Sapienza University of Rome
Interest rates forecasting, volatility, ARIMA models, simulation, jumps fitting, translation
algorithms, prime numbers, sieve of Eratosthenes
Index tracking, Passive fund management, Portfolio optimization, Tracking error, Skewed distributions
Black-Scholes formula, binomial model, martingale measures, numèraire
Energy; Forecasting; Three-factor stochastic model; Stochastic differential equations
return distributions; t-skew; market volatility; correlation; equity markets; bond markets; FX
Determinsm, Financial Stress Index, Swaps, Equitis, Emerging And Developed Markets, Corporate And Government Bonds
Interest rate forecasting, Hull and White model, CIR model, ARIMA, cluster volatility and jumps fitting
Calibration, Forecasting and simulation, Interest rates, CIR model
Interest rates forecasting, CIR model, Volatility clustering, ARIMA models, Numerical simulation
CIR Model, Vasicek Model, Interest Rates, Forecasting and Simulation
