Francesca Biagini

University of Bologna - Department of Mathematics

Piazzadi Porta San Donato, 5

Bologna, 40126

Italy

SCHOLARLY PAPERS

6

DOWNLOADS

101

CITATIONS

6

Scholarly Papers (6)

1.

The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates

Number of pages: 30 Posted: 03 Jul 2015 Last Revised: 25 Sep 2015
Francesca Biagini, Alessandro Gnoatto and Maximilian Härtel
University of Bologna - Department of Mathematics, University of Verona - Department of Economics and Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics
Downloads 47 (396,372)

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Term Structure, Overnight Indexed Swap, Long-Term Yield, Long-Term Simple Rate, Long-Term Swap Rate

2.

Long-Term Yield in an Affine HJM Framework on Sd+

Number of pages: 30 Posted: 25 Jun 2015
Francesca Biagini, Alessandro Gnoatto and Maximilian Härtel
University of Bologna - Department of Mathematics, University of Verona - Department of Economics and Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics
Downloads 26 (485,046)

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HJM, Affine Process, Long-Term Yield, Yield Curve, Wishart Process.

3.

Pricing of Counterparty Risk and Funding With CSA Discounting, Portfolio Effects and Initial Margin

Number of pages: 39 Posted: 12 Jun 2019 Last Revised: 30 Jun 2019
Francesca Biagini, Alessandro Gnoatto and Immacolata Oliva
University of Bologna - Department of Mathematics, University of Verona - Department of Economics and University of Verona - Department of Computer Science
Downloads 13 (560,110)

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CVA, DVA, FVA, CollVA, xVA, EPE, PFE, Basel III, Collateral

4.

On the Timing Option in a Futures Contract

Mathematical Finance, Vol. 17, No. 2, pp. 267-283, April 2007
Number of pages: 17 Posted: 19 Mar 2007
Francesca Biagini and Tomas Bjork
University of Bologna - Department of Mathematics and Stockholm School of Economics - Swedish House of Finance
Downloads 13 (560,110)
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5.

Local Risk Minimization for Defaultable Markets

Mathematical Finance, Vol. 19, Issue 4, pp. 669-689, October 2009
Number of pages: 21 Posted: 21 Oct 2009
Francesca Biagini and Alessandra Cretarola
University of Bologna - Department of Mathematics and affiliation not provided to SSRN
Downloads 2 (635,893)
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6.

Mean-Variance Hedging for Stochastic Volatility Models

Mathematical Finance, Vol. 10, No. 2, April 2000
Posted: 14 Jun 2003
Francesca Biagini, Paolo Guasoni and Maurizio Pratelli
University of Bologna - Department of Mathematics, Boston University - Department of Mathematics and Statistics and University of Pisa - Department of Mathematics

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