38 citations · 106 across the 20 of their papers we have counts for
Showing 2019Show all
3 papers · 1 filter
q-fin.MF2019★ 15 cited
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…
q-fin.PM2019★ 1 cited
Model risk in mean-variance portfolio selection: an analytic solution to the worst-case approach
Roberto Baviera, Giulia Bianchi
In this paper we consider the worst-case model risk approach described in Glasserman and Xu (2014). Portfolio selection with model risk can be a challenging operational research pr…
q-fin.PR2019
A closed formula for illiquid corporate bonds and an application to the European market
Roberto Baviera, Aldo Nassigh, Emanuele Nastasi
We propose an option approach for pricing bond illiquidity that is reminiscent of the celebrated work of Longstaff (1995) on the non-marketability of some non-dividend-paying share…