Enrico Moretto

Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa - Università di Milano-Bicocca, Milano, Italia

Piazza dell'Ateneo Nuovo 1

Milano, Milano 20126

Italy

http://https://www.unimib.it/enrico-moretto

Università di Milano-Bicocca

Piazza dell'Ateneo Nuovo 1

Milano, MI 20126

Italy

http://https://www.unimib.it/enrico-moretto

CNR - IMATI

via Bassini 15

Milano, 20133

Italy

University of Insubria - Department of Economics

Via Ravasi 2

Varese, 21100

Italy

SCHOLARLY PAPERS

9

DOWNLOADS

625

TOTAL CITATIONS

0

Scholarly Papers (9)

1.

Derivative Evaluation Using Recombining Trees Under Stochastic Volatility

Published in: Advances and Applications in Statistical Sciences, Volume 1, Issue 2, February 2010, pp. 453-480
Number of pages: 24 Posted: 21 Apr 2013
Enrico Moretto, Sara Pasquali and Barbara Trivellato
Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa - Università di Milano-Bicocca, Milano, Italia, CNR-IMATI and Polytechnic University of Turin - Dipartimento di Matematica
Downloads 108 (539,118)

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exotic option pricing, stochastic volatility, recombining trees

2.

Exchange Ratio Determination in a Market Equilibrium

Managerial Finance, volume 34, number 4, 2008, pp. 262-270
Number of pages: 15 Posted: 05 May 2013
Enrico Moretto and Stefano Rossi
Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa - Università di Milano-Bicocca, Milano, Italia and Stockholm School of Economics
Downloads 92 (601,710)

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Acquisitions and mergers, Exchange ratio determination

3.

Exact and Approximated Option Pricing in a Stochastic Volatility Jump-Diffusion Model

M. Corazza et al. (eds.), Mathematical and Statistical Methods for Actuarial Sciences and Finance 2010, pp 133-142
Number of pages: 10 Posted: 11 Jul 2014
Independent, Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa - Università di Milano-Bicocca, Milano, Italia, CNR-IMATI and Polytechnic University of Turin - Dipartimento di Matematica
Downloads 81 (650,034)

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stochastic volatility jump-diffusion models, barrier option pricing, rejection sampling

4.

Pricing and Net Profit of Operating Lease

Managerial Finance - Volume 35, Issue 10, 2009, pp. 828-840
Number of pages: 19 Posted: 05 May 2013
Enrico Moretto and Giulio Tagliavini
Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa - Università di Milano-Bicocca, Milano, Italia and University of Parma - Dipartimento di Economia
Downloads 78 (664,245)

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lease, asset risk, option pricing theory

5.

Exact Pricing with Stochastic Volatility and Jumps

International Journal of Theoretical and Applied Finance, Vol. 13, No. 6, 2010
Number of pages: 25 Posted: 04 Oct 2014 Last Revised: 11 Oct 2014
Independent, Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa - Università di Milano-Bicocca, Milano, Italia, CNR-IMATI and Polytechnic University of Turin - Dipartimento di Matematica
Downloads 74 (683,969)

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Monte Carlo simulation, derivative valuation, stochastic volatility jump-diffusion model

6.

Exploiting Default Probabilities in a Structural Model with Nonconstant Barrier

Applied Financial Economics, Vol. 22, No. 8, 2012
Number of pages: 26 Posted: 31 Jan 2014
Arianna Agosto and Enrico Moretto
University of Bologna - Department of Statistics and Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa - Università di Milano-Bicocca, Milano, Italia
Downloads 64 (739,476)

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default structural models, default implied probability, nonconstant barrier options, KMV model

7.

Flessibilità Nella Valutazione Di Investimenti E Scomposizione Di Indici Globali (Flexibility in Evaluating Investment Projects and Net Present Value Decomposition)

Analisi Finanziaria, 2008
Number of pages: 7 Posted: 15 Sep 2017
Enrico Moretto
Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa - Università di Milano-Bicocca, Milano, Italia
Downloads 56 (790,944)

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Net present value, optimal stopping time

8.

Dynamical Analysis of Evolutionary Transition Toward Sustainable Technologies

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 510
Number of pages: 53 Posted: 02 Feb 2023
Department of Statistics and Quantitative Methods University of Milano-Bicocca, Università degli Studi di Milano-Bicocca - Center for Interdisciplinary Studies in Economics, Psychology & Social Sciences (CISEPS)Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS) and Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa - Università di Milano-Bicocca, Milano, Italia
Downloads 45 (875,853)

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9.

Displaying Risk in Mergers: A Diagrammatic Approach for Exchange Ratio Determination

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 529
Number of pages: 25 Posted: 11 Jan 2024 Last Revised: 13 Mar 2024
Alessandra Mainini, Enrico Moretto and Daniela Visetti
Catholic University of Milan, Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa - Università di Milano-Bicocca, Milano, Italia and Universitá degli Studi di Milano-Bicocca
Downloads 27 (1,057,188)

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Mergers and acquisitions, exchange ratio determination, synergy, risk- adjusted performance, diagrammatic representation