Maria Cristina Recchioni

Università Politecnica delle Marche - Department of Management

Associate Professor

P.zza Roma 22

Ancona, 60121

Italy

SCHOLARLY PAPERS

7

DOWNLOADS

733

CITATIONS

6

Scholarly Papers (7)

1.

Can Negative Interest Rates Really Affect Option Pricing? Empirical Evidence from an Explicitly Solvable Stochastic Volatility Model

Number of pages: 38 Posted: 27 Feb 2016
Maria Cristina Recchioni and Yu Sun
Università Politecnica delle Marche - Department of Management and London School of Economics & Political Science (LSE) - Department of Economics and Grantham Research Institute on Climate Change and the Environment
Downloads 296 (101,721)

Abstract:

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Stochastic volatility model, option pricing, stochastic interest rate

2.

From Bond Yield to Macroeconomic Instability: The Effect of Negative Interest Rates

Number of pages: 42 Posted: 02 May 2016
Maria Cristina Recchioni and Gabriele Tedeschi
Università Politecnica delle Marche - Department of Management and Università Politecnica delle Marche - Faculty of Economics
Downloads 139 (206,848)

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Stochastic volatility model, Kolmogorov backward equation, maximum likelihood function, government bond yield forecasting

3.

A Calibration Procedure for Analyzing Stock Price Dynamics in an Agent-Based Framework

Number of pages: 41 Posted: 28 Sep 2013 Last Revised: 07 Jul 2014
Maria Cristina Recchioni, Gabriele Tedeschi and Mauro Gallegati
Università Politecnica delle Marche - Department of Management, Università Politecnica delle Marche - Faculty of Economics and Università Politecnica delle Marche - Faculty of Economics
Downloads 131 (217,010)
Citation 2

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Calibration, Validation, Forecasting, Agent-based models, Asset pricing, Heterogeneous beliefs

4.

An Explicitly Solvable Heston Model with Stochastic Interest Rate

Number of pages: 39 Posted: 09 Apr 2015 Last Revised: 26 Feb 2016
Maria Cristina Recchioni and Yu Sun
Università Politecnica delle Marche - Department of Management and London School of Economics & Political Science (LSE) - Department of Economics and Grantham Research Institute on Climate Change and the Environment
Downloads 81 (301,366)

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Finance, Option pricing, Stochastic volatility models, Calibration procedure

5.

Spot Volatility Estimation Using the Laplace Transform

Number of pages: 38 Posted: 04 Mar 2015 Last Revised: 09 Dec 2015
Maria Elvira Mancino, Imma Curato and Maria Cristina Recchioni
University of Florence - Department of Economics and Management, University of Ulm and Università Politecnica delle Marche - Department of Management
Downloads 58 (360,826)

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Laplace transform, convolution, spot volatility, nonparametric estimation, high frequency data, microstructure noise

6.

How Banks' Strategies Infuence Financial Cycles: An Approach to Identifying Micro Behavior

Number of pages: 30 Posted: 07 Sep 2017
Gabriele Tedeschi, Maria Cristina Recchioni and Simone Berardi
Università Politecnica delle Marche - Faculty of Economics, Università Politecnica delle Marche - Department of Management and Jaume I University
Downloads 28 (474,906)

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7.

The Analysis of Real Data Using a Multiscale Stochastic Volatility Model

European Financial Management, Vol. 19, Issue 1, pp. 153-179, 2013
Number of pages: 27 Posted: 29 Jan 2013
Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni and Francesco Zirilli
affiliation not provided to SSRN, affiliation not provided to SSRN, Università Politecnica delle Marche - Department of Management and affiliation not provided to SSRN
Downloads 0 (667,153)
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Abstract:

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multiscale stochastic volatility models, filtering problems, calibration model, option pricing