Pubblicazioni

 

1.1.  Articles in journals (peer-reviewed)


1.       "On extensive dynamics of a Cournot heterogeneous model with optimal response" – with M. Lampart and A. Lampartova, Chaos, 16 February 2022, https://aip.scitation.org/doi/pdf/10.1063/5.0082439

2.       "Simulating heterogeneous corporate dynamics via the Rulkov map ", Structural Change and Economic Dynamics, 9 February 2022, https://doi.org/10.1016/j.strueco.2022.02.003

3.       "Financial markets' deterministic aspects modeled by a low-dimensional equation" - with R. Stoop and M. Bufalo, Scientific Reports, 1 February 2022, www.nature.com/articles/s41598-022-05765-z

4.       "Stochastic Local Volatility models and the Wei-Norman factorization method" – with J. Guerrero, Discrete and Continuous Dynamical Systems Series S, accepted 04 January 2022, DOI:10.3934/dcdss.2022026

5.       "An Improved Barone-Adesi Whaley Formula for Turbulent Markets" – with M. Bufalo, Journal of Computational and Applied Mathematics, 14 December 2021 https://www.sciencedirect.com/science/article/abs/pii/S0377042721005872

6.       "Modelling bursts and chaos regularization in credit risk with a deterministic nonlinear model" – with M. Bufalo, Finance Research Letters, ABS2, 10 December 2021 https://doi.org/10.1016/j.frl.2021.102599

7.       "Challenging Times for Insurance, Banking and Financial Supervision in Saudi Arabia (KSA)" – with E. Bace, Administrative Sciences, Adm. Sci. 2021, 11(3), 62; 24 June 2021 https://doi.org/10.3390/admsci11030062

8.       "A Note on the Computation of the Modular Inverse for Cryptography" – with D. Bufalo and M. Bufalo, Axioms 2021, 10(2), 116, 9 June 2021, https://doi.org/10.3390/axioms10020116

9.       "Empirical evidences on the interconnectedness between sampling and asset returns' distributions" – with M. Bufalo, Risks 2021, 9(5), 88, 8 May 2021, https://www.mdpi.com/2227-9091/9/5/88

10.   "Interest rates forecasting: between Hull and White and the CIR#. How to make a single factor model work" – with M. Bufalo, Journal of Forecasting, ABS2, 2 May 2021, https://onlinelibrary.wiley.com/doi/10.1002/for.2783

11.   "Non-performing loans for Italian companies: When time matters. An empirical research on estimating Probability to Default and Loss Given Default" – with R. Pelosi - International Journal of Financial Studies, Journals, Vol. 8, Issue 4, 9 November 2020, https://www.mdpi.com/2227-7072/8/4/68/htm

12.   "Challenges in approximating the Black and Scholes call formula with hyperbolic tangents " - with M. Mininni and G. Taglialatela - Decisions in Economics and Finance, ABS1, 13 September 2020, https://doi.org/10.1007/s10203-020-00305-8

13.   "On the approximation of the Black and Scholes call function" - with G. Taglialatela - Journal of Computational and Applied Mathematics, 28 August 2020, https://www.sciencedirect.com/science/article/abs/pii/S0377042720304453

14.   "Business Cycle Modeling Between Financial Crises and Black Swans: Ornstein-Uhlenbeck Stochastic Process versus Kaldor Deterministic Chaotic Model" - with G. Zimatore - Chaos, Vol.30, Issue 8, 14 August 2020, https://aip.scitation.org/doi/pdf/10.1063/5.0015916

15.   "Recurrence Quantification Analysis on a Kaldorian Business Cycle Model"- with G. Zimatore - Nonlinear Dynamics, 18 February 2020, http://link.springer.com/article/10.1007/s11071-020-05511-y

16.   "Forecasting interest rates through Vasicek and CIR models: a partitioning approach"- with R.M. Mininni and M. Bufalo - Journal of Forecasting, Vol. 39 No. 4, pp. 569-579, ABS2, 12 December 2019, https://onlinelibrary.wiley.com/doi/abs/10.1002/for.2642

17.   "A New Approach to Forecast Market Interest Rates Through the CIR Model", with R.M. Mininni and M. Bufalo - Studies in Economics and Finance, Emerald Publishing, Volume 37, Issue 2, ABS1, 20 September 2019, https://doi.org/10.1108/SEF-03-2019-0116

