◍wovepaper
SearchResearchersInstitutions
Sign in
researcher

Francesco Statti

4 papers hereh-index 453 citations6 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position
  • last author4

Across the 4 of 4 papers where every author was matched, so the position is known.

fields
  • q-fin.CP2
  • math.NA1
  • q-fin.MF1

identity via Semantic Scholar / OpenAlex

most citedUnspanned Stochastic Volatility in the Multi-factor CIR Model

1 citations · 1 across the 2 of their papers we have counts for

collaborators
Showing q-fin.MFShow all

1 paper · 1 filter

q-fin.MF2017★ 1 cited

Unspanned Stochastic Volatility in the Multi-factor CIR Model

Damir Filipović, Martin Larsson, Francesco Statti

Empirical evidence suggests that fixed income markets exhibit unspanned stochastic volatility (USV), that is, that one cannot fully hedge volatility risk solely using a portfolio o…

◍wovepaper

Papers, researchers and institutions, woven together.

Explore
  • Search
  • Researchers
  • Institutions
Account
  • Library
  • Chat
Data
  • arXiv.org
  • Semantic Scholar
  • OpenAlex
  • Latest RSS
AboutContactPrivacyDevelopersllms.txtopenapi.json
Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.