1 citations · 1 across the 2 of their papers we have counts for
3 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…
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…
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…