Claudio Pacati

University of Siena - Department of Economics and Statistics

Piazza S. Francesco, 7

Siena, I-53100

Italy

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 13,100

SSRN RANKINGS

Top 13,100

in Total Papers Downloads

3,608

CITATIONS

5

Scholarly Papers (5)

1.

A Quantitative Approach to Faber's Tactical Asset Allocation

Number of pages: 13 Posted: 22 Sep 2009 Last Revised: 11 Jul 2012
Scuola Normale Superiore, University of Siena - Department of Economics and Statistics, University of Siena - Department of Economics and University of Verona - Department of Economics
Downloads 2,770 (4,149)
Citation 1

Abstract:

Loading...

market efficiency, portfolio selection, bootstrap

2.

Smiling Twice: The Heston++ Model

Number of pages: 37 Posted: 02 Dec 2015 Last Revised: 20 Jul 2018
Claudio Pacati, Gabriele Pompa and Roberto Renò
University of Siena - Department of Economics and Statistics, IMT School for Advanced Studies Lucca and University of Verona - Department of Economics
Downloads 347 (85,304)
Citation 2

Abstract:

Loading...

VIX options, VIX futures, Heston model, stochastic volatility, jump-diffusion, displacement

3.

La Valutazione Dei Constant Maturity Bond

Number of pages: 18 Posted: 09 Jun 2001
Claudio Pacati
University of Siena - Department of Economics and Statistics
Downloads 248 (122,488)

Abstract:

Loading...

Constant maturity bond, term structure derivatives, interest rate swap, Cox, Ingersoll, and Ross model

4.

Pre-Tax and After-Tax Term Structures of Interest Rates

Univ. of Siena Working Paper No. 309
Number of pages: 18 Posted: 12 Jan 2001
Claudio Pacati
University of Siena - Department of Economics and Statistics
Downloads 123 (227,537)

Abstract:

Loading...

Term structure of interest rates, taxation effects, Cox, Ingersoll, Ross model

5.

Embedded Value in Life Insurance

Number of pages: 88 Posted: 13 Apr 2016
University of Rome I, University of Rome I, University of Perugia - Department of Economics and University of Siena - Department of Economics and Statistics
Downloads 120 (231,792)
Citation 9

Abstract:

Loading...

embedded value, value of business in force, market consistent valuation, profit-sharing