Giuseppe Orlando

Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods

Professor

Via C. Rosalba 53

VI Floor, Room 12

Bari, 70124

Italy

  • Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods

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    • Tel: +39 080 5049218
SCHOLARLY PAPERS

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“  I am working on business cycles, interest rates models, Banking Clearing Problem (BCP), risk management, actuarial mathematics  ”

  • Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods

    • Email
    • Tel: +39 080 5049218

Scholarly Papers (50)

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1.

Strategie basate sulla teoria di Markowitz, indicatori fondamentali e di volatilità: la costruzione di un portafoglio ottimale (Strategies Based on the Theory of Markowitz, Fundamental and Volatility Indicators: The Construction of an Optimum Portfolio)

Number of pages: 37 Posted: 11 Mar 2015
Filippo Regina, Pietro Luiso and Giuseppe Orlando
Independent, Independent and Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods
Downloads 474 (94,168)

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CAPM, Risk-adjusted performance, Omega Ratio,

2.

Rischio Di Mercato: Misure Di Rischio E Validazione Dei Modelli (Market Risk: Risk Measures and Model Validation)

Number of pages: 103 Posted: 29 Jul 2015 Last Revised: 31 Aug 2015
Filippo Rutigliano, Giuseppe Orlando and Rosa Maria Mininni
Independent, Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods and Dipartimento di Matematica - Università degli Studi di Bari Aldo Moro
Downloads 353 (132,087)

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VaR, Expected Shortfall, Backtesting, Stressed VaR, Basel 3

3.

An Alternative Approach to Fast Implied Volatility Calculation

Number of pages: 24 Posted: 20 Jan 2014
Giuseppe Orlando
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods
Downloads 244 (193,557)

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Implied Volatility, Quantitative Methods, Numerical Calculus

4.

Rischio Di Credito E Modelli Relativi (Credit Risk Measurement and Modeling)

Number of pages: 155 Posted: 25 Aug 2016 Last Revised: 31 Aug 2016
Concetta Zurlo, Giuseppe Orlando and Rosa Maria Mininni
Independent, Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods and Dipartimento di Matematica - Università degli Studi di Bari Aldo Moro
Downloads 239 (197,501)

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Basel 3, Probability of default, Loss Given Default, Exposure at Default, Portfolio Loss, Portfolio Loss Distribution, Copula, Value at Risk (VaR)

5.

Il Nuovo Muro in Europa: Saggio Breve Sull'Unione Europea (The New Wall in Europe: Short Essay on the European Union)

Number of pages: 60 Posted: 12 Oct 2014 Last Revised: 14 Oct 2014
Giuseppe Orlando and Carlo Benetti
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods and Swiss & Global Asset Management SGR
Downloads 212 (221,382)

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Aree valutarie ottimali, UEM, unioni doganali, Optimum currency areas, EMU, Trade adjustment

6.

A Brief Guide on Exchanged Traded Products (ETPs)

Number of pages: 12 Posted: 03 Jan 2014
Giuseppe Orlando
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods
Downloads 199 (234,431)

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ETFs, Investment Decisions, Security Selection, Risk Management, Government Policy and Regulation

7.

Compendio di Metodi di Ottimizzazione (A Brief Introduction to Optimization Methods with Numerical Examples)

Number of pages: 50 Posted: 06 Nov 2013 Last Revised: 18 Jan 2014
Giuseppe Orlando
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods
Downloads 185 (250,088)

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Optimization techniques, Programming models, Quantitative Methods

8.

A Revised Approach to CIR Short-Term Interest Rates Model

Number of pages: 33 Posted: 27 May 2017
Giuseppe Orlando, Rosa Maria Mininni and Michele Bufalo
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods, Dipartimento di Matematica - Università degli Studi di Bari Aldo Moro and Sapienza University of Rome
Downloads 149 (300,410)
Citation 2

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Interest rates forecasting, volatility, ARIMA models, simulation, jumps fitting, translation

9.

