Alessandro Sbuelz

Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics

largo A. Gemelli 1

I-20123 Milan

Italy

http://ppd.unicatt.it/docenti/alessandro_sbuelz

Bocconi University - CAREFIN - Centre for Applied Research in Finance

Via Sarfatti, 25

Milan, 20136

Italy

SCHOLARLY PAPERS

21

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CITATIONS
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in Total Papers Citations

39

Scholarly Papers (21)

1.

Momentum and Mean-Reversion in Strategic Asset Allocation

EFA 2006 Zurich Meetings
Number of pages: 34 Posted: 07 Jun 2006 Last Revised: 28 Jan 2009
Ralph S. J. Koijen, Juan Carlos Rodriguez and Alessandro Sbuelz
University of Chicago - Booth School of Business, Tilburg University and CentER and Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics
Downloads 4,506 (1,765)
Citation 19

Abstract:

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Return predictability, Momentum, Mean reversion, Portfolio choice

2.

A General Treatment of Barrier Options

Number of pages: 66 Posted: 26 Sep 1998
Alessandro Sbuelz
Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics
Downloads 1,114 (18,147)
Citation 1

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3.

Systematic Equity-Based Credit Risk: A CEV Model With Jump to Default

Number of pages: 41 Posted: 07 Jul 2007
Alessandro Sbuelz, Luciano Campi and Simon Polbennikov
Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics, London School of Economics & Political Science (LSE) and Tilburg University
Downloads 327 (90,576)
Citation 9

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Market Price of Credit Risk, Constant-Elasticity-of-Variance (CEV) Diffusive Risk, Jump-to-Default Risk, Equity, Corporate Bonds, Credit Default Swaps

4.

Equilibrium Asset Pricing with Time-Varying Pessimism

EFA 2003 Annual Conference Paper No. 841; Tilburg U CentER Working Paper No. 2002-102
Number of pages: 43 Posted: 10 Dec 2002
Alessandro Sbuelz and Fabio Trojani
Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics and Swiss Finance Institute
Downloads 280 (107,135)
Citation 8

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Asset Pricing, General Equilibrium, Model Misspecification, Knightian Uncertainty, First Order Risk Aversion

5.

Structural Recovery of Face Value at Default

Number of pages: 30 Posted: 14 Dec 2005 Last Revised: 08 Feb 2019
Rajiv Guha, Alessandro Sbuelz and Andrea Tarelli
Alpamayo Capital Management Limited, Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics and Catholic University of Milan
Downloads 241 (125,225)
Citation 3

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Bond risk management, Duration, Structural endogenous default risk, Recovery forms

6.

Closed-Form Pricing of Benchmark Equity Default Swaps Under the Cev Assumption

Risk Letters, Vol. 1, No. 3, 2005, CentER Discussion Paper Series No. 2005-28
Number of pages: 22 Posted: 04 Apr 2005
Luciano Campi and Alessandro Sbuelz
London School of Economics & Political Science (LSE) and Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics
Downloads 232 (130,120)
Citation 5

Abstract:

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Cross-asset trading of credit risk, constant-elasticity-of-variance (CEV) diffusion

7.

Assessing Credit with Equity: A Cev Model with Jump to Default

CentER Discussion Paper No. 2005-27
Number of pages: 45 Posted: 26 Feb 2005
Alessandro Sbuelz, Luciano Campi and Simon Polbennikov
Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics, London School of Economics & Political Science (LSE) and Tilburg University
Downloads 230 (131,210)

Abstract:

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Equity, Corporate Bonds, Credit Default Swaps, Constant-Elasticity-of-Variance (CEV) Diffusion, Jump to Default

8.

Structural Rfv: Fundamental Credit Risk Pricing and Hedging with Recovery of Face Value at Default

EFA 2003 Annual Conference Paper No. 839
Number of pages: 75 Posted: 24 Jul 2003
Rajiv Guha and Alessandro Sbuelz
Alpamayo Capital Management Limited and Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics
Downloads 210 (143,210)
Citation 3

Abstract:

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9.

Asset Prices With Locally-Constrained-Entropy Recursive Multiple Priors Utility

Number of pages: 36 Posted: 07 Jul 2007
Alessandro Sbuelz and Fabio Trojani
Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics and Swiss Finance Institute
Downloads 116 (236,059)

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Asset Pricing, General Equilibrium, Model Misspecification, Recursive Multiple Priors Utility, Locally Constrained Entropy

10.

The Double Continuation Region

Number of pages: 43 Posted: 02 Oct 2007
Alessandro Sbuelz, Anna Battauz and Marzia De Donno
Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics, Bocconi University - Department of Finance and Universita Degli Studi Di Parma
Downloads 76 (310,506)
Citation 1

Abstract:

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Investment under uncertainty

11.

