Simone Farinelli

Core Dynamics GmbH

Scheuzerstrasse 43

Zurich, 8006

Switzerland

SCHOLARLY PAPERS

16

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3,174

CITATIONS
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SSRN RANKINGS

Top 32,059

in Total Papers Citations

17

Scholarly Papers (16)

1.

Stress Test and Consistent Aggregation of Market, Credit and Transfer Risk by Geometric Arbitrage Theory

Number of pages: 83 Posted: 11 Mar 2008 Last Revised: 09 Apr 2009
Simone Farinelli
Core Dynamics GmbH
Downloads 575 (46,059)

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Risk Management, Stress Test, Market Risk, Credit Risk, Country Risk, Transfer Risk, Integrated Risk Management

2.

Sharpe Thinking with Asymmetrical Preferences

Number of pages: 15 Posted: 13 Nov 2002
Luisa Tibiletti and Simone Farinelli
University of Turin - Department of Management and Core Dynamics GmbH
Downloads 422 (67,744)
Citation 6

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Sharpe Index, One-Sided Risk Measures, First Order Risk Aversion

3.

Joint Interest Rate Risk Management of Balance Sheet and Hedge Portfolio

Number of pages: 38 Posted: 17 May 2006
Paolo Vanini and Simone Farinelli
University of Basel and Core Dynamics GmbH
Downloads 391 (74,205)

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Balance and Off Balance Sheet Analysis, Interest Rate Risk, Dynamic Mean Variance Optimization

4.

Geometric Arbitrage Theory and Market Dynamics

Number of pages: 72 Posted: 27 Mar 2008 Last Revised: 19 Jul 2015
Simone Farinelli
Core Dynamics GmbH
Downloads 362 (81,158)
Citation 7

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Geometric Arbitrage Theory, Market Model, Stochastic Finance

5.

Geometric Arbitrage Theory and Calibration of a Generator of Consistent Economic Scenarios

Number of pages: 54 Posted: 02 Apr 2008 Last Revised: 11 Dec 2008
Simone Farinelli
Core Dynamics GmbH
Downloads 311 (96,315)
Citation 1

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Geometric Arbitrage Theory, Asset Pricing Theory, Risk Management

6.

Joint Credit Risk Management of Balance Sheet and Hedge Portfolio

Number of pages: 31 Posted: 13 May 2008
Simone Farinelli
Core Dynamics GmbH
Downloads 229 (132,517)

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Balance and Off Balance Sheet, Portfolio Credit Risk, Dynamic Mean Variance Optimization

7.

Gauge Invariance, Geometry and Arbitrage

Number of pages: 44 Posted: 24 Aug 2009 Last Revised: 18 May 2012
Samuel Vazquez and Simone Farinelli
affiliation not provided to SSRN and Core Dynamics GmbH
Downloads 208 (145,339)

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Geometric Arbitrage, Arbitrage Pricing, Market Models

A Framework for Market, Credit and Transfer Risk Aggregation and Stress Testing

Number of pages: 64 Posted: 17 May 2012 Last Revised: 08 May 2014
Simone Farinelli
Core Dynamics GmbH
Downloads 203 (148,494)

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Stress testing, risk management, integration of market and credit risk

A Framework for Market, Credit and Transfer Risk Aggregation and Stress Testing

Journal of Credit Risk, Vol. 12, No. 1, 2016
Number of pages: 42 Posted: 14 Jun 2016
Simone Farinelli
Core Dynamics GmbH
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integrated market and credit risk, country risk, stress testing, market risk, risk aggregation

9.

Joint Interest Rate Risk Management of Balance Sheet and Hedge Portfolio in a Present Value Perspective

Number of pages: 37 Posted: 13 May 2008
Simone Farinelli and Paolo Vanini
Core Dynamics GmbH and University of Basel
Downloads 184 (162,801)
Citation 1

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Balance and Off Balance Sheet, Analysis, Interest Rate Risk, Dynamic Mean Variance Optimization

10.

Two Models of Stochastic Loss Given Default

Number of pages: 20 Posted: 20 May 2012
Simone Farinelli and Mykhaylo Shkolnikov
Core Dynamics GmbH and Mathemathical Sciences Research Institute (MSRI)
Downloads 103 (258,217)
Citation 1

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Credit risk, Loss Given Default, integration of market with credit risk

11.

Can You Hear the Shape of a Market? Geometric Arbitrage and Spectral Theory

Number of pages: 44 Posted: 16 Aug 2015 Last Revised: 30 Jun 2019
Simone Farinelli and Hideyuki Takada
Core Dynamics GmbH and Toho University
Downloads 69 (329,846)
Citation 2

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Arbitrage, Spectral Theory, Stochastic Differential Geometry

12.

The Black-Scholes Equation in Presence of Arbitrage

Number of pages: 32 Posted: 20 Dec 2016 Last Revised: 28 Jun 2019
Simone Farinelli and Hideyuki Takada
Core Dynamics GmbH and Toho University
Downloads 55 (369,757)
Citation 3

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Geometric Arbitrage, Black-Scholes PDE, Expected Utility Maximization

13.

Credit Bubbles in Arbitrage Markets: The Geometric Arbitrage Approach to Credit Risk

Number of pages: 37 Posted: 28 Jun 2014 Last Revised: 30 Jun 2019
Simone Farinelli and Hideyuki Takada
Core Dynamics GmbH and Toho University
Downloads 54 (372,944)
Citation 1

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Credit Risk, No-Free-Lunch-With-Vanishing-Risk, Geometric Arbitrage Theory, Arbitrage Credit Bubbles

14.

When Risks and Uncertainties Collide: Quantum Mechanical Formulation of Mathematical Finance for Arbitrage Markets

Number of pages: 51 Posted: 20 Jun 2019 Last Revised: 08 Jul 2019
Simone Farinelli and Hideyuki Takada
Core Dynamics GmbH and Toho University
Downloads 8 (591,065)

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Geometric Arbitrage, Arbitrage Bubbles, Minimal Arbitrage Dynamics

15.

Financial Leverage in Multi-Period Appraisal: Do ROE and APV Move in the Same Direction?

Posted: 19 Jan 2016 Last Revised: 31 May 2016
Simone Farinelli and Luisa Tibiletti
Core Dynamics GmbH and University of Turin - Department of Management

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Capital Structure; Financial Leverage; Project financing; Multi-period ROE; APV; OCE

16.

Hydroassets Portfolio Management for Intraday Electricity Trading from a Discrete Time Stochastic Optimization Perspective

Posted: 22 Aug 2015 Last Revised: 25 Aug 2017
Simone Farinelli and Luisa Tibiletti
Core Dynamics GmbH and University of Turin - Department of Management
Downloads 0 (666,078)

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Stochastic multiperiod optimization, Energy market, Blomvall and Lindberg interior point model