Viviana Fanelli

Università degli Studi di Bari “Aldo Moro” (UNIBA)

Piazza Umberto I

Bari, 70028

Italy

SCHOLARLY PAPERS

6

DOWNLOADS

1,694

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Scholarly Papers (6)

1.

Mean-Reverting Statistical Arbitrage in Crude Oil Markets

Number of pages: 39 Posted: 10 Apr 2017
Viviana Fanelli
Università degli Studi di Bari “Aldo Moro” (UNIBA)
Downloads 1,014 (40,690)

Abstract:

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

2.

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: 26 May 2020
Viviana Fanelli and Maren Diane Schmeck
Università degli Studi di Bari “Aldo Moro” (UNIBA) and Bielefeld University - Center for Mathematical Economics
Downloads 260 (211,631)
Citation 4

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

3.

Seasonality in Commodity Prices: New Approaches for Pricing Plain Vanilla Options

Annals of Operations Research, 2023
Number of pages: 43 Posted: 18 Oct 2021 Last Revised: 20 Jan 2023
Carme Frau and Viviana Fanelli
Universitat de les Illes Balears and Università degli Studi di Bari “Aldo Moro” (UNIBA)
Downloads 204 (266,971)
Citation 1

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Commodities, natural gas, futures prices, option pricing, fast Fourier transform (FFT), term-structure model, analytical solution, seasonal stochastic volatility, sinusoidal functions.

4.

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
Università degli Studi di Bari “Aldo Moro” (UNIBA)
Downloads 81 (541,576)

Abstract:

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

5.

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
Università degli Studi di Bari “Aldo Moro” (UNIBA)
Downloads 75 (566,147)

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

6.

Sustainable investing and the environmental awareness through the time: evidence from the Norwegian Government Pension Fund Global companies

Number of pages: 29 Posted: 18 May 2022
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Business Studies and Private Law, Università degli Studi di Bari “Aldo Moro” (UNIBA) and Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Business Studies and Private Law
Downloads 60 (636,595)

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Green finance; Sustainability; Event-study; Socially Responsible Investments; Stock Price Reaction; Environmental Conduct