1 citations · 1 across the 3 of their papers we have counts for
5 papers
Straightening skewed markets with an index tracking optimizationless portfolio
Daniele Bufalo, Michele Bufalo, Francesco Cesarone +1
Among professionals and academics alike, it is well known that active portfolio management is unable to provide additional risk-adjusted returns relative to their benchmarks. For t…
Stochastic Local Volatility models and the Wei-Norman factorization method
Julio Guerrero, Giuseppe Orlando
In this paper, we show that a time-dependent local stochastic volatility (SLV) model can be reduced to a system of autonomous PDEs that can be solved using the Heat kernel, by mean…
Forecasting interest rates through Vasicek and CIR models: a partitioning approach
Giuseppe Orlando, Rosa Maria Mininni, Michele Bufalo
The aim of this paper is to propose a new methodology that allows forecasting, through Vasicek and CIR models, of future expected interest rates (for each maturity) based on rollin…
Challenges in approximating the Black and Scholes call formula with hyperbolic tangents
Michele Mininni, Giuseppe Orlando, Giovanni Taglialatela
In this paper we introduce the concept of standardized call function and we obtain a new approximating formula for the Black and Scholes call function through the hyperbolic tangen…
On The Calibration of Short-Term Interest Rates Through a CIR Model
Giuseppe Orlando, Rosa Maria Mininni, Michele Bufalo
It is well known that the Cox-Ingersoll-Ross (CIR) stochastic model to study the term structure of interest rates, as introduced in 1985, is inadequate for modelling the current ma…