Roberto Baviera

Polytechnic University of Milan - Department of Mathematics

P.zza L. da Vinci, 32

Milan, 20133

Italy

SCHOLARLY PAPERS

11

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CITATIONS
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14

Scholarly Papers (11)

1.

Gambling and Pricing of Derivatives

Number of pages: 16 Posted: 07 Sep 1998
Swedish Institute of Computer Science (SICS) - Intelligent Systems Laboratory, Polytechnic University of Milan - Department of Mathematics, Stockholm University - Department of Mathematics, University of L'Aquila - Department of Physics and Universita' di Roma & Instituto Nazionale di Fisic
Downloads 1,022 (20,616)
Citation 2

Abstract:

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2.

Efficiency in Foreign Exchange Markets

Number of pages: 21 Posted: 23 Feb 1999
Polytechnic University of Milan - Department of Mathematics, Universita' de L'Aquila & Istituto Nazionale Fisic, University of L'Aquila - Department of Physics, Universita' di Roma & Instituto Nazionale di Fisic and Universita' di Roma & Instituto Nazionale di Fisic
Downloads 775 (30,628)
Citation 6

Abstract:

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3.

Bond Market Model

Number of pages: 27 Posted: 29 Apr 2005
Roberto Baviera
Polytechnic University of Milan - Department of Mathematics
Downloads 559 (47,469)
Citation 6

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Term structure of interest rates, Bond Option, Cap/Floor, Swaption

4.

A Perturbative Approach to Bermudan Options Pricing

Number of pages: 18 Posted: 31 Oct 2006
Roberto Baviera and Lorenzo Giada
Polytechnic University of Milan - Department of Mathematics and Abaxbank
Downloads 416 (68,474)
Citation 1

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Bermudan options, Callable products, HJM framework

5.

Mr. Crab's Bootstrap

Number of pages: 19 Posted: 07 Oct 2012 Last Revised: 16 Sep 2014
Roberto Baviera and Alessandro Cassaro
Polytechnic University of Milan - Department of Mathematics and Goldman Sachs International
Downloads 304 (98,089)

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Bootstrap, Dual curve, FRA, STIR Future, Swap

6.

Gigi Model: A Simple Stochastic Volatility Approach for Multifactor Interest Rates

Number of pages: 33 Posted: 01 Apr 2007
Roberto Baviera
Polytechnic University of Milan - Department of Mathematics
Downloads 297 (100,600)

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Stochastic volatility, Cap/Floor, Multifactor interest rate model, Bond Market Model

7.

Option Prices in Presence of Transaction Cost

Number of pages: 27 Posted: 21 Mar 2002
Roberto Baviera
Polytechnic University of Milan - Department of Mathematics
Downloads 279 (107,582)

Abstract:

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Option Prices, Transaction Costs

8.

Is the Comprehensive Assessment Really Comprehensive?

Number of pages: 61 Posted: 21 Dec 2014
Emilio Barucci, Roberto Baviera and Carlo Milani
Politecnico di Milano - Department of Mathematics, Polytechnic University of Milan - Department of Mathematics and BEM Research
Downloads 193 (154,999)
Citation 4

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bank regulation, stress test, capital, sovereign risk, European Central Bank

9.

A Note on CVA and Wrong Way Risk

Number of pages: 18 Posted: 17 Apr 2015 Last Revised: 27 Jul 2015
Roberto Baviera, Gaetano La Bua and Paolo Pellicioli
Polytechnic University of Milan - Department of Mathematics, Polytechnic University of Milan - Department of Mathematics and Polytechnic University of Milan - Department of Mathematics
Downloads 129 (217,939)

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Credit Value Adjustment, Basel III CVA Capital Charges, path dependency valuation, model calibration

10.

Going Hybrid: A Joint Model for Temperature and Natural Gas

Number of pages: 18 Posted: 29 Mar 2015 Last Revised: 06 May 2015
Roberto Baviera and Teodoro Mainetti
Polytechnic University of Milan - Department of Mathematics and KPMG International, LLP - Milan Office
Downloads 86 (288,375)

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Seasonality, NIG, natural gas, temperature forecasting, statistical bootstrap

11.

A Thermometer for Financial Instability in the Euro Area Economy and the Role of Carry Trade

Number of pages: 23 Posted: 16 Sep 2014
Roberto Baviera and Davide Lebovitz
Polytechnic University of Milan - Department of Mathematics and Banca Aletti - Gruppo Banco Popolare
Downloads 65 (338,244)

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Financial stress index, Unconventional measures, Asset Swap, EONIA, Term structure of credit spread, Peripheral euro government bonds, Time to Structural Change, Macroprudential policy