Viviana Fanelli

University of Bari

Piazza Umberto I

Bari, 70028

Italy

SCHOLARLY PAPERS

4

DOWNLOADS

777

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (4)

1.

Mean-Reverting Statistical Arbitrage in Crude Oil Markets

Number of pages: 39 Posted: 10 Apr 2017
Viviana Fanelli
University of Bari
Downloads 627 (41,830)

Abstract:

Loading...

Statistical arbitrage, trading strategy, Value at Risk, commodity markets.

2.

A Defaultable HJM Modelling of the Libor Rate for Pricing Basis Swaps after the Credit Crunch

Final version in the European Journal of Operational Research, Volume 249, Issue 1, 16 February 2016, Pages 238-244 (Forthcoming)
Number of pages: 26 Posted: 13 Oct 2015 Last Revised: 18 Jan 2016
Viviana Fanelli
University of Bari
Downloads 57 (368,991)

Abstract:

Loading...

Basis swaps, HJM model, Credit crisis, Libor models, Multi-curve term structure modelling

3.

On the Seasonality in the Implied Volatility of Electricity Options

Viviana Fanelli & Maren Diane Schmeck (2019) On the seasonality in the implied volatility of electricity options, Quantitative Finance, DOI: 10.1080/14697688.2019.1582792
Number of pages: 28 Posted: 23 May 2018 Last Revised: 08 Apr 2019
Viviana Fanelli and Maren Diane Schmeck
University of Bari and Bielefeld University - Center for Mathematical Economics
Downloads 56 (372,226)
Citation 1

Abstract:

Loading...

Implied Volatility, Electricity Options, Seasonality, Factor Models, Settlement Prices

4.

Implications of Implicit Credit Spread Volatilities on Interest Rate Modelling

European Journal of Operational Research, Forthcoming
Number of pages: 37 Posted: 11 Apr 2017 Last Revised: 04 Jun 2017
Viviana Fanelli
University of Bari
Downloads 37 (440,451)

Abstract:

Loading...

Finance; Arbitrage-free models; Libor; Term structure; Volatility modelling