Un approccio alternativo al problema del calcolo della volatilità implicita (An Alternative Approach to Implied Volatility Fast Calculation)

Number of pages: 24 Posted: 26 Dec 2013 Last Revised: 23 Jan 2014
Giuseppe Orlando
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods
Downloads 147 (303,773)

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Volatilità implicita, Metodi Quantitativi, Calcolo numerico, Implied Volatility, Quantitative Methods, Numerical Calculus

10.

La misurazione del rischio e l'analisi delle relative criticità per i Fondi Hedge (Risk Measurement for Hedge Funds and Related Issues)

Number of pages: 21 Posted: 03 Aug 2014 Last Revised: 14 Oct 2014
Giuseppe Orlando
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods
Downloads 129 (336,234)

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Mercati finanziari; Rischi Finanziari e Risk Management; Hedge Funds

11.

Non-Performing Loans: Logit Model Applications

Number of pages: 103 Posted: 10 Oct 2020
Giuseppe Orlando and Roberta Pelosi
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods and affiliation not provided to SSRN
Downloads 125 (344,143)

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credit loss, default probability, credit risk, forecasting

12.

At Night All Cats Are Gray, but at Day They Are Not: Default (PD) Forecasts Capturing Italian Banks’ Idiosyncrasy

Number of pages: 37 Posted: 27 Jun 2022 Last Revised: 07 Sep 2022
Gianpiero Chironna, Giuseppe Orlando and Henry Penikas
Bari Aldo Moro University, Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods and P.N. Lebedev Physical Institute
Downloads 122 (350,447)

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bank failure, adaptive lasso, logistic regression, CART, probability of default, random forest, machine learning, model selection

13.

Introduzione al caos in economia con esempi e applicazioni (Introduction to Chaos in Economics with Examples and Applications)

Downloads 116 (363,290)

Introduzione al caos in economia con esempi e applicazioni (Introduction to Chaos in Economics with Examples and Applications)

Number of pages: 118 Posted: 17 Jul 2015
Giuseppe Orlando
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods
Downloads 70 (504,801)

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Caos; Business Cycle, Modello di Kaldor; Chaos; Business Cycle; Kaldor’s Model

Introduzione al caos in economia con esempi e applicazioni (Introduction to Chaos in Economics with Examples and Applications)

Number of pages: 118 Posted: 18 Dec 2015
Giuseppe Orlando
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods
Downloads 46 (619,141)

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Chaos; Business Cycle

14.

Compendium on Optimization Methods (Summary on Optimization Methods with Applications and Examples)

Number of pages: 71 Posted: 07 Mar 2014
Giuseppe Orlando
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods
Downloads 116 (363,290)

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Optimization Techniques, Programming Models, Quantitative Methods

15.

Implicazioni economiche dell'Unione Europea: stabilità e crescita? (Economical Implications of the European Union: Stability and Growth?)

Number of pages: 11 Posted: 27 Dec 2013
Giuseppe Orlando
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods
Downloads 99 (405,310)

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Aree valutarie ottimali, UEM, unioni doganali, Optimum currency areas, EMU, Trade adjustment

16.

Introduzione all’analisi della politica della spesa pubblica (An Introduction on Public Expenditure and Policy Analysis)

Number of pages: 14 Posted: 21 Jan 2014
Giuseppe Orlando
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods
Downloads 96 (413,562)

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Spesa pubblica e programmi di welfare, Economia pubblica, Valutazione costi benefici, Pesi sociali, Government Expenditures and Welfare Programs, Public Economics, Project evaluation, Social weights

17.

A Parametric Approach to Counterparty and Credit Risk

Number of pages: 33 Posted: 25 Oct 2013 Last Revised: 16 Dec 2015
Maximilian Härtel and Giuseppe Orlando
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics and Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods
Downloads 81 (459,283)

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Counterparty Risk, Collateral Management, Credit Risk, Economic Capital, Financial Risk and Risk Management, Government Policy and Regulation, Mathematical Methods, OTC Derivatives, Potential Future Exposure, Unexpected Loss

18.

Business Cycle Modeling Between Financial Crises and Black Swans: Ornstein-Uhlenbeck Stochastic Process versus Kaldor Deterministic Chaotic Model

Number of pages: 13 Posted: 27 May 2021
Giuseppe Orlando and Giovanna Zimatore
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods and Independent
Downloads 69 (502,277)

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Determinism, Chaos, Economic Dynamics, Business Cycles, Black Swan

19.

