15 citations · 39 across the 12 of their papers we have counts for
12 papers
Temperature Anomalies and Climate Physical Risk in Portfolio Construction
Michele Azzone, Carlo Bechi, Gabriele Sbaiz
Driven by the increasing frequency and intensity of natural disasters and chronic climate threats, we investigate the impact of physical climate risk on global equity portfolios. B…
Central Bank Digital Currency, Flight-to-Quality, and Bank-Runs in an Agent-Based Model
Emilio Barucci, Andrea Gurgone, Giulia Iori +1
We analyse financial stability and welfare impacts associated with the introduction of a Central Bank Digital Currency (CBDC) in a macroeconomic agent-based model. The model consid…
Physical Climate Risk in Asset Management
Michele Azzone, Matteo Ghesini, Davide Stocco +1
Climate-related phenomena are increasingly affecting regions worldwide, manifesting as floods, water scarcity, and heat waves, significantly impairing companies' assets and product…
The puzzle of Carbon Allowance spread
Michele Azzone, Roberto Baviera, Pietro Manzoni
A growing number of contributions in the literature have identified a puzzle in the European carbon allowance (EUA) market. Specifically, a persistent cost-of-carry spread (C-sprea…
Asset management with an ESG mandate
Michele Azzone, Emilio Barucci, Davide Stocco
We investigate the portfolio frontier and risk premia in equilibrium when institutional investors aim to minimize the tracking error variance under an ESG score mandate. If a negat…
Hedging carbon risk with a network approach
Michele Azzone, Maria Chiara Pocelli, Davide Stocco
Sustainable investing refers to the integration of environmental and social aspects in investors' decisions. We propose a novel methodology based on the Triangulated Maximally Filt…
Is (independent) subordination relevant in option pricing?
Michele Azzone, Roberto Baviera
Monroe (1978) demonstrates that any local semimartingale can be represented as a time-changed Brownian Motion (BM). A natural question arises: does this representation theorem hold…
A fast Monte Carlo scheme for additive processes and option pricing
Michele Azzone, Roberto Baviera
In this paper, we present a very fast Monte Carlo scheme for additive processes: the computational time is of the same order of magnitude of standard algorithms for Brownian motion…
Short-time implied volatility of additive normal tempered stable processes
Michele Azzone, Roberto Baviera
Empirical studies have emphasized that the equity implied volatility is characterized by a negative skew inversely proportional to the square root of the time-to-maturity. We exami…
Synthetic forwards and cost of funding in the equity derivative market
Michele Azzone, Roberto Baviera
This study introduces a new technique to recover the implicit discount factor in the derivative market using only European put and call prices: this discount is grounded in actual…
Neural Network Middle-Term Probabilistic Forecasting of Daily Power Consumption
Michele Azzone, Roberto Baviera
Middle-term horizon (months to a year) power consumption prediction is a main challenge in the energy sector, in particular when probabilistic forecasting is considered. We propose…
Additive normal tempered stable processes for equity derivatives and power law scaling
Michele Azzone, Roberto Baviera
We introduce a simple model for equity index derivatives. The model generalizes well known Lèvy Normal Tempered Stable processes (e.g. NIG and VG) with time dependent parameters. I…