Carlo Marinelli

University of Bonn - Institut fuer Angewandte Mathematik

Wegelerstr. 6

53115 Bonn

Germany

SCHOLARLY PAPERS

10

DOWNLOADS

1,521

SSRN CITATIONS

2

CROSSREF CITATIONS

8

Scholarly Papers (10)

1.

A Comparison of Some Univariate Models for Value-at-Risk and Expected Shortfall

Number of pages: 38 Posted: 22 Jan 2007
Carlo Marinelli, Stefano d'Addona and Svetlozar Rachev
University of Bonn - Institut fuer Angewandte Mathematik, University of Roma Tre and Texas Tech University
Downloads 417 (69,755)
Citation 3

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VaR, expected shortfall, stable Paretian laws, extreme value theory

2.

Computational Issues in Stable Financial Modeling

Applied Mathematics Reviews, Vol. 1, pp. 285-327, 2000
Number of pages: 39 Posted: 01 Nov 2004
Carlo Marinelli and Svetlozar Rachev
University of Bonn - Institut fuer Angewandte Mathematik and Texas Tech University
Downloads 239 (128,891)

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3.

The Stochastic Goodwill Problem

Number of pages: 32 Posted: 07 Jul 2004
Carlo Marinelli
University of Bonn - Institut fuer Angewandte Mathematik
Downloads 184 (165,119)
Citation 2

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optimal advertising, new product introduction, linear quadratic regulator, stochastic control, discretionary stopping

4.

Subordinated Exchange Rate Models: Evidence for Heavy Tailed Distributions and Long-Range Dependence

Mathematical and Computer Modelling, Vol. 34, No. 9-11, pp. 955-1001, 2001
Number of pages: 70 Posted: 15 Oct 2004
Carlo Marinelli, Svetlozar Rachev and Richard Roll
University of Bonn - Institut fuer Angewandte Mathematik, Texas Tech University and California Institute of Technology
Downloads 172 (175,386)

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5.

On the Relation between Forecast Precision and Trading Profitability of Financial Analysts

Journal of Financial Markets, 2014, 20, 39-60
Number of pages: 26 Posted: 31 Jan 2013 Last Revised: 01 Jul 2017
Carlo Marinelli and Alex Weissensteiner
University of Bonn - Institut fuer Angewandte Mathematik and Free University of Bolzano Bozen
Downloads 144 (203,623)

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financial analyst, forecast accuracy, recommendation profitability, full communication equilibrium

6.

Multivariate Heavy-Tailed Models for Value-at-Risk Estimation

Number of pages: 48 Posted: 17 May 2010 Last Revised: 19 Dec 2011
Carlo Marinelli, Stefano d'Addona and Svetlozar Rachev
University of Bonn - Institut fuer Angewandte Mathematik, University of Roma Tre and Texas Tech University
Downloads 125 (227,777)
Citation 1

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7.

Optimal Distributed Dynamic Advertising

Number of pages: 23 Posted: 07 Oct 2004
Carlo Marinelli and Sergei Savin
University of Bonn - Institut fuer Angewandte Mathematik and Columbia University - Columbia Business School
Downloads 104 (260,023)

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optimal advertising, new product introduction, distributed control, infinite-dimensional analysis, linear-quadratic control, partial differential equations

8.

Well-Posedness and Invariant Measures for HJM Models with Deterministic Volatility and Levy Noise

Number of pages: 16 Posted: 28 Jan 2007
Carlo Marinelli
University of Bonn - Institut fuer Angewandte Mathematik
Downloads 70 (331,830)
Citation 2

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HJM models, Musiela's stochastic PDE, invariant measures

9.

Local Well-Posedness of Musiela's SPDE with Lévy Noise

Number of pages: 20 Posted: 09 Apr 2007
Carlo Marinelli
University of Bonn - Institut fuer Angewandte Mathematik
Downloads 62 (353,527)
Citation 2

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HJM models with jumps, Musiela's stochastic PDE, Lévy noise

10.

Local Well-Posedness of Musiela’s SPDE with Lévy Noise

Mathematical Finance, Vol. 20, Issue 3, pp. 341-363, July 2010
Number of pages: 23 Posted: 08 Jun 2010
Carlo Marinelli
University of Bonn - Institut fuer Angewandte Mathematik
Downloads 4 (626,856)
Citation 1
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