelo, Castagnari, Cinzia, Zirilli, Francesco

Journal:

Journal of Mathematical Physics

Year:

1985

Language:

english

File:

PDF, 1.08 MB

english, 1985

39

The time harmonic electromagnetic field in a disturbed half-space: An existence theorem and a computational method

Piccolo, Santa, Recchioni, Maria Cristina, Zirilli, Francesco

Journal:

Journal of Mathematical Physics

Year:

1996

Language:

english

File:

PDF, 641 KB

english, 1996

40

[IEEE 2007 International Conference on Electromagnetics in Advanced Applications - Torino, Italy (2007.09.17-2007.09.21)] 2007 International Conference on Electromagnetics in Advanced Applications - High Performance Algorithms for Time Dependent Acoustic Obstacle Scattering

Zirilli, Francesco

Year:

2007

Language:

english

File:

PDF, 45 KB

english, 2007

41

THE USE OF THE HERGLOTZ FUNCTION METHOD TO RECONSTRUCT OBSTACLES FROM REAL AND FROM SYNTHETIC SCATTERING DATA

MAPONI, PIERLUIGI, ZIRILLI, FRANCESCO

Journal:

Journal of Computational Acoustics

Year:

2001

Language:

english

File:

PDF, 504 KB

english, 2001

42

A PERTURBATIVE APPROACH TO ACOUSTIC SCATTERING FROM A VIBRATING BOUNDED OBSTACLE

MARIANI, FRANCESCA, RECCHIONI, MARIA CRISTINA, ZIRILLI, FRANCESCO

Journal:

Journal of Computational Acoustics

Year:

2002

Language:

english

File:

PDF, 1.21 MB

english, 2002

43

The use of statistical tests to calibrate the normal SABR model

Fatone, Lorella, Mariani, Francesca, Recchioni, Maria Cristina, Zirilli, Francesco

Journal:

Journal of Inverse and Ill-Posed Problems

Year:

2013

Language:

english

File:

PDF, 322 KB

english, 2013

44

A Cooperative Sensor Network: Optimal Deployment and Functioning

Farina, Alfonso, Graziano, Antonio, Mariani, Francesca, Zirilli, Francesco

Journal:

RAIRO - Operations Research

Year:

2010

Language:

english

File:

PDF, 231 KB

english, 2010

45

A differential-equations algorithm for nonlinear equations

Aluffi-Pentini, Filippo, Parisi, Valerio, Zirilli, Francesco

Journal:

ACM Transactions on Mathematical Software

Year:

1984

Language:

english

File:

PDF, 949 KB

english, 1984

46

Algorithm 617 DAFNE: a differential-equations algorithm for nonlinear equations

Aluffi-Pentini, Filippo, Parisi, Valerio, Zirilli, Francesco

Journal:

ACM Transactions on Mathematical Software

Year:

1984

Language:

english

File:

PDF, 418 KB

english, 1984

47

Algorithm 667: Sigma---a stochastic-integration global minimization algorithm

Aluffi-Pentini, Filippo, Parisi, Valerio, Zirilli, Francesco

Journal:

ACM Transactions on Mathematical Software

Year:

1988

Language:

english

File:

PDF, 985 KB

english, 1988

48

The Solution of Nonlinear Systems of Equations by Second Order Systems of O.D.E. and Linearly Implicit A-Stable Techniques

Francesco Zirilli

Journal:

SIAM Journal on Numerical Analysis

Year:

1982

Language:

english

File:

PDF, 383 KB

english, 1982

49

The Use of "Continuous Method" in Complementarity Problems

Aluffi-Pentini, Filippo, Parisi, Valerio, Zirilli, Francesco

Journal:

IFAC Proceedings Volumes

Year:

1985

Language:

english

File:

PDF, 398 KB

english, 1985

50

Asymptotic eigenvalue degeneracy for a class of three‐dimensional Fokker–Planck operators

Carlini, Alessandra, Mazzotti, Angelo Alessandro, Recchioni, Maria Cristina, Zirilli, Francesco

Journal:

Journal of Mathematical Physics

Year:

1995

Language:

english

File:

PDF, 1.34 MB

english, 1995

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