2 citations · 4 across the 6 of their papers we have counts for
7 papers
The skew Brownian motion should not be used as a risk-neutral returns process: a well-posed skew-normal alternative
Lorenzo Torricelli, Michele Bufalo
Return models for risk-neutral financial valuation based on skew Brownian motions (SBMs) have been introduced about twenty years ago, and have recently enjoying growing popularity.…
Modeling Volatility of Disaster-Affected Populations: A Non-Homogeneous Geometric-Skew Brownian Motion Approach
Giacomo Ascione, Michele Bufalo, Giuseppe Orlando
This paper delves into the impact of natural disasters on affected populations and underscores the imperative of reducing disaster-related fatalities through proactive strategies.…
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…
A probabilistic approach to the twin prime and cousin prime conjectures
Daniele Bufalo, Michele Bufalo, Felice Iavernaro
We address the question of the infinitude of twin and cousin prime pairs from a probabilistic perspective. Our approach partitions the set of integer numbers greater than in fi…
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…