Pubblicazioni

Original papers

1. M. Bufalo, R. M. Mininni, S. Romanelli, A Semigroup Approach to Generalized Black-Scholes-Type Equation in Incomplete Markets, Journal of Mathematical Analysis and Applications 477(2), 1195-1223 (2019);

2. G. Orlando, R. M. Mininni, M. Bufalo, Interest Rates Calibration with a CIR Model, Journal of Risk Finance 20(4), 370-387 (2019);

3. G. Orlando, R. M. Mininni, M. Bufalo, A New Approach to Forecast Market Interest Rates through the CIR Model, Studies in Economics and Finance 37(2), 267-292 (2019);

4. G. Orlando, R. M. Mininni, M. Bufalo, Forecasting Interest Rates through Vasicek and CIR Models: a Partitioning Approach, Journal of Forecasting 39(4), 569-579 (2020);

5. A. Attalienti, M. Bufalo, Option Pricing Formulas under a Change of Numèraire, Opuscula Mathematica 40(4), 451-473 (2020);

6. G. Orlando, M. Bufalo, Empirical Evidences on the Interconnectedness between Sampling and Asset Returns’ Distributions, Risks 9(5), 88 (2021);

7. G. Orlando, M. Bufalo, Interest Rates Forecasting: between Hull and White and the CIR#. How to Make a Single Factor Model Work, Journal of Forecasting 40(8), 1566-1580 (2021);

8. M. Bufalo, D. Bufalo, G. Orlando, A Note on the Computation of the Modular Inverse for Cryptography, Axioms 10(2), 116 (2021);

9. G. Orlando, M. Bufalo, Modelling Bursts and Chaos Regularization in Credit risk with a Deterministic Nonlinear Model, Finance Research Letters 47(8), 102599 (2021);

10. M. Bufalo, G. Orlando, An Improved Barone-Adesi and Whaley Formula for Turbolent Markets, Journal of Computational and Applied Mathematics 406(11), 113993 (2022);

11. M. Bufalo, A. di Bari, G. Villani, Multi-stage Real Option Evaluation with Double Barrier under Stochastic Volatility and Interest Rate, Annals of Finance 18(3), 247-266 (2022);

12. G. Orlando, M. Bufalo, R. Stoop, Financial markets’ deterministic aspects modeled by a low dimensional equation, Scientific Reports 12, 1693 (2022);

13. A. Attalienti, M. Bufalo, Expected vs. Real Transaction Costs in European Option Pricing, Discrete and Continuous Dynamical Systems – Series S 15(12), 3517-3539(2022);

14. M. Bufalo, B. Liseo, G. Orlando, Forecasting Portfolio Returns with Skew-Geometric Brownian Motions, Applied Stochastic Models in Business and Industry 38(4), 620-650 (2022);

15. G. Orlando, M. Bufalo. A Generalized Two-Factor Square-Root Approach for Modelling Occurrences of Natural Catastrophes, Journal of Forecasting 41(8), 1608-1622 (2022);

16. M. Biancardi, M. Bufalo, A. Di Bari, G. Villani. Flexibility to Switch Project Size: A real Option Application for Photovoltaic Investment Valuation, Communications in Nonlinear Science and Numerical Simulation 116(3), 106869 (2023);

17. R. Stoop, G. Orlando, M. Bufalo, F. Della Rossa. Exploiting Deterministic Features in Apparently Stochastic Data. Scientific Reports 12(1), 19843 (2022);

18. M. Bufalo, G. Orlando. A Three-factor Stochastic Model for Forecasting Production of Energy Materials, Finance Research Letters 51(24), 103356 (2023);

19. M. Biancardi, M. Bufalo, A. Di Bari, G. Villani. A Valuation of a Corn Ethanol Plant through a Compound Options Model under Skew-Brownian Motions. Annals of Operations Research 336, 1063-1087 (2023);

20. M. Bufalo, D. Bufalo, G. Orlando. Some Properties of the Computation of the Modular Inverse with Applications in Cryptography. Computation 11(4), 70 (2023);

21. M. Bufalo, A. Di Bari, G. Villani. A Compound up-and-In Call like Option for Wind Projects Pricing. Risks 11(5), 90 (2023);

22. M. Bufalo, G. Orlando. Improved Tourism Demand Forecasting with CIR# Model: A Case Study of Disrupted Data Patterns in Italy. Tourism Review, 79(2), 445-464 (2023);

23. G. Orlando, M. Bufalo. Time Series Forecasting with the CIR# Model: from Hectic Markets Sentiments to Regular Seasonal Tourism. Technological and Economic Development of Economy 29(4), 1216 – 1238 (2023);

24. D. Bufalo, M. Bufalo, G. Orlando, R. Tetta. A New Algorithm to Find Prime Numbers with Less Memory Requirements. Journal of Discrete Mathematical Science and Cryptography 26(4), 1213-1236 (2023);

