Andrea Roncoroni

ESSEC Business School

Professor of Finance

Avenue Bernard Hirsch BP 50105

Cergy-Pontoise, 95021

France

http://www45.essec.edu/faculty/andrea-roncoroni

SCHOLARLY PAPERS

13

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Scholarly Papers (13)

1.

Understanding the Fine Structure of Electricity Prices

Journal of Business, Vol. 79, No. 3, 2006
Number of pages: 74 Posted: 31 Dec 2004
Hélyette Geman and Andrea Roncoroni
University of London - Economics, Mathematics and Statistics and ESSEC Business School
Downloads 2,296 (5,713)
Citation 3

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Electricity prices, jump diffusions, statistical estimation, calibration, simulation, energy price risk

2.

Commodity Asian Options: A Closed-Form Formula

EFA 2008 Athens Meetings Paper
Number of pages: 27 Posted: 06 Mar 2008
Gianluca Fusai, Marina Marena and Andrea Roncoroni
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, University of Eastern Piedmont and ESSEC Business School
Downloads 943 (23,599)
Citation 1

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Asian options, discrete monitoring, Laplace transform, Fourier transform, Commodity

3.

Arbitrage Models of Commodity Prices

Number of pages: 9 Posted: 29 Sep 2008 Last Revised: 12 Nov 2015
Andrea Roncoroni
ESSEC Business School
Downloads 830 (28,314)

Abstract:

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commodity models, forward price, forward curve, energy, affine models, estimation

4.

A New Measure of Cross-Sectional Risk and its Empirical Implications for Portfolio Risk Management

EFA 2005 Moscow Meetings Paper, Journal of Banking and Finance, Vol. 30, No. 8, 2006
Number of pages: 43 Posted: 02 Mar 2005 Last Revised: 12 Nov 2015
Andrea Roncoroni and Stefano Galluccio
ESSEC Business School and BNP Paribas Fixed Income
Downloads 436 (65,686)

Abstract:

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Risk Measures, Risk Management, Factor Analysis, Cross-Sections, Interest Rates

5.

Shape Factors and Cross-Sectional Risk

Journal of Economic Dynamics and Control, Vol. 34, No. 11, 2010
Number of pages: 55 Posted: 14 Dec 2005 Last Revised: 12 Nov 2015
Andrea Roncoroni, Stefano Galluccio and Paolo Guiotto
ESSEC Business School, BNP Paribas Fixed Income and affiliation not provided to SSRN
Downloads 381 (77,051)

Abstract:

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Risk measures, Infinite-dimensional stochastic calculus, Cross-sectional analysis

6.

Flexible-Rate Mortgages

International Journal of Business, Vol. 11, No. 2, 2006
Number of pages: 15 Posted: 27 Apr 2006
Andrea Roncoroni and Alessandro Moro
ESSEC Business School and Morgan Stanley
Downloads 186 (162,485)

Abstract:

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Mortgages, Interest rates, Multiple optimal stopping times, Dynamic programming

7.

Hedging Size Risk: Theory and Application to the US Gas Market

Number of pages: 61 Posted: 07 Jun 2016 Last Revised: 11 Jan 2017
Andrea Roncoroni and Rachid Id Brik
ESSEC Business School and ESSEC Business School
Downloads 165 (180,623)

Abstract:

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Corporate Risk Management, Commodity Risk, Contract Design

8.

Electricity Forward Curves with Thin Granularity

Number of pages: 43 Posted: 12 May 2016 Last Revised: 12 Feb 2017
Ruggero Caldana, Gianluca Fusai and Andrea Roncoroni
Independent, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and ESSEC Business School
Downloads 160 (185,372)
Citation 1

Abstract:

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Energy Finance, Forward Pricing, Electricity Markets, Forward Curve Construction

9.
Downloads 89 (286,164)
Citation 2

Static Mitigation of Volumetric Risk

Number of pages: 45 Posted: 13 Nov 2015
Rachid Id Brik and Andrea Roncoroni
ESSEC Business School and ESSEC Business School
Downloads 89 (288,491)

Abstract:

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Volumetric Risk, Energy Risk, Corporate Financial Risk Management, Contract Design, Derivatives

Static Mitigation of Volumetric Risk

Journal of Energy Markets, Vol. 9, No. 2, 2016
Number of pages: 40 Posted: 14 Jun 2016
Rachid Id Brik and Andrea Roncoroni
ESSEC Business School and ESSEC Business School
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volumetric risk, energy risk, corporate financial risk management, contract design, electricity markets

10.

Asian Options with Jumps

Number of pages: 23 Posted: 13 Nov 2015
Marina Marena, Andrea Roncoroni and Gianluca Fusai
University of Eastern Piedmont, ESSEC Business School and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 75 (317,293)
Citation 1

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Asian-style options, Price models with jumps, Transform methods, Com- modity markets, Energy markets

11.

Monetary Measurement of Risk: A Critical Overview - Part II: Coherent Measures of Risk

Number of pages: 10 Posted: 13 Nov 2015
Lionel Lecesne and Andrea Roncoroni
University of Cergy-Pontoise and ESSEC Business School
Downloads 41 (421,143)

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12.

Monetary Measurement of Risk: A Critical Overview - Part I: General Definitions and Value-at-Risk

Number of pages: 8 Posted: 13 Nov 2015
Lionel Lecesne and Andrea Roncoroni
University of Cergy-Pontoise and ESSEC Business School
Downloads 37 (437,222)

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13.

A Family of Reduced-Form Models for Electricity Prices

EFMA 2003 Helsinki Meetings
Posted: 14 Jun 2003
Hélyette Geman and Andrea Roncoroni
University of London - Economics, Mathematics and Statistics and ESSEC Business School

Abstract:

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