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Closed Form Moment Formulae for the Lognormal SABR Model and Applications to Calibration Problems
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Open Journal of Applied Sciences
Vol.3 No.6
,October 16, 2013
DOI:
10.4236/ojapps.2013.36045
3,581
Downloads
6,209
Views
Citations
The SABR Model: Explicit Formulae of the Moments of the Forward Prices/Rates Variable and Series Expansions of the Transition Probability Density and of the Option Prices
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Journal of Applied Mathematics and Physics
Vol.2 No.7
,June 13, 2014
DOI:
10.4236/jamp.2014.27062
5,069
Downloads
7,382
Views
Citations
Continued Fractions and Dynamics
(Articles)
Stefano Isola
Applied Mathematics
Vol.5 No.7
,April 15, 2014
DOI:
10.4236/am.2014.57101
5,796
Downloads
8,820
Views
Citations
This article belongs to the Special Issue on
Continued Fractions and Geometric Function Theory
Some Explicit Formulae for the Hull and White Stochastic Volatility Model
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Int'l J. of Modern Nonlinear Theory and Application
Vol.2 No.1
,March 13, 2013
DOI:
10.4236/ijmnta.2013.21003
6,604
Downloads
12,264
Views
Citations
The Calibration of Some Stochastic Volatility Models Used in Mathematical Finance
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Open Journal of Applied Sciences
Vol.4 No.2
,February 20, 2014
DOI:
10.4236/ojapps.2014.42004
7,040
Downloads
11,254
Views
Citations
A Trading Execution Model Based on Mean Field Games and Optimal Control
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Applied Mathematics
Vol.5 No.19
,November 10, 2014
DOI:
10.4236/am.2014.519294
4,480
Downloads
6,030
Views
Citations
The Analysis of Real Data Using a Stochastic Dynamical System Able to Model Spiky Prices
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Journal of Mathematical Finance
Vol.2 No.1
,February 28, 2012
DOI:
10.4236/jmf.2012.21001
5,234
Downloads
9,118
Views
Citations
The Barone-Adesi Whaley Formula to Price American Options Revisited
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Applied Mathematics
Vol.6 No.2
,February 13, 2015
DOI:
10.4236/am.2015.62036
7,939
Downloads
13,932
Views
Citations
The Factorizational Theory of Finite Asymptotic Expansions in the Real Domain: A Survey of the Main Results
(Articles)
Antonio Granata
Advances in Pure Mathematics
Vol.5 No.1
,January 12, 2015
DOI:
10.4236/apm.2015.51001
3,510
Downloads
4,164
Views
Citations
This article belongs to the Special Issue on
Asymptotic Methods
The Lagrangian Method for a Basic Bicycle
(Articles)
F. Talamucci
Journal of Applied Mathematics and Physics
Vol.2 No.4
,March 21, 2014
DOI:
10.4236/jamp.2014.24007
7,267
Downloads
10,753
Views
Citations
Motion of Nonholonomous Rheonomous Systems in the Lagrangian Formalism
(Articles)
F. Talamucci
Journal of Applied Mathematics and Physics
Vol.3 No.3
,March 23, 2015
DOI:
10.4236/jamp.2015.33043
5,764
Downloads
6,845
Views
Citations
Strongly Balanced 4-Kite Designs Nested into OQ-Systems
(Articles)
Mario Gionfriddo
,
Lorenzo Milazzo
,
Rosaria Rota
Applied Mathematics
Vol.4 No.4
,April 30, 2013
DOI:
10.4236/am.2013.44097
4,378
Downloads
6,513
Views
Citations
Consonance of Complex Tones with Harmonics of Different Intensity
(Articles)
Antonio Bernini
,
Federico Talamucci
Open Journal of Acoustics
Vol.4 No.2
,June 10, 2014
DOI:
10.4236/oja.2014.42008
4,092
Downloads
5,827
Views
Citations
Practical Stabilization for Uncertain Pseudo-Linear and Pseudo-Quadratic MIMO Systems
(Articles)
Laura Celentano
Int'l J. of Modern Nonlinear Theory and Application
Vol.2 No.1
,March 21, 2013
DOI:
10.4236/ijmnta.2013.21004
5,736
Downloads
8,422
Views
Citations
Nikodým-Type Theorems for Lattice Group-Valued Measures with Respect to Filter Convergence
(Articles)
Antonio Boccuto
,
Xenofon Dimitriou
Advances in Pure Mathematics
Vol.4 No.5
,May 16, 2014
DOI:
10.4236/apm.2014.45028
3,656
Downloads
5,058
Views
Citations
This article belongs to the Special Issue on
Measure Theory
Hardware/Compiler Memory Protection in Sensor Nodes
(Articles)
Lanfranco LOPRIORE
Int'l J. of Communications, Network and System Sciences
Vol.1 No.3
,October 9, 2008
DOI:
10.4236/ijcns.2008.13028
6,191
Downloads
10,258
Views
Citations
New Possible Astronomic Alignments at the Megalithic Site of Göbekli Tepe, Turkey
(Articles)
Alessandro De Lorenzis
,
Vincenzo Orofino
Archaeological Discovery
Vol.3 No.1
,January 26, 2015
DOI:
10.4236/ad.2015.31005
10,283
Downloads
16,137
Views
Citations
Archaeoastronomical Study of the Main Pyramids of Giza, Egypt: Possible Correlations with the Stars?
(Articles)
Vincenzo Orofino
,
Paolo Bernardini
Archaeological Discovery
Vol.4 No.1
,November 24, 2015
DOI:
10.4236/ad.2016.41001
9,028
Downloads
17,357
Views
Citations
A New Approach to Investigate Students’ Behavior by Using Cluster Analysis as an Unsupervised Methodology in the Field of Education
(Articles)
Onofrio Rosario Battaglia
,
Benedetto Di Paola
,
Claudio Fazio
Applied Mathematics
Vol.7 No.15
,September 12, 2016
DOI:
10.4236/am.2016.715142
1,961
Downloads
5,122
Views
Citations
This article belongs to the Special Issue on
Data Clustering Theory and Applications
A Perspective on the Future of Distribution: Smart Grids, State of the Art, Benefits and Research Plans
(Articles)
Rosario Miceli
,
Salvatore Favuzza
,
Fabio Genduso
Energy and Power Engineering
Vol.5 No.1
,January 4, 2013
DOI:
10.4236/epe.2013.51005
6,652
Downloads
10,822
Views
Citations
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