11 citations · 18 across the 4 of their papers we have counts for
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cond-mat.stat-mech2004★ 5 cited
A perturbative moment approach to option pricing
Marco Airoldi
In this paper we present a new methodology for option pricing. The main idea consists to represent a generic probability distribution function (PDF) via a perturbative expansion ar…
cond-mat.stat-mech2004★ 11 cited
On pricing of interest rate derivatives
T. Di Matteo, M. Airoldi, E. Scalas
At present, there is an explosion of practical interest in the pricing of interest rate (IR) derivatives. Textbook pricing methods do not take into account the leptokurticity of th…
cond-mat.stat-mech2001★ 2 cited
Correlation Structure and Fat Tails in Finance: a New Mechanism
Marco Airoldi
Fat tails in financial time series and increase of stocks cross-correlations in high volatility periods are puzzling facts that ask for new paradigms. Both points are of key import…