University of Bologna - Department of Statistics
Copula functions,Stochastic Processes, Option Pricing, Markov Processes
Risk management, Option hedging, Expected shortfall
Risk management, Spectral risk measures, Expected shortfall, Risk aversion
Optimal hedging, Skew-normal distribution, Basis risk
bond pricing, fiscal policy, term structure of interest rates
option pricing, rough Heston model, Fourier expansion, COS method, Fast Fourier methods
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Diamonds, Precious metals, Diversification, Copula functions, Tail dependence
Optimal hedge ratio, Option hedging, Spectral risk measures, Copula function.
Optimal hedge ratio, Quantile risk measures, Copula function
stochastic volatility, superreplication, stochastic optimal control, Hamilton-Jacobi-Bellman
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