A note on approximating the Black and Scholes call formula with hyperbolic tangents

Number of pages: 12 Posted: 18 Nov 2018 Last Revised: 21 Sep 2020
Michele Mininni, Giuseppe Orlando and Giovanni Taglialatela
Università degli Studi di Bari “Aldo Moro” (UNIBA), Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods and Università degli Studi di Bari “Aldo Moro” (UNIBA) - Dipartimento di Economia e Finanza
Downloads 68 (506,176)

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Option Pricing, Black and Scholes, Hyperbolic Tangent

20.

Insurance, Banking and Financial Supervision in the Kingdom of Saudi Arabia (KSA) – A Survey

Number of pages: 18 Posted: 07 Nov 2020
Giuseppe Orlando
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods
Downloads 54 (566,279)

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Banking, Insurance, Regulation and Supervision, Saudi Arabia

21.

Straightening skewed markets with an index tracking optimizationless portfolio

Number of pages: 42 Posted: 06 Apr 2022
Daniele Bufalo, Michele Bufalo, Francesco Cesarone and Giuseppe Orlando
Università degli Studi di Bari “Aldo Moro” (UNIBA), Sapienza University of Rome, Rome Tre University - Department of Business Studies and Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods
Downloads 52 (575,784)

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Index tracking, Passive fund management, Portfolio optimization, Tracking error, Skewed distributions

22.

Resilience and Complex Dynamics — Safeguarding Local Stability Against Global Instability

Number of pages: 43 Posted: 04 Mar 2023 Last Revised: 06 Mar 2023
Willi Semmler, Fabio Della Rossa, Giuseppe Orlando, Gabriel Padró and Levent Kockesen
The New School - Department of Economics, Polytechnic of Milan - Department of Electronics, Information, and Bioengineering, Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods, New School for Social Research and Koc University - Department of Economics
Downloads 35 (669,769)

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Resilience, complex dynamic models, regime change model, limit cycles, disruptive contractions

23.

Coping With Risk and Uncertainty in Contemporary Economic Thought

Number of pages: 15 Posted: 17 Sep 2022
Giuseppe Orlando
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods
Downloads 33 (682,604)

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Risk, Uncertainty, Embeddedness, Economic Thought

24.

Foreign Exchange Options on Heston-CIR Model Under Levy Process Framework

Number of pages: 51 Posted: 12 Aug 2022
GIACOMO ASCIONE, Farshid Mehrdoust, Giuseppe Orlando and Oldouz Samimi
University of Naples, University of Guilan, Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods and University of Guilan
Downloads 30 (702,600)

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Heston-CIR model, Variance Gamma process, Levy processes, foreign short interest rates

25.

Modelling the industrial production of electric and gas utilities through a stochastic three-factor model

Number of pages: 29 Posted: 28 Mar 2022
Claudia Ceci, Michele Bufalo and Giuseppe Orlando
affiliation not provided to SSRN, Sapienza University of Rome and Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods
Downloads 23 (753,827)

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Energy; Forecasting; Three-factor stochastic model; Stochastic differential equations

26.

Stochastic Local Volatility Models and the Wei-Norman Factorization Method

Discrete & Continuous Dynamical Systems - S, doi: 10.3934/dcdss.2022026, 2021
Number of pages: 26 Posted: 07 Apr 2022
Julio Guerrero and Giuseppe Orlando
University of Jaén - Department of Mathematics and Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods
Downloads 20 (777,557)

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Wei-Norman, Lie algebraic methods, stochastic local volatility (SLV) model, Monte Carlo simulations

27.

Empirical Evidences on the Interconnectedness between Sampling and Asset Returns’ Distributions

Downloads 17 (802,500)

Empirical Evidences on the Interconnectedness between Sampling and Asset Returns’ Distributions

Number of pages: 36 Posted: 11 May 2021
Giuseppe Orlando and Michele Bufalo
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods and Sapienza University of Rome
Downloads 17 (830,447)

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return distributions; t-skew; market volatility; correlation; equity markets; bond markets; FX

Empirical Evidences on the Interconnectedness between Sampling and Asset Returns’ Distributions

Orlando, G.; Bufalo, M. Empirical Evidences on the Interconnectedness between Sampling and Asset Returns’ Distributions. Risks 2021, 9, 88. https://doi.org/10.3390/risks9050088
Posted: 18 May 2021
Giuseppe Orlando and Michele Bufalo
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods and Sapienza University of Rome

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return distributions; t-skew; market volatility; correlation; equity markets; bond markets; FX

28.

