SELECTED PAPERS 10/7/2015

Transcription

1 SELECTED PAPERS 10/7/2015 ARTICOLI SOTTO REFERAGGIO [1] Rosella Giacometti, Frank J. Fabozzi, Naoshi Tsuchida(2015) Factor decomposition of the Eurozone sovereign CDS spreads submitted to Journal of International Money and Finance ARTICOLI REFERATI e PUBBLICATI [2] Vincenzo Russo, Rosella Giacometti, Svetlozar T. Rachev, and Frank J. Fabozzi, A Three-Factor Model For Mortality Modeling. (2015) The North American Actuarial Journal Vol 19(2) 2015 [3] Pianeti, Giacometti, Estimating the probability of multiple EU sovereign defaults using CDS and bond data (2015), Quantitative Finance Vol 15(1) pages DOI / [4] Giacometti R., Ortobelli S., Tichy T. (2015) Dispersion measures consistent with additive shifts, Accepted to Prague Economic Papers Vol 24(1), pp ISSN [5] Naoshi Tsuchida, Rosella Giacometti, Frank J. Fabozzi, Young Shin Kim, Robert J. Frey.(2014) Time Series and Copula Dependency Analysis for Eurozone Sovereign Bond Returns. The Journal of Fixed Income, 2014; 24 (1) DOI: /jfi [6] Xiaoping Zhou, Rosella Giacometti, Frank J. Fabozzi, Ann H. Tucker (2014) Bayesian estimation of truncated data with applications to operational risk measurement accepted in Quantitative Finance, [7] Bertocchi, R. Giacometti, M.C.Recchioni, F.Zirilli (2013) "Pricing life insurance contracts as financial options: the endowment policy case, _Far East Journal of Mathematical Sciences_, Special Volume, Part I, Pages

2 [8] R. Giacometti, M.T. Vespucci, M. Bertocchi, G. Barone-Adesi (2013) Deterministic and stochastic models for hedging electricity portfolio of a hydropower producer, _Statistica & Applicazioni Special Issue), [9] Gurny M., Ortobelli Lozza S., Giacometti R. (2013) "Structural Credit Risk Models with Subordinated Processes," Journal of Applied Mathematics, vol. 2013, Article ID , 12 pages, doi: /2013/ [10] R. Giacometti, M.T. Vespucci, M. Bertocchi, G. Barone-Adesi (2013) A stochastic model for hedging electricity portfolio for an hydro-energy producer, 1-26, accepted in Statistica & Applicazioni. [11] Kim, Giacometti, Rachev, Fabozzi, Mignacca(2012) "Measuring Financial Risk and Portfolio Optimization with a Non-Gaussian Multivariate Model". Annals of Operations Research (2012) Vol 201 pp : DOI /s Isi WOS: [12] Pianeti, Giacometti,Acerbis (2012) Estimating the joint probability of default using CDS and bond data The Journal of Fixed Income Winter 2012, Vol. 21, No. 3: pp DOI: /jfi Sc opus 2-s [13] R.Giacometti, R,Castellano (2012) Credit Default Swaps: Implied ratings versus Official Ones 4OR-Q J Oper Res 2012, Volume 10, Issue 2, pp DOI /s Isi WOS: [14] Giacometti, Bertocchi, Rachev, Fabozzi(2012) A comparison of Lee-Carter and an AR-Arch model for forecasting mortality Insurance: Mathematics and Economics Volume 50, Issue 1, January 2012, Pages Doi. / /j.insmatheco ISI WOS: [15] Giacometti, Ortobelli, S., R., Bertocchi, M.I., (2011). A stochastic model for mortality rate on Italian data. Journal of Optimization Theory and Applications.. 149(1), ( Doi: /s ISI WOS:

3 [16] Vincenzo Russo, Rosella Giacometti, Sergio Ortobelli, Svetlozar Rachev, Frank J. Fabozzi (2011) Calibrating affine stochastic mortality models using term assurance premium. Insurance: Mathematics and Economics. 49(1), Doi: /j.insmatheco Isi WOS: [17] Giacometti R. Vespucci M.T., Bertocchi M. (2010) A multistage stochastic electricity portfolio model with forward contracts. MASS 2010 Conference Proceedings (CD Format). IEEE Catalog Number: CFP1041H-CDR ISBN: ISSN [18] R. Giacometti. D. Mignacca (2010) Using Black and Litterman framework for stress testing analysis in asset management Journal of Asset Management Vol. 11, 4, Doi /jam Scopus 2-s [19] L articolo e stato segnalato nel Nomura Journal Round Up nel 2011 Twice a year we compile a list of what we consider to be the most interesting journals on Quantitative Investment. We select articles based on whether the subject matter is interesting, and also whether they are representative of the trends that we are witnessing in the industry. [20] F. Maggioni; M. Bertocchi; R. Giacometti; M. T. Vespucci; M. Innorta; E. Allevi(2010) A stochastic optimization model for gas retail with temperature scenarios and oil price parameters, IMA Journal of Management Mathematics 2009; ISI WOS: [21] Giacometti, Bertocchi Ortobelli(2009) "Impact of different distributional assumptions in forecasting italian mortality rates" Investment Management and Financial Innovations 6,3 p [22] R. Giacometti,S. Rachev, A. Chernobai, M. Bertocchi (2008), Aggregation Issues in Operational Risk, Journal of Operational Risk, 3 (3), [23] Giacometti R., Rachev S. T. (2008), Funds of Hedge Funds: a Comparison among Different Portfolio Optimization Models implementing the Zero-Investment Strategy Investment, Management and Financial Innovation; 5(3) [24] R. Giacometti,, S. T. Rachev, A. S.,Chernobai, M. Bertocchi, G. Consigli,(2007) Heavy-tailed distributional model for operational losses, Journal of Operational Risk: 2(1), 2007.

