Simona Sanfelici

University of Parma - Dipartimento di Economia

Via Kennedy 6

Parma, Parma 43100

Italy

  • University of Parma - Dipartimento di Economia

SCHOLARLY PAPERS

19

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TOTAL CITATIONS
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Top 38,375

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21

Scholarly Papers (19)

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1.

Dynamic Portfolio Management: An Application of Fourier Method for Covariance Estimation

Number of pages: 15 Posted: 17 Nov 2008
Maria Elvira Mancino, Elena Rapini and Simona Sanfelici
University of Florence - Department of Economics and Management, Centro Leasing Banca, S.p.A. and University of Parma - Dipartimento di Economia
Downloads 336 (194,082)

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nonparametric covariance estimation, non-synchronicity, microstructure effects, Fourier analysis, optimal portfolio choice

2.

Estimating Covariance Via Fourier Method in the Presence of Asynchronous Trading and Microstructure Noise

J. Financial Econometrics, 9(2) (2011), 367-408
Number of pages: 42 Posted: 17 Nov 2008 Last Revised: 28 Mar 2013
Maria Elvira Mancino and Simona Sanfelici
University of Florence - Department of Economics and Management and University of Parma - Dipartimento di Economia
Downloads 250 (264,575)
Citation 9

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nonparametric covariance estimation, Fourier analysis, high frequency data, non-synchronicity, microstructure

3.

High Frequency Volatility of Volatility Estimation Free from Spot Volatility Estimates

Number of pages: 30 Posted: 18 May 2014 Last Revised: 21 May 2015
Simona Sanfelici, Imma Curato and Maria Elvira Mancino
University of Parma - Dipartimento di Economia, Ulm University and University of Florence - Department of Economics and Management
Downloads 244 (271,008)
Citation 8

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stochastic volatility, volatility of volatility, high frequency data, microstruc- ture, Fourier analysis

4.

Practical Problems in the Numerical Solution of PDE's in Finance

Rendiconti per gli Studi Economici Quantitativi, Università Ca’ Foscari Venezia, Vol. 2001 (2002), 105-132.
Number of pages: 25 Posted: 30 Mar 2013 Last Revised: 02 Apr 2013
Gianluca Fusai, Simona Sanfelici and Aldo Tagliani
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, University of Parma - Dipartimento di Economia and University of Trento - Department of Economics and Management
Downloads 209 (314,745)

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Numerical Solution of PDE, Finite Difference, Finite Elements, Black-Scholes model, Discontinuous Payoff

5.

Early Warning Systems for Identifying Financial Instability

Allaj, E., & Sanfelici, S. (2023). Early Warning Systems for identifying financial instability. International Journal of Forecasting, 39(4), 1777-1803.
Number of pages: 51 Posted: 16 Mar 2021 Last Revised: 17 Apr 2024
Erindi Allaj and Simona Sanfelici
Parma University, Department of Economics and Management and University of Parma - Dipartimento di Economia
Downloads 195 (335,870)

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Financial Crises; Early Warning System; Non-Parametric Estimation; Price- Volatility Feedback Rate; Realized Variance; Logit Regression

6.

Multivariate Volatility Estimation with High Frequency Data Using Fourier Method

Handbook of Modeling High-Frequency Data in Finance, I. Florescu and F. Viens Eds., Wiley, New York, 2011
Number of pages: 53 Posted: 30 Mar 2013 Last Revised: 02 Apr 2013
Maria Elvira Mancino and Simona Sanfelici
University of Florence - Department of Economics and Management and University of Parma - Dipartimento di Economia
Downloads 167 (385,986)

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nonparametric volatility estimation, Fourier analysis, high frequency data, non-synchronicity, microstructure, volatility of volatility, leverage, forecasting, asset allocation

7.

An Improved Two-Step Regularization Scheme for Spot Volatility Estimation

Number of pages: 21 Posted: 19 Jan 2009
Shigeyoshi Ogawa and Simona Sanfelici
Ritsumeikan University, Dept of Math Sci and University of Parma - Dipartimento di Economia
Downloads 141 (444,565)
Citation 3

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Spot volatility, Nonparametric estimation, Multi-step regularization, Microstructure

8.

Assessing the Quality of Volatility Estimators via Option Pricing

Number of pages: 24 Posted: 29 Mar 2013
Simona Sanfelici and Adamo Uboldi
University of Parma - Dipartimento di Economia and European Commission
Downloads 119 (508,395)
Citation 1

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High frequency data, volatility estimation, option pricing

9.

Estimation of Quarticity with High Frequency Data

Quantitative Finance, Vol. 12(4) (2012), pp. 607-622
Number of pages: 28 Posted: 30 Mar 2013 Last Revised: 02 Apr 2013
Maria Elvira Mancino and Simona Sanfelici
University of Florence - Department of Economics and Management and University of Parma - Dipartimento di Economia
Downloads 104 (562,502)

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Volatility, Covariance, Quarticity, Microstructure, Fourier analysis

10.

