Claudia Ravanelli

Center for Finance and Insurance

Senior Researcher

Plattenstrasse 14

Z├╝rich, 8032

Switzerland

http://www.bf.uzh.ch/cms/en/ravanelli.claudia.html

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 30,633

SSRN RANKINGS

Top 30,633

in Total Papers Downloads

2,318

SSRN CITATIONS
Rank 36,712

SSRN RANKINGS

Top 36,712

in Total Papers Citations

7

CROSSREF CITATIONS

14

Scholarly Papers (8)

1.

An Option Pricing Formula for the GARCH Diffusion Model

Number of pages: 31 Posted: 13 May 2004
Giovanni Barone-Adesi, Henrik Rasmussen and Claudia Ravanelli
University of Lugano, J.P. Morgan and Co. and Center for Finance and Insurance
Downloads 1,175 (25,528)
Citation 6

Abstract:

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Option pricing, Stochastic volatility models, GARCH models, implied volatility, Monte Carlo methods

2.

Cash Sub-additive Risk Measures and Interest Rate Ambiguity

Swiss Finance Institute Research Paper No. 08-09
Number of pages: 34 Posted: 24 Jan 2007 Last Revised: 08 Jul 2008
Nicole El Karoui and Claudia Ravanelli
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Center for Finance and Insurance
Downloads 499 (80,450)
Citation 3

Abstract:

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Risk measures, Fenchel-Legendre transform, model uncertainty, inf-convolution, backward stochastic differential equations

3.

Ambiguity Aversion in Ellsberg Frameworks

Number of pages: 44 Posted: 18 Jul 2013 Last Revised: 28 Oct 2015
Claudia Ravanelli and Gregor Svindland
Center for Finance and Insurance and Ludwig Maximilian University of Munich (LMU)
Downloads 214 (198,833)
Citation 2

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Ellsberg framework, alpha-maxmin expected utility model, ambiguity aversion, portfolio choice, market equilibrium

Robust Capital Requirements with Model Risk

Number of pages: 42 Posted: 20 Jul 2013 Last Revised: 14 Jul 2014
Claudia Ravanelli and Pauline M. Barrieu
Center for Finance and Insurance and London School of Economics & Political Science (LSE)
Downloads 203 (208,678)

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Value at Risk, Average Value at Risk, model risk, Robust Statistics

Robust Capital Requirements with Model Risk

Economic Notes, Vol. 44, Issue 1, pp. 1-28, 2015
Number of pages: 28 Posted: 25 Jan 2015
Pauline M. Barrieu and Claudia Ravanelli
London School of Economics & Political Science (LSE) and Center for Finance and Insurance
Downloads 0

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5.

Pareto Optimal Allocations for Probabilistic Sophisticated Variational Preferences

Swiss Finance Institute Research Paper No. 11-28
Number of pages: 43 Posted: 14 Jul 2011 Last Revised: 05 Oct 2011
Claudia Ravanelli and Gregor Svindland
Center for Finance and Insurance and Ludwig Maximilian University of Munich (LMU)
Downloads 128 (305,593)

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Pareto optimal allocations, variational preferences, probabilistic sophis- tication, ambiguity aversion, weighted sup-convolution optimization problems

6.

Revisiting Optimal Investment Strategies of Value-Maximizing Insurance Firms

Number of pages: 51 Posted: 04 Aug 2018 Last Revised: 27 Jan 2021
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance, Center for Finance and Insurance and University of Zurich
Downloads 84 (404,014)

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Insurance Firm, Default Option, Franchise Value, Dividend Payments, Investment Strategy, Market-Consistent Valuation

7.

Ambiguity Sensitive Preferences in Ellsberg Frameworks

Economic Theory, Forthcoming
Number of pages: 40 Posted: 01 Nov 2018
Claudia Ravanelli and Gregor Svindland
Center for Finance and Insurance and Ludwig Maximilian University of Munich (LMU)
Downloads 12 (771,467)

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Ellsberg framework, alpha-maxmin expected utility model, ambiguity aversion, portfolio choice, market equilibrium

8.

Cash Subadditive Risk Measures and Interest Rate Ambiguity

Mathematical Finance, Vol. 19, Issue 4, pp. 561-590, October 2009
Number of pages: 30 Posted: 21 Oct 2009
Nicole El Karoui and Claudia Ravanelli
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Center for Finance and Insurance
Downloads 3 (864,589)
Citation 2

Abstract:

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