25. G. Ascione, M. Bufalo, G. Orlando. Modeling Volatility of Disaster-Affected Populations: A Non-Homogeneous Geometric-Skew Brownian Motion Approach. Communications in Nonlinear Science and Numerical Simulation 130, 107761 (2024);

26. C. Ceci, M. Bufalo, G. Orlando. Modelling the Industrial Production of Electric and Gas Utilities through the 〖CIR〗^3 Model. Mathematics and Financial Economics 18(1), 1-25 (2024);

27. M. Bufalo, C. Ceci, G. Orlando, Addressing the Financial Impact of Natural Disasters in the Era of Climate Change. North American Journal of Economics and Finance 73(1), 102152 (2024);

28. G. Ascione, M. Bufalo, G. Orlando. Credit default swap spreads modeling and forecasting with a stochastic square-root three-factor model. Journal of Computational and Applied Mathematics, 451(12), 115993 (2024);

29. M. Bufalo, V. Fanelli, Modelling the Chinese crude oil futures returns through a skew-geometric Brownian motion correlated with the market volatility index process for pricing financial options. Applied Stochastic Models in Business and Industry 40(5), 1377-1401 (2024);

30. M. Biancardi, M. Bufalo, A. Di Bari, G. Villani, A strategic options game approach to support PPP investment decisions under risk-sharing mechanisms. Annals of Operations Research, doi: 10.1007/s10479-024-06155-6 (2024);

31. M. Bufalo, B. Liseo, G. Orlando, Skew–Brownian processes for estimating the volatility of crude oil Brent. International Journal of Forecasting 41(2), 763-780 (2024);

32. G. Ascione, M. Bufalo, G. Orlando, R. Quadrini. Balancing the grid: mitigating the effects of renewable energy in Italy via skew modeling and forecasting. Annals of Operations Research, doi: 10.1007/s10479-024-06256-2 (2024);

33. M. Bufalo, A. Nigri. Forecasting vital rates by a trimodal extension of the flexible generalized skew normal probability density function. Statistics: A Journal of Theoretical and Applied Statistics, doi:10.1080/02331888.2024.2422376 (2024);

34. F. Cesarone, A. Di Paolo, M. Bufalo, G. Orlando. A benchmark-asset principal component factorization for index tracking on large investment universes. Finance Research Letters 79(3), 107244 (2025);

35. M. Bufalo, V. Fanelli. A seasonal two-factor model for solar energy production: A climate extreme events analysis. Energy Economics 148, 108611 (2025);

36. M. Bufalo, V. Fanelli. Advanced Operator Theory for Energy Market Trading: A New Framework. Risk 13(7), 118 (2025);

37. G. Ascione, M. Bufalo, G. Orlando. Cost and severity of natural catastrophes in extreme events: implications for society and insurances. Annals of operations Research, doi:10.1007/s10479-025-06708-3 (2025);

38. G. Orlando, M. Bufalo, V. Nazarova. Modeling COVID-19 response in Cuba: a hybrid approach combining agent-based modeling and time series analysis. Population Health Metrics 23(1), doi:10.1186/s12963-025-00433-6 (2025);

39. M. Bufalo, A. Di bari, G. Villani. Modelling Solar Energy Projects Performance Through Compound Exchange Options with Jump Processes. Computational Economics, doi:10.1007/s10614-026-11317-8 (2026).

Book chapters

1. G. Orlando, R. M. Mininni, M. Bufalo, A New Approach to CIR Short-Term Rates Modelling. In M. Mili, F. di Pietro and R. Samaniego Medina (Eds.), New Methods in Fixed Income Modeling, 35-44, Springer International (USA) (2018);

2. M. Biancardi, M. Bufalo, A. Di Bari, G. Villani, Wind Farm Evaluation Under Real Options Approach. In M. Corazza, F. Gannon, F. Legros, C. Pizzi, V. Touzé. (Eds), Mathematical and Statistical Methods for Actuarial Sciences and Finance, 55-60, MAF 2024. Springer Cham, doi:10.1007/978-3-031-64273-9_10 (2024);

3. M. Bufalo, A. Nigri. Trimodal Extension Based on the Flexible Generalized Skew-Normal Distribution. In A. Pollice, P. Mariani (Eds.), Methodological and Applied Statistics and Demography III, 297-302, SIS 2024, Italian Statistical Society Series on Advances in Statistics. Springer, Cham, doi:10.1007/978-3-031-64431-3_50 (2024);

Book

1. G. Orlando, M.Bufalo, H. Penikas, C. Zurlo, Modern Financial Engineering: Counterparty, Credit, Portfolio and Systemic Risks, World Scientific, isbn: 978.981.125.235.8 (2022), doi: 10.1142/12725.