Angelo Carollo

University of Palermo

Viale delle Scienza

Palermo, 90128

Italy

  • University of Palermo

SCHOLARLY PAPERS

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175

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8

Scholarly Papers (2)

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1.

A Parsimonious Model for Generating Arbitrage-Free Scenario Trees

Quantitative Finance (accepted May 2015), Forthcoming
Number of pages: 28 Posted: 02 Dec 2013 Last Revised: 26 Nov 2015
Andrea Consiglio, Angelo Carollo and Stavros A. Zenios
University of Palermo - d/SEAS, University of Palermo and University of Cyprus
Downloads 102 (258,408)
Citation 8

Abstract:

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scenario trees, decision making under uncertainty, global optimization, convex lower bounding, stochastic programming, pricing in incomplete markets

2.

Trading Activity and Price Impact in Parallel Markets: SETS vs. Off-Book Market at the London Stock Exchange

Number of pages: 16 Posted: 26 Feb 2011 Last Revised: 11 Dec 2011
Angelo Carollo, Gabriella Vaglica, Fabrizio Lillo and Rosario N. Mantegna
University of Palermo, University of Palermo, Università di Bologna and University of Palermo
Downloads 73 (317,812)
Citation 2

Abstract:

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Financial markets, market segments, high frequency trading, upstair market, price impact