Pubblicazioni

1. 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. 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);

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

4. 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);

5. 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);

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

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

8. 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);

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

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

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

12. 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);

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

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

15. 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);

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

17. 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), doi: 10.1016/j.cnsns.2022.106869 (2023);

18. Bufalo, G. Orlando. A Three-factor Stochastic Model for Forecasting Production of Energy Materials, Finance Research Letters 51(24), doi: 10.1016/j.frl.2022.103356 (2023);

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

20. 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, doi: 10.1007/s10479-023-05249-x (2023).

Book

1. 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.