3 citations · 5 across the 7 of their papers we have counts for
13 papers
Explicit Finite-Sum Tail Risk Measures for Hierarchical Market--Credit Copula Aggregation
Luisa Tibiletti, Simone Farinelli, Eric Dal Moro
Hierarchical copula models are widely used for aggregating market and credit risks across multi-level portfolio structures. Existing approaches often rely on Monte Carlo simulation…
Recursive Copula Aggregation for Market and Credit Portfolios
Luisa Tibiletti, Simone Farinelli, Eric Dal Moro
Risk aggregation is a central problem in financial risk management and regulatory capital assessment. While copula-based approaches are widely used due to their tractability and in…
The Dirac-Dolbeault Operator Approach to the Hodge Conjecture
Simone Farinelli
The Dirac-Dolbeault operator for a compact Kähler manifold is a special case of a Dirac operator. The Green function for the Dirac Laplacian over a Riemannian manifold with boundar…
When Risks and Uncertainties Collide: Mathematical Finance for Arbitrage Markets in a Quantum Mechanical View
Simone Farinelli, Hideyuki Takada
Geometric arbitrage theory reformulates a generic asset model possibly allowing for arbitrage by packaging all asset and their forward dynamics into a stochastic principal fibre bu…
The Black-Scholes Equation in Presence of Arbitrage
Simone Farinelli, Hideyuki Takada
We apply Geometric Arbitrage Theory to obtain results in Mathematical Finance, which do not need stochastic differential geometry in their formulation. First, for a generic market…
Can You hear the Shape of a Market? Geometric Arbitrage and Spectral Theory
Simone Farinelli, Hideyuki Takada
Geometric Arbitrage Theory reformulates a generic asset model possibly allowing for arbitrage by packaging all assets and their forwards dynamics into a stochastic principal fibre…