Analysis of New Models of Emerging Risk for Insurance Companies: The Climate Risk

Number of pages: 130 Posted: 31 Jan 2023
Eliana Tripaldi, Giuseppe Orlando and Giovanni Taglialatela
Independent, Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods and Università degli Studi di Bari “Aldo Moro” (UNIBA) - Dipartimento di Economia e Finanza
Downloads 16 (811,258)

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Climate Risk, Forecasting, GARCH, ARCH, ARIMA

29.

Modeling COVID-19 Pandemic with Financial Markets Models: The Case of Jaen (Spain)

Number of pages: 15 Posted: 21 Feb 2023
Julio Guerrero, Maria Galiano and Giuseppe Orlando
University of Jaén - Department of Mathematics, University of Jaén - Department of Mathematics and Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods
Downloads 12 (847,202)

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COVID-19, Forecasting, Cox-Ingersoll-Ross model, ARIMAX, Milstein method

30.

Bautin Bifurcation in a Kaldor Kalecki model

Number of pages: 16 Posted: 25 Jan 2023
Stefano Mehlab and Giuseppe Orlando
Bari Aldo Moro University, Department of Mathematics and Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods
Downloads 7 (893,007)

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Kaldor-Kalecki model, Bautin Bifurcation, Hopf Bifurcation, Chaos

31.

A Parametric Approach to Counterparty and Credit Risk

Downloads 1 (945,256)
Citation 1

A Parametric Approach to Counterparty and Credit Risk

Journal of Credit Risk, Vol. 10, No. 4, 2014
Number of pages: 38 Posted: 06 Jun 2016
Giuseppe Orlando and Maximilian Härtel
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods and Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics
Downloads 1 (985,137)
Citation 1
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counterparty risk, credit risk, liquidity risk measurement

A Parametric Approach to Counterparty and Credit Risk

Posted: 26 Oct 2013 Last Revised: 17 Oct 2015
Maximilian Härtel and Giuseppe Orlando
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics and Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods

Abstract:

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Counterparty Risk, Collateral Management, Credit Risk, Economic Capital

32.

Financial Markets’ Deterministic Aspects Modeled By A Low-Dimensional Equation

Orlando, G., Bufalo, M., & Stoop, R. (2022). Financial markets’ deterministic aspects modeled by a low-dimensional equation. Scientific Reports, 12(1), 1693. doi: 10.1038/s41598-022-05765-z
Posted: 16 Dec 2022
Giuseppe Orlando, Michele Bufalo and Ruedi Stoop
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods, Sapienza University of Rome and University of Zurich - Institute of Neuroinformatics

Abstract:

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Determinsm, Financial Stress Index, Swaps, Equitis, Emerging And Developed Markets, Corporate And Government Bonds

33.

A Generalized Derivation of The Black-Scholes Implied Volatility Through Hyperbolic Tangents

Argumenta Oeconomica, 2022, Nr 2 (49), s. 23-57
Posted: 07 Dec 2022
Michele Mininni, Giuseppe Orlando and Giovanni Taglialatela
Università degli Studi di Bari “Aldo Moro” (UNIBA), Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods and Università degli Studi di Bari “Aldo Moro” (UNIBA) - Dipartimento di Economia e Finanza

Abstract:

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Implied volatility, approximation methods, hyperbolic tangent, the Black-Scholes model

34.

Interest Rates Forecasting: Between Hull and White and the CIR#. How to Make a Single Factor Model Work

Orlando, G, Bufalo, M. Interest rates forecasting: between Hull and White and the CIR#. How to make a single factor model work. Journal of Forecasting. 2021. https://doi.org/10.1002/for.2783
Posted: 18 May 2021
Giuseppe Orlando and Michele Bufalo
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods and Sapienza University of Rome

Abstract:

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Interest rate forecasting, Hull and White model, CIR model, ARIMA, cluster volatility and jumps fitting

35.

