Simona Sanfelici
Università degli Studi di Parma
H-index: 13
Europe-Italy
Top articles of Simona Sanfelici
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
The Fourier-Malliavin Volatility (FMVol) MATLAB library | arXiv preprint arXiv:2402.00172 | Simona Sanfelici Giacomo Toscano | 2024/1/31 |
Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code) | Computational Methods in Applied Mathematics | Alessandra Aimi Chiara Guardasoni Luis Ortiz-Gracia Simona Sanfelici | 2023/4/1 |
FAST COS BEM METHOD IN HESTON MODEL | A Aimi C Guardasoni L Ortiz-Gracia S Sanfelici | 2023 | |
Early Warning Systems for identifying financial instability | International Journal of Forecasting | Erindi Allaj Simona Sanfelici | 2023/10/1 |
Identifying the number of latent factors of stochastic volatility models | Available at SSRN 4422326 | Erindi Allaj Maria Elvira Mancino Simona Sanfelici | 2023/4/18 |
Stochastic leverage effect in high-frequency data: a Fourier based analysis | Econometrics and Statistics | Imma Valentina Curato Simona Sanfelici | 2022/7/1 |
A fractional model for the COVID-19 pandemic: Application to Italian data | Stochastic Analysis and Applications | Elisa Alòs Maria Elvira Mancino Raúl Merino Simona Sanfelici | 2021/9/3 |
Proceedings of SIMAI 2020+ 21: the XV biannual congress of SIMAI | Alessandra Aimi Marzia Bisi Mauro Diligenti Maria Groppi Chiara Guardasoni | 2021/10/31 | |
Identifying financial instability using high frequency data | PROCEEDINGS OF SIMAI 2020+ 21 | Simona Sanfelici | 2021/10/31 |
Nonparametric Malliavin–Monte Carlo Computation of Hedging Greeks | Risks | Maria Elvira Mancino Simona Sanfelici | 2020/11/13 |
Real estate asset management companies’ economies of scale: Is it a dream or reality? The Italian case | Complexity | Evita Allodi Claudio Cacciamani Michele Caliolo Pier Paolo De Santis Fabio Della Marra | 2020/5/27 |
Non-parametric computation of Greeks using high frequency data | RISKS | Maria Elvira Mancino Simona Sanfelici | 2020 |
Identifying financial instability conditions using high frequency data | Journal of Economic Interaction and Coordination | Maria Elvira Mancino Simona Sanfelici | 2020/1 |
A Mellin transform approach to barrier option pricing | Chiara Guardasoni Marianito R. Rodrigo Simona Sanfelici | 2017 |
