Pubblicazioni

Book

Fanelli, V. (2020). Financial Modelling in Commodity Markets. New York: Chapman and Hall/CRC, https://doi.org/10.1201/9781315184371, ISBN: 978-1-138-73910-9

Journal Papers

C. Frau, V. Fanelli (2023). Seasonality in commodity prices: new approaches for pricing plain vanilla options. Annals of Operations Research, ISSN 15729338, doi: 10.1007/s10479-022-05128-x, Fascia A.

F. Miglietta, F. Di Martino, V. Fanelli (2022). The environmental policy of the Norwegian Government Pension Fund-Global and investors’ reaction over timeBusiness Strategy and the Environment, ISSN 09644733, doi: 10.1002/bse.3324, Fascia A.

Cerqueti, R., & Fanelli, V. (2021). Long memory and crude oil’s price predictability. Annals of Operations Research299(1), 895-906, Fascia A.

Fanelli, V., & Maddalena, L. (2020). "A nonlinear dynamic model for credit risk contagion". Mathematics and Computers in Simulation174, pp. 45-58, Fascia A.

Fanelli V. & Schmeck, M.D., (2019), "On the seasonality of the implied volatility of electricity options", Quantitative Finance, Volume 9(8), pp. 1321-1337, Fascia A.

Cerqueti, R., Fanelli, V., & Rotundo, G., (2019), "Long Run Analysis of Crude Oil Portfolios", Energy Economics, Volume 79, pp. 183-205, Fascia A.

Fanelli, V., & Ryden, A. (2018), “Pricing a Swing Contract in a Gas Sale Company,” Economics, Management, and Financial Markets, Volume 13(2), pp. 40–55.

Fanelli, V. (2017), "Implications of implicit credit spread volatilities on interest rate modelling", European Journal of Operational Research, Volume 263(2), pp. 707–718, Fascia A.

Fanelli, V., & Ryden, A. (2016), "The Hybrid Pricing System of European Natural Gas", The Empirical Economics Letters, Volume 15(10), pp. 975-983.

Fanelli, V., Maddalena, L., & Musti, S. (2016), "Asian options pricing in the day-ahead electricity marke",. Sustainable Cities and Society, Volume 27, pp. 196-202.

Fanelli, V., Maddalena, L., & Musti, S. (2016), "Modelling electricity futures prices using seasonal path-dependent volatility", Applied Energy, Volume 173, pp.  92–102.

Fanelli, V. (2016), "A Defaultable HJM Modelling of the Libor Rate for Pricing Basis Swaps after the Credit Crunch", European Journal of Operational Research, Volume 249(1), pp. 238–244, Fascia A.

Fanelli, V., Maddalena, L., & Musti, S. (2015), "Electricity market equilibrium model with seasonal volatilities", Procedia Engineering, Volume 118,pp. 1217–1224.

Fanelli, V., & A. Lesca, A. (2014), "Natural Gas Statistical Arbitrage: A systematic approach", Argo, New Frontiers in Practical Risk Management, Issue n. 4.

Fanelli, V., & Maddalena, L. (2012), "A time delay model for the diffusion of a new technology", Nonlinear Analysis: Real World Applications, Volume 13 (2), pp. 643-649, Fascia A.

Fanelli, V., Maddalena, L., & Musti, S. (2012), "Investigating the diffusion of renewable energy technologies in Italy", Advances and Applications in Mathematical Sciences, Volume 12(1), pp. 59-70,  ISSN: 0974-6803

Chiarella, C, Fanelli, V., & Musti, S. (2011), "Modelling the evolution of Credit Spreads using the Cox process within the HJM framework: a CDS option pricing model", European Journal of Operational Research, Volume 208(2), pp. 95-108, Fascia A.

Fanelli, V., & Maddalena, L. (2011), "A mathematical model for renewable technology diffusion", Proc. Mathematica Italia User Group meeting. Università di Torino, ISBN: 9788896810026

Fanelli, V., & Musti, S. (2010), "Why did CPDOs fail? An analysis focused on credit spread modeling", International Review of Applied Financial Issues and Economics, in press, Volume 2(4).

Book Chapters

Dell'Atti S., Fanelli V., Miglietta F. (2021), "Norwegian Pension Fund’s Portfolio: What Happens to the Companies Divested for Environmental Concerns?" In: Contemporary Issues in Sustainable Finance, Palgrave.

Fanelli, V (2015) “Commodity-linked Arbitrage Strategies and Portfolio Management”. In Handbook of Multi-Commodity, markets and products, Structuring, Trading and Risk Management, edited by A. Roncoroni, G. Fusai, and M. Cummins, the Wiley Finance Series, ISBN: 978-0-470-74524-3.

Fanelli, V., Maddalena, L., & Musti, S. (2012), “La diffusione di tecnologie per la produzione di energia da fonte rinnovabile in Puglia: modelli a confronto”. In: Lucia Maddalena. Lo sviluppo dele energie alternative: il caso Puglia, Milano:Franco Angeli, ISBN: 9788820408893

Fanelli, V., Maddalena, L., & Musti, S. (2012), “Implementazione di un modello di equilibrio per la determinazione del prezzo forward dell’energia elettrica”. In: Lucia Maddalena. Lo sviluppo dele energie alternative: il caso Puglia, Milano:Franco Angeli, ISBN: 9788820408893

Fanelli, V. (2006) “Nonlinear phenomena: turbulences and correlations in financial markets. Beyond Black and Scholes”. In Econofisica, Metodi per l’Economia, Collana Interdipartimentale di Studi Economici, vol.11, pp. 49-62, Edizioni Scientifiche Italiane, Napoli, ISBN: 88-495-1325-9.

Azioni sul documento

published on 02/09/2013 ultima modifica 13/03/2023