18.   "Interest Rates Calibration with a CIR Model" - with R.M. Mininni and M. Bufalo - Journal of Risk Finance, Vol. 20 No. 4, pp. 370-387. Emerald Publishing, ABS1, 14 September 2019, https://doi.org/10.1108/JRF-05-2019-0080

19.   "An Empirical Test on Harrod's Open Economy Dynamics"- with F. Della Rossa - Mathematics, MDPI, Mathematics, 7 (6), 524, 8 June 2019, https://doi.org/10.3390/math7060524

20.   "Recurrence Quantification Analysis on The Business Cycles" - with G. Zimatore - Chaos, Solitons & Fractals, 17 March 2018, DOI: org/10.1016/ j.chaos.2018.02.032 https://www.sciencedirect.com/science/article/pii/S0960077918300924

21.   "RQA correlations on real business cycles" – with G. Zimatore - Indian Academy of Sciences Conference Series (2017) Vol 1, Issue 1, DOI: 10.29195/iascs.01.01.0009, December 2017, http://www.ias.ac.in/article/fulltext/conf/001/01/0035-0041

22.    "A Review on Implied Volatility Calculation" - with G. Taglialatela - Journal of Computational and Applied Mathematics, Volume 320, 202–220, 15 August 2017, https://www.sciencedirect.com/science/article/pii/S0377042717300602

23.   "A Discrete Mathematical Model for Chaotic Dynamics in Economics: Kaldor's Model on Business Cycle" –Mathematics and Computers in Simulation, 18 January 2016, https://www.sciencedirect.com/science/article/abs/pii/S0378475416000045

24.    "A Parametric Approach to Counterparty and Credit Risk" - with M. Haertel –Journal of Credit Risk, Volume 10, Issue 4, ABS1, 19 December 2014, https://www.risk.net/journal-of-credit-risk/2385704/a-parametric-approach-to-counterparty-and-credit-risk

 

1.2.  Book chapters (peer-reviewed)

  1. Preface to the book "Modern Financial Engineering, Counterparty, Credit, Portfolio and Systemic Risks", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_fmatter
  2. "Distributions Commonly Used in Credit and Counterparty Risk Modeling", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_0001
  3. "Poisson Processes", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_0002
  4. "Estimation Techniques", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_0003
  5. "Basic Definitions", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_0004
  6. "Banking Regulation Before the Crisis", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_0005
  7. "The Financial Crisis of the XXI-st Century", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_0006
  8. "Credit Risk Regulation After the Crisis", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_0007
  9. "Probability of Default (PD)", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_0008
  10. "Loss Given Default (LGD)", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_0009
  11. "Other Credit Risk Components and Portfolio Risk", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_0010
  12. "Model Validation and Audit", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_0011
  13. "EAD Modeling", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_0012
  14. "EAD-Related Issues", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_0013
  15. "Correlation-Driven Issues", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_0014
  16. "Credit Risk Models", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_0015
  17. "Correlation-Driven Issues", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_0014
  18. "Credit Risk Models", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_0015
  19. "Sector Analysis", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_0016
  20. "Estimating PD and LGD for Modeling Non-Performing Loans: The Case of Italy", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_0017

21.   "Default Correlations", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_0018

22.   "Credit Default Swap (CDS)", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_0019

23.   "Diversifying the Economy for Systemic Risk Reduction: The Case of the Kingdom of Saudi Arabia (KSA)", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_0020

24.   "Systemic Risk Regulation", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_0021

25.   Concluding Remarks to the book "Modern Financial Engineering, Counterparty, Credit, Portfolio and Systemic Risks", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/9789811252365_bmatter

26.   "An Empirical Test of Harrod's Model" with F. Della Rossa - In book: "Nonlinearities in Economics", Springer, 3 September 2021, https://link.springer.com/chapter/10.1007/978-3-030-70982-2_18

27.   "Recurrence Quantification Analysis of Business Cycles" with G. Zimatore- In book: "Nonlinearities in Economics", Springer, 3 September 2021, https://link.springer.com/chapter/10.1007/978-3-030-70982-2_17