Non-Performing Loans for Italian Companies: When Time Matters. An Empirical Research on Estimating Probability to Default and Loss Given Default

Non-Performing Loans for Italian Companies: When Time Matters. An Empirical Research on Estimating Probability to Default and Loss Given Default https://www.mdpi.com/2227-7072/8/4/68/htm
Posted: 16 Jan 2021
Giuseppe Orlando and Roberta Pelosi
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods and affiliation not provided to SSRN

Abstract:

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logit model; default probability; credit risk; loss forecasting

36.

On the Approximation of the Black and Scholes Call Function

Giuseppe Orlando and Giovanni Taglialatela, On the approximation of the Black and Scholes call function, Journal of Computational and Applied Mathematics, 28 August 2020, https://www.sciencedirect.com/science/article/abs/pii/S0377042720304453
Posted: 09 Nov 2020
Giuseppe Orlando and Giovanni Taglialatela
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods and Università degli Studi di Bari “Aldo Moro” (UNIBA) - Dipartimento di Economia e Finanza

Abstract:

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Black and Scholes model, Hyperbolic tangent, Implied volatility, Inverse problem

37.

Challenges in Approximating the Black and Scholes Call Formula with Hyperbolic Tangents

Mininni, M., Orlando, G. & Taglialatela, G. Challenges in approximating the Black and Scholes call formula with hyperbolic tangents. Decisions Econ Finan (2020). https://doi.org/10.1007/s10203-020-00305-8
Posted: 09 Nov 2020
Michele Mininni, Giuseppe Orlando and Giovanni Taglialatela
Università degli Studi di Bari “Aldo Moro” (UNIBA), Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods and Università degli Studi di Bari “Aldo Moro” (UNIBA) - Dipartimento di Economia e Finanza

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Option Pricing, Black and Scholes, Hyperbolic Tangent

38.

Business Business Cycle Modeling between Financial Crises and Black Swans: Ornstein–Uhlenbeck Stochastic Process vs Kaldor Deterministic Chaotic Model

Cite as: Chaos 30, 083129 (2020); https://doi.org/10.1063/5.0015916
Posted: 23 Oct 2020
Giuseppe Orlando and Giovanna Zimatore
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods and Independent

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Business cycles, Chaos, Kaldor model, Black swans

39.

Recurrence Quantification Analysis on a Kaldorian Business Cycle Model

Orlando, G., Zimatore, G. Recurrence Quantification Analysis on a Kaldorian Business Cycle Model. Nonlinear Dyn, 2020, DOI: 10.1007/s11071-020-05511-y
Posted: 19 Mar 2020
Giuseppe Orlando and Giovanna Zimatore
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods and Independent

Abstract:

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Determinism, Chaos, Applications to Economics, Economic Dynamics

40.

Interest Rates Calibration with a CIR Model

'Interest Rates Calibration with a CIR Model', with R.M. Mininni and M. Bufalo- Journal of Risk Finance, Emerald Publishing, 14 Sept. 2019, DOI: 10.1108/JRF-05-2019-0080
Posted: 20 Oct 2019
Giuseppe Orlando, Rosa Maria Mininni and Michele Bufalo
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods, Dipartimento di Matematica - Università degli Studi di Bari Aldo Moro and Sapienza University of Rome

Abstract:

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Calibration, Forecasting and simulation, Interest rates, CIR model

41.

A New Approach to Forecast Market Interest Rates Through the CIR Model

'A New Approach to Forecast Market Interest Rates Through the CIR Model', with R.M. Mininni and M. Bufalo - Studies in Economics and Finance, Emerald Publishing, 20 Sept. 2019, DOI: 10.1108/SEF-03-2019-0116
Posted: 20 Oct 2019
Giuseppe Orlando, Rosa Maria Mininni and Michele Bufalo
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods, Dipartimento di Matematica - Università degli Studi di Bari Aldo Moro and Sapienza University of Rome

Abstract:

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Interest rates forecasting, CIR model, Volatility clustering, ARIMA models, Numerical simulation

42.

