Silvia Romagnoli

University of Bologna - Department of Statistics

SCHOLARLY PAPERS

10

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831

SSRN CITATIONS

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Scholarly Papers (10)

1.

Copula Based Martingale Processes and Financial Prices Dynamics

Number of pages: 17 Posted: 17 Jul 2008
Umberto Cherubini, Sabrina Mulinacci and Silvia Romagnoli
University of Bologna - Department of Economics, Università Cattolica del Sacro Cuore di Milano and University of Bologna - Department of Statistics
Downloads 275 (115,100)
Citation 1

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Copula functions,Stochastic Processes, Option Pricing, Markov Processes

Optimal Corporate Hedging Using Options with Basis and Production Risk

Number of pages: 29 Posted: 28 Sep 2012
Emanuele Bajo, Massimiliano Barbi and Silvia Romagnoli
University of Bologna - Department of Economics, University of Bologna - Department of Management and University of Bologna - Department of Statistics
Downloads 206 (153,158)

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Risk management, Option hedging, Expected shortfall

Optimal Corporate Hedging Using Options with Basis and Production Risk

North American Journal of Economics and Finance, Vol. 30, pp. 56-71, 2014
Posted: 29 Aug 2014 Last Revised: 13 May 2015
Emanuele Bajo, Massimiliano Barbi and Silvia Romagnoli
University of Bologna - Department of Economics, University of Bologna - Department of Management and University of Bologna - Department of Statistics

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Risk management, Option hedging, Expected shortfall

Optimal Hedge Ratio Under a Subjective Re-Weighting of the Original Measure

Number of pages: 25 Posted: 27 Jan 2012 Last Revised: 09 Apr 2015
Massimiliano Barbi and Silvia Romagnoli
University of Bologna - Department of Management and University of Bologna - Department of Statistics
Downloads 157 (195,601)
Citation 2

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Risk management, Spectral risk measures, Expected shortfall, Risk aversion

Optimal Hedge Ratio Under a Subjective Re-Weighting of the Original Measure

Applied Economics, Vol. 48, pp. 1271-1280, 2016
Posted: 22 Sep 2015 Last Revised: 19 Feb 2016
Massimiliano Barbi and Silvia Romagnoli
University of Bologna - Department of Management and University of Bologna - Department of Statistics

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Risk management, Spectral risk measures, Expected shortfall, Risk aversion

Skewness, Basis Risk, and Optimal Futures Demand

Number of pages: 38 Posted: 29 Sep 2016 Last Revised: 07 Dec 2017
Massimiliano Barbi and Silvia Romagnoli
University of Bologna - Department of Management and University of Bologna - Department of Statistics
Downloads 120 (242,841)

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Optimal hedging, Skew-normal distribution, Basis risk

Skewness, Basis Risk, and Optimal Futures Demand

International Review of Economics and Finance, Vol. 58, pp. 14-29, 2018
Posted: 06 Mar 2018 Last Revised: 02 Dec 2018
Massimiliano Barbi and Silvia Romagnoli
University of Bologna - Department of Management and University of Bologna - Department of Statistics

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Optimal hedging, Skew-normal distribution, Basis risk

5.

A Continuous-Time Model of the Term Structure of Interest Rates with Fiscal-Monetary Policy Interactions

Bank of Finland Research Discussion Paper No. 25/2008
Number of pages: 38 Posted: 17 Nov 2008
Massimiliano Marzo, Silvia Romagnoli and Paolo Zagaglia
Department of Management, University of Bologna, University of Bologna - Department of Statistics and University of Bologna
Downloads 72 (336,150)

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bond pricing, fiscal policy, term structure of interest rates

6.

The Dependence Structure of Running Maxima and Minima: Results and Option Pricing Applications

Mathematical Finance, Vol. 20, Issue 1, pp. 35-58, January 2010
Number of pages: 24 Posted: 18 Jan 2010
Umberto Cherubini and Silvia Romagnoli
University of Bologna - Department of Economics and University of Bologna - Department of Statistics
Downloads 1 (674,608)
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7.

Diamonds and Precious Metals for Reduction of Portfolio Tail Risk

Applied Economics, Forthcoming
Posted: 05 Dec 2019
Massimiliano Barbi, Hélyette Geman and Silvia Romagnoli
University of Bologna - Department of Management, University of London - Economics, Mathematics and Statistics and University of Bologna - Department of Statistics

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Diamonds, Precious metals, Diversification, Copula functions, Tail dependence

8.

A Generalized Approach to Optimal Hedging with Option Contracts

European Journal of Finance, Vol. 21, pp. 714-733, 2015
Posted: 22 Nov 2013 Last Revised: 13 May 2015
Emanuele Bajo, Massimiliano Barbi and Silvia Romagnoli
University of Bologna - Department of Economics, University of Bologna - Department of Management and University of Bologna - Department of Statistics

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Optimal hedge ratio, Option hedging, Spectral risk measures, Copula function.

9.

A Copula-Based Quantile Risk Measure Approach to Estimate the Optimal Hedge Ratio

Journal of Futures Markets, Vol. 34, pp. 658-675, 2014
Posted: 10 Feb 2013 Last Revised: 08 Jan 2015
Massimiliano Barbi and Silvia Romagnoli
University of Bologna - Department of Management and University of Bologna - Department of Statistics

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Optimal hedge ratio, Quantile risk measures, Copula function

10.

Robustness of the Black-Scholes Approach in the Case of Options on Several Assets

Finance and Stochastics, Vol. 4, No. 3, 2000
Posted: 22 Aug 2000
Silvia Romagnoli and Tiziano Vargiolu
University of Bologna - Department of Statistics and Department of Mathematics

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stochastic volatility, superreplication, stochastic optimal control, Hamilton-Jacobi-Bellman