4 [25] R. Giacometti, M. Bertocchi, S. T. Rachev and F.J. Fabozzi (2007) Stable distributions in the Black-Litterman approach to the asset allocation, Quantitative Finance, 2007, Volume 7, Issue 4, [26] M. Bertocchi, R. Giacometti, S. Zenios (2005) Risk factor analysis and portfolio optimisation in the corporate bond market, European Journal of Operational Research Vol 161, Issue 2, , March [27] R. Giacometti, M. Teocchi (2005) On pricing of Credit spread options, European Journal of Operational Research Vol 163(2005) [28] M. Bertocchi, R. Giacometti, S. Ortobelli, S. Rachev(2005) The Impact Of Different Distributional Hypotheses On Returns In Asset Allocation, Finance Letters, 2005 Volume 1, Issue 3. edito da Global EcoFinance, UK. [29] J. Abaffy, M. Bertocchi, J. Dupacova, R. Giacometti,M. Huskova, V. Moriggia,(2003) A non parametric model for the analysis of the EURO yield curve Journal of Economic Dynamic and Control [30] R. Castellano, R Giacometti (2001), Performance of a Hedged portfolio Model in presence of Extreme events. Computational economics 17, , June 2001 Kluwer Academic Publishers. [31] M. Bertocchi, R. Giacometti e L. Slominski (2000) Bond portfolio management with repo contracts: the Italian case Annals of Operational Research [32] R. Giacometti (1999) On Optimal design of treasury bonds Computational Economics Volume 13, n.1 February 1999 pp Kluwer Academic Publishers,1999. [33] M. Bertocchi, R.Giacometti(1993) " Global continuous optimization: a parallel genetic approach" (coautore M. Bertocchi): "Special Issue on PASE'93. Neural Network World", M. Novak, volume 3, numero 6, , CAPITOLI DI LIBRI

5 [34] BERTOCCHI, MARIA, GIACOMETTI, ROSELLA, VESPUCCI, MARIA TERESA, (2015). Risk measures and management in the energy sector. In Zopounidis, Constantin; Galariotis, Emilios (Eds.), Quantitative Financial Risk Management: Theory and Practice John Wiley & Sons, Inc.. [35] Giacometti, Chapter 6: Credit derivatives in Bertocchi M., Consigli G., D Ecclesia R., Giacometti R., Moriggia V., Ortobelli L.S. (2013) "Euro Bonds: Markets, Infrastructure and Trends World Scientific Book. [36] Giacometti, Chapter 8:Securitisation in Bertocchi M., Consigli G., D Ecclesia R., Giacometti R., Moriggia V., Ortobelli L.S. (2013) "Euro Bonds: Markets, Infrastructure and Trends World Scientific Book. [37] Giacometti R. Vespucci M.T., Bertocchi M. Barone Adesi. Hedging electricity portfolio for an hydro-energy producer via stochastic programming in "Stochastic Optimization Methods In Finance And Energy - New financial products and strategies in liberalised energy markets". M.Bertocchi, G.Consigli, M.A.H.Dempster Eds, Springer International Series in Operations Research & Management Science [38] R.Giacometti, C. Nuzzo(1994) " Embedded option pricing on interest rate sensitive securities in the Italian market" in Operations Research Models Quantitative Finance, R.L. D'Ecclesia e S. Zenios eds, Physica-Verlag, Heidelberg, [39] R. Giacometti, M. Bertocchi, S. T. Rachev and F.J. Fabozzi (2008) Stable distributions in the Black-Litterman approach to the asset allocation, in Introduction to Quantitative Fund Management, Chapman & Hall/CRC Financial Mathematics Series Volume: 17 [40] R. Giacometti, S. Ortobelli Lozza (2004) Risk measures for asset allocation models in New Risk Measures for Investment and Regulation - Editor Giorgio Szego Wiley&sons [41] R.Giacometti, M. Teocchi (2002) La composizione di un portafoglio di attività finanziarie efficiente: richiami teorici e implicazioni operative in Gestione del risparmio e della clientela nel private banking, Bancaria Editrice, 2002

6 [42] R. Castellano R Giacometti (2000), Improving Portfolio Performances Using Option Strategies, pagg in Financial Modelling, Contributions to Management Science, Physica-Verlag Maria Bonilla, Trinidad Casasus, Ramon Sala Editors LIBRI [43] R GIACOMETTI - C EPIS Appunti di matematica finanziaria Giappichelli ISBN [44] R GIACOMETTI - C EPIS Esercizi di matematica finanziaria Giappichelli ISBN [45] Bertocchi M., Consigli G., D Ecclesia R., Giacometti R., Moriggia V., Ortobelli L.S. (2013) "Euro Bonds: Markets, Infrastructure and Trends World Scientific Book.