An Empirical Test on Harrod’s Open Economy Dynamics

Mathematics 2019, 7(6), 524; doi/10.3390/math7060524
Posted: 18 Jun 2019
Giuseppe Orlando
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods

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Harrod’s dynamics, determinism, numerical chaos, economic growth, business cycles

43.

RQA Correlations on Business Cycles: A Comparison Between Real and Simulated Data

World Scientific Series on Nonlinear Science Series B Advances on Nonlinear Dynamics of Electronic Systems, January 2019, DOI/10.1142/9789811201523_0012
Posted: 17 Mar 2019
Giuseppe Orlando and Giovanna Zimatore
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods and Independent

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Determinism, Numerical Chaos, Applications to Economics, Economic Dynamics

44.

Forecasting Interest Rates Through Vasicek and CIR Models: A Partitioning Approach

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Forecasting Interest Rates Through Vasicek and CIR Models: A Partitioning Approach

Posted: 28 Jan 2019
Giuseppe Orlando, Rosa Maria Mininni and Michele Bufalo
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods, Dipartimento di Matematica - Università degli Studi di Bari Aldo Moro and Sapienza University of Rome

Abstract:

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CIR Model, Vasicek Model, Interest Rates, Forecasting and Simulation

Forecasting Interest Rates Through Vasicek and CIR Models: A Partitioning Approach

G. Orlando, R.M. Mininni and M. Bufalo"Forecasting interest rates through Vasicek and CIR models: a partitioning approach" with - Journal of Forecasting, 12 December 2019
Posted: 08 Jan 2020
Giuseppe Orlando, Michele Bufalo and Rosa Maria Mininni
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods, Sapienza University of Rome and Dipartimento di Matematica - Università degli Studi di Bari Aldo Moro

Abstract:

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CIR Model, Vasicek Model, Interest Rates, Forecasting and Simulation

45.

Recurrence Quantification Analysis of Business Cycles

Recurrence Quantification Analysis on The Business Cycles, Chaos, Solitons & Fractals, DOI/10.1016/ j.chaos.2018.02.032, 17 March 2018
Posted: 18 Nov 2018
Giuseppe Orlando
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods

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Determinism, Numerical Chaos, Economic Dynamics, Business Fluctuations, Cycles

46.

A New Approach to CIR Short-Term Rates Modelling

Orlando G., Mininni R.M., Bufalo M. (2018) A New Approach to CIR Short-Term Rates Modelling. In: Mili M., Samaniego Medina R., di Pietro F. (eds) New Methods in Fixed Income Modeling. Contributions to Management Science. Springer, Cham, DOI: 10.1007/978-3-319-95285-7_2
Posted: 16 Oct 2018
Giuseppe Orlando
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods

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CIR Model, Short Interest Rates, Forecasting and Simulation

47.

RQA Correlations on Real Business Cycles Time Series

Indian Academy of Sciences Conference Series, 1, 2017, DOI: 10.29195/iascs.01.01.0009
Posted: 13 Jan 2018
Giuseppe Orlando and Giovanna Zimatore
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods and Independent

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Applications to economics, Economic dynamics, Numerical chaos

48.

A Discrete Mathematical Model for Chaotic Dynamics in Economics: Kaldor's Model on Business Cycle

Mathematics and Computers in Simulation, Volume 125, Pages 83–98, July 2016
Posted: 17 May 2017
Giuseppe Orlando
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods

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Numerical Chaos, Applications to Economics, Economic Dynamics

49.

A Review on Implied Volatility Calculation

Journal of Computational and Applied Mathematics 320 (2017) 202–220
Posted: 29 Mar 2017
Giuseppe Orlando and Giovanni Taglialatela
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods and Università degli Studi di Bari “Aldo Moro” (UNIBA) - Dipartimento di Economia e Finanza

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Implied volatility, Quantitative methods, Numerical calculus

50.

Chaotic Dynamics in Economics: Kaldor's Model on Business Cycle

Posted: 24 Oct 2013 Last Revised: 13 Jan 2016
Giuseppe Orlando
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods

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Chaotic Systems, Trade Cycle, Kaldor’s Model