  1. "Growth and Cycles as a Struggle: Lotka–Volterra, Goodwin and Phillips" with M. Sportelli - In book: "Nonlinearities in Economics", Springer, 3 September 2021, https://link.springer.com/chapter/10.1007/978-3-030-70982-2_14
  2. "Kaldor–Kalecki New Model on Business Cycles" - In book: "Nonlinearities in Economics", Springer, 3 September 2021, https://link.springer.com/chapter/10.1007/978-3-030-70982-2_16
  3. "The Harrod Model" with M. Sportelli and F. Della Rossa- In book: "Nonlinearities in Economics", Springer, 3 September 2021, https://link.springer.com/chapter/10.1007/978-3-030-70982-2_13
  4. "Trade-Cycle Oscillations: The Kaldor Model and the Keynesian Hansen–Samuelson Principle of Acceleration and Multiplier" with M. Sportelli - In book: "Nonlinearities in Economics", Springer, 3 September 2021, https://link.springer.com/chapter/10.1007/978-3-030-70982-2_12
  5. "On Business Cycles and Growth" with M. Sportelli- In book: "Nonlinearities in Economics", Springer, 3 September 2021, https://link.springer.com/chapter/10.1007/978-3-030-70982-2_11
  6. "Recurrence Quantification Analysis: Theory and Applications" with G. Zimatore and A. Giuliani- In book: "Nonlinearities in Economics", Springer, 3 September 2021, https://link.springer.com/chapter/10.1007/978-3-030-70982-2_10
  7. "Applied Spectral Analysis" with F. Della Rossa, J. Guerrero and G. Taglialatela - In book: "Nonlinearities in Economics", Springer, 3 September 2021, https://link.springer.com/chapter/10.1007/978-3-030-70982-2_9
  8. "Embedding Dimension and Mutual Information" with R. Stoop and G. Taglialatela - In book: "Nonlinearities in Economics", Springer, 3 September 2021, https://link.springer.com/chapter/10.1007/978-3-030-70982-2_7
  9. "Chaos" with G. Taglialatela - In book: "Nonlinearities in Economics", Springer, 3 September 2021, https://link.springer.com/chapter/10.1007/978-3-030-70982-2_6
  10. "Bifurcations" with G. Taglialatela - In book: "Nonlinearities in Economics", Springer, 3 September 2021, https://link.springer.com/chapter/10.1007/978-3-030-70982-2_4
  11. "An Example of Nonlinear Dynamical System: The Logistic Map" with G. Taglialatela - In book: "Nonlinearities in Economics", Springer, 3 September 2021, https://link.springer.com/chapter/10.1007/978-3-030-70982-2_3
  12. "Dynamical Systems" with G. Taglialatela - In book: "Nonlinearities in Economics", Springer, 3 September 2021, https://link.springer.com/chapter/10.1007/978-3-030-70982-2_2
  13. "RQA correlations on business cycles: A comparison between real and simulated data" with G. Zimatore - In book: "Advances on Nonlinear Dynamics of Electronic Systems", World Scientific Publishing, 1 January 2019,  https://doi.org/10.1142/9789811201523_0012
  14. "A New Approach to CIR Short Term Rates Modelling" - with R.M. Mininni and M. Bufalo - In book: "New Methods in Fixed Income Modeling", Springer, 19 August 2018,  https://link.springer.com/chapter/10.1007/978-3-319-95285-7_2
  15. "Chaotic Businesses cycles within Kaldor-Kalecki Framework'" - In book: "Nonlinear Dynamical Systems with Self-Excited and Hidden Attractors", DOI 10.1007/978-3-319-71243-7_6, 27, February 2018, https://link.springer.com/chapter/10.1007/978-3-319-71243-7_6

 

1.3.  Books

    1. Corresponding editor and coauthor of the book "Non-Linearities in Economics: An Interdisciplinary Approach to Economic Dynamics, Growth and Cycles", DOI 10.1007/978-3-030-70982-3, September 2021 https://link.springer.com/book/10.1007%2F978-3-030-70982-2?page=1#toc
  1. Editor and first author of the book "Modern Financial Engineering, Counterparty, Credit, Portfolio and Systemic Risks", with M. Bufalo, H. Penikas and C. Zurlo, World Scientific, January 2022, https://doi.org/10.1142/12725

 

 

View my research on my SSRN Author page: http://ssrn.com/author=2129018

Azioni sul documento

pubblicato il 08/04/2014 — ultima modifica 30/11/2023