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

14

DOWNLOADS
Rank 13,624

SSRN RANKINGS

Top 13,624

in Total Papers Downloads

6,879

SSRN CITATIONS
Rank 17,153

SSRN RANKINGS

Top 17,153

in Total Papers Citations

20

CROSSREF CITATIONS

65

Ideas:
“  Interface of Finance, Operations, and Risk Management (iFORM)  ”

Scholarly Papers (14)

1.

Understanding the Fine Structure of Electricity Prices

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 2,511 (10,873)
Citation 9

Abstract:

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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 1,042 (41,438)
Citation 1

Abstract:

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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 977 (45,388)

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 494 (110,092)
Citation 1

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 428 (130,389)

Abstract:

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

6.

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 352 (162,465)
Citation 3

Abstract:

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

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 241 (240,211)
Citation 2

Abstract:

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Corporate Risk Management, Commodity Risk, Contract Design

8.

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 217 (265,538)

Abstract:

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

9.

Combined Custom Hedging: Optimal Design, Noninsurable Exposure, and Operational Risk Management

Forthcoming in Operations Research
Number of pages: 83 Posted: 02 Feb 2021
Paolo Guiotto and Andrea Roncoroni
University of Padova and ESSEC Business School
Downloads 173 (325,869)

Abstract:

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Integrated risk management, Noninsurable risk, Financial product design, COVID-19 pandemic

10.

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 172 (327,514)

Abstract:

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

11.

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 136 (397,439)
Citation 1

Abstract:

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

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 70 (618,851)

Abstract:

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13.

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 66 (638,327)

Abstract:

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14.

A Family of Reduced-Form Models for Electricity Prices

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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