Simona Sanfelici

University of Parma - Dipartimento di Economia

Via Kennedy 6

Parma, Parma 43100

Italy

SCHOLARLY PAPERS

16

DOWNLOADS
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933

CITATIONS
Rank 24,165

SSRN RANKINGS

Top 24,165

in Total Papers Citations

11

Scholarly Papers (16)

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 224 (108,266)

Abstract:

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 166 (138,302)
Citation 4

Abstract:

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
University of Parma - Dipartimento di Economia, University of Ulm and University of Florence - Department of Economics and Management
Downloads 73 (185,946)

Abstract:

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

4.

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 59 (281,921)

Abstract:

High frequency data, volatility estimation, option pricing

5.

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 54 (264,875)

Abstract:

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

6.

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 49 (316,385)
Citation 3

Abstract:

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

7.

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 Università degli Studi di Trento - Department of Economics and Management
Downloads 40 (273,172)

Abstract:

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

8.

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 27 (362,266)

Abstract:

Volatility, Covariance, Quarticity, Microstructure, Fourier analysis

9.

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 22 (395,977)

Abstract:

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

10.

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 12 (428,215)
Citation 1

Abstract:

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

11.

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 6 (510,531)

Abstract:

Infinite Element method, unbounded domain

12.

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 5 (519,772)

Abstract:

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

13.

An Improved Two‐Step Regularization Scheme for Spot Volatility Estimation

Economic Notes, Vol. 40, Issue 3, pp. 105-132, 2011
Number of pages: 28 Posted: 28 Jan 2012
Shigeyoshi Ogawa and Simona Sanfelici
Ritsumeikan University, Dept of Math Sci and University of Parma - Dipartimento di Economia
Downloads 2 (540,692)
Citation 3
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Abstract:

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14.

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

Abstract:

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

15.

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

Abstract:

16.

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

Abstract:

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