Climate-related default probabilities

Number of pages: 12 Posted: 24 Oct 2024
Augusto Blanc-Blocquel, Luis Ortiz-Gracia and Simona Sanfelici
Universitat Politècnica de Catalunya (UPC Barcelona Tech), University of Barcelona and University of Parma - Dipartimento di Economia
Downloads 86 (636,414)

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climate risk, credit risk, probability of default, Merton model, temperature anomalies, breakpoint, wavelet regression, Haar wavelets

11.

Identifying the Number of Latent Factors of Stochastic Volatility Models

Number of pages: 41 Posted: 25 Apr 2023 Last Revised: 06 Aug 2024
Erindi Allaj, Maria Elvira Mancino and Simona Sanfelici
Parma University, Department of Economics and Management, University of Florence - Department of Economics and Management and University of Parma - Dipartimento di Economia
Downloads 75 (688,972)

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integrated volatility, microstructure noise effects, price impact, nonparametric estimation

12.

Microstructure Effect on Firm's Volatility Risk

Number of pages: 14 Posted: 29 Mar 2013
Flavia Barsotti and Simona Sanfelici
University of Pisa - Faculty of Economics - Department of Statistics and Applied Mathematics and University of Parma - Dipartimento di Economia
Downloads 74 (694,227)

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market microstructure noise, high-frequency data, non-parametric volatility estimation, Merton model, default probabilities, volatility risk

13.

Calibration of a Nonlinear Feedback Option Pricing Model

Quantitative Finance, Vol. 7(1), 2007, pp. 95-110
Number of pages: 20 Posted: 29 Mar 2013 Last Revised: 02 Apr 2013
Simona Sanfelici
University of Parma - Dipartimento di Economia
Downloads 73 (699,594)

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option pricing, calibration, nonlinear models, dynamic hedging, feedback effects

14.

The Fourier-Malliavin Volatility (FMVol) MATLAB® Library

Number of pages: 25 Posted: 18 Feb 2024
Simona Sanfelici and Giacomo Toscano
University of Parma - Dipartimento di Economia and University of Florence
Downloads 68 (727,338)

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Non-parametric estimation, Fourier analysis, volatility, quarticity, volatility of volatility, leverage, MATLAB

15.

A Numerical Method for Handling Asymptotic Boundary Conditions in Finance

Proceedings della giornata di studio sul tema “Metodi Numerici per la Finanza”, A. Basso, M Corazza, M. Nardon, P. Pianca Eds., Centro stampa Ca’ Foscari, Venezia, 2003, pp. 257-274
Number of pages: 18 Posted: 29 Mar 2013 Last Revised: 02 Apr 2013
Simona Sanfelici
University of Parma - Dipartimento di Economia
Downloads 50 (848,993)

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Infinite Element method, unbounded domain

16.

Optimal Impulse Control on an Unbounded Domain with Nonlinear Cost Functions

Computational Management Science, Vol. 3 (2006), pp. 81-100
Number of pages: 20 Posted: 30 Mar 2013 Last Revised: 02 Apr 2013
Stefano Baccarin and Simona Sanfelici
University of Turin - Department of Statistics and Applied Mathematics and University of Parma - Dipartimento di Economia
Downloads 25 (1,110,029)

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impulse control, stochastic cash management, quasi-variational inequalities, finite element approximation

17.

Covariance Estimation and Dynamic Asset Allocation under Microstructure Effects via Fourier Methodology

“Financial Econometrics Modeling”, G. N. Gregoriou and R. Pascalau Eds., Palgrave-MacMillan, London, UK, 2011, pp. 3-32
Posted: 30 Mar 2013
Simona Sanfelici and Maria Elvira Mancino
University of Parma - Dipartimento di Economia and University of Florence - Department of Economics and Management

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nonparametric covariance estimation, non-synchronicity, microstructure, optimal portfolio choice, Fourier analysis

18.

Robustness of Fourier Estimator of Integrated Volatility in the Presence of Microstructure Noise

Computational Statistics & Data Analysis Vol. 52 (2008) pp. 2966-2989
Posted: 29 Mar 2013
Simona Sanfelici and Maria Elvira Mancino
University of Parma - Dipartimento di Economia and University of Florence - Department of Economics and Management

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integrated volatility, nonparametric estimation, Fourier analysis, microstructure, optimal sampling

19.

Galerkin Infinite Element Approximation for Pricing Barrier Options and Options with Discontinuous Payoff

Decisions in Economics and Finance, Vol. 27(2), 2004, pp. 125-151
Posted: 29 Mar 2013
Simona Sanfelici
University of Parma - Dipartimento di Economia

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