1 citations · 1 across the 8 of their papers we have counts for
8 papers
On the ergodicity of a three-factor CIR model
Giacomo Ascione, Michele Bufalo, Giuseppe Orlando
This study introduces the CIR3 model, a three-factor model characterized by stochastic and correlated trends and volatilities. The paper focuses on establishing the Wasserstein erg…
Modeling COVID-19 pandemic with financial markets models: The case of Jaén (Spain)
Julio Guerrero, Maria del Carmen Galiano, Giuseppe Orlando
The main objective of this work is to test whether some stochastic models typically used in financial markets could be applied to the COVID-19 pandemic. To this end we have impleme…
Foreign exchange options on Heston-CIR model under Lévy process framework
Giacomo Ascione, Farshid Mehrdoust, Giuseppe Orlando +1
In this paper, we consider the Heston-CIR model with Lévy process for pricing in the foreign exchange (FX) market by providing a new formula that better fits the distribution of pr…
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…