Closed-Form Optimal Investment when Present Values and Costs are Jump-Diffusions

Number of pages: 26 Posted: 06 Mar 2007
Alessandro Sbuelz and Anna Battauz
Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics and Bocconi University - Department of Finance
Downloads 71 (322,618)

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Investment under uncertainty, optimal stopping, change of numeraire, perpetual American put, double continuation region

12.

Revisiting Corporate Growth Options in the Presence of State-Dependent Cashflow Risk

CAREFIN Research Paper No. 13/09
Number of pages: 22 Posted: 08 May 2010
Alessandro Sbuelz and Marco Caliari
Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics and affiliation not provided to SSRN
Downloads 60 (352,145)
Citation 3

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Corporate growth options, state-dependent risk, stock pricing, market price of risk

13.

Reaching Nirvana with a Defaultable Asset?

CAREFIN Research Paper No. 11/2010
Number of pages: 36 Posted: 31 Mar 2011
Alessandro Sbuelz and Anna Battauz
Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics and Bocconi University - Department of Finance
Downloads 54 (373,523)
Citation 1

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dynamic asset allocation, defaultable asset, Sharpe-ratio uncertainty, levered non-myopic speculation, the Constant Elasticity of Variance (CEV) model

The Value of Fighting Irreversible Demise by Softening the Irreversible Cost

CentER Discussion Paper Series No. 2005-26
Number of pages: 20 Posted: 16 Jan 2005
Alessandro Sbuelz and Paul Magis
Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics and affiliation not provided to SSRN
Downloads 36 (444,946)
Citation 1

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Double barrier options, cost irreversibility, demise irreversibility, technology innovation

The Value of Fighting Irreversible Demise by Softening the Irreversible Cost

International Journal of Theoretical and Applied Finance, Vol. 9, No. 4, pp. 503-516, 2006
Number of pages: 20 Posted: 09 Aug 2006
Alessandro Sbuelz and Paul Magis
Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics and affiliation not provided to SSRN
Downloads 17 (551,911)

Abstract:

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Double barrier options, cost irreversibility, demise irreversibility, technology innovation

15.

Bail-In vs Bail-Out: Bank Resolution and Liability Structure

Number of pages: 51 Posted: 17 Feb 2019
Luca Leanza, Alessandro Sbuelz and Andrea Tarelli
Catholic University of Milan, Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics and Catholic University of Milan
Downloads 40 (418,970)

Abstract:

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Bank Capital Structure, Endogenous Default, Bail-In, Bail-Out

16.

Analytical American Option Pricing: The Flat-Barrier Lower Bound

Economic Notes, Vol. 33, No. 3, pp. 399-413, November 2004
Number of pages: 15 Posted: 15 Apr 2005
Alessandro Sbuelz
Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics
Downloads 23 (497,826)
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17.

Interpreting the Oil Risk Premium: Do Oil Price Shocks Matter?

FEEM Working Paper No. 03.2018
Number of pages: 41 Posted: 20 Mar 2018
Daniele Valenti, Matteo Manera and Alessandro Sbuelz
University of Milan, University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS) and Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics
Downloads 20 (514,932)

Abstract:

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Crude Oil Risk Premium, Bayesian SVAR Model, Oil Price Speculation

18.

Analytical Cyclical Price-Dividend Ratios

Number of pages: 18 Posted: 25 Jul 2017
Fausto Mignanego and Alessandro Sbuelz
Catholic University of Milan and Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics
Downloads 12 (561,932)

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Price-dividend ratio, persistence, non-linearity, endogenous heteroskedasticity, log-linear approximation, stochastic discount factor, market price of risk, mean reversion, affine models.

19.

Non‐Myopic Portfolio Choice with Unpredictable Returns: The Jump‐To‐Default Case

European Financial Management, Vol. 24, Issue 2, pp. 192-208, 2018
Number of pages: 17 Posted: 07 Mar 2018
Anna Battauz and Alessandro Sbuelz
Bocconi University - Department of Finance and Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics
Downloads 0 (661,445)
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dynamic asset allocation, irreversible regime change, jump‐to‐default risk, return predictability, time‐varying hedging portfolio

20.

Analytic American Option Pricing: The Flat-Barrier Lower Bound

CentER Discussion Paper No. 2003-64
Posted: 15 Jun 2004
Alessandro Sbuelz
Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics

Abstract:

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American Options, Flat Barrier Options

21.

Structural Rfv: Recovery Form and Defaultable Debt Analysis

CentER Discussion Paper No. 2003-37
Posted: 08 Jun 2004
Rajiv Guha and Alessandro Sbuelz
Alpamayo Capital Management Limited and Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics

Abstract:

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Recovery, corporate bonds, credit risk, cost of capital