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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
5,079
Downloads
7,419
Views
Citations
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
3,588
Downloads
6,234
Views
Citations
A Comparison between Abraham and Minkowski Momenta
(Articles)
Massimo Testa
Journal of Modern Physics
Vol.7 No.3
,February 26, 2016
DOI:
10.4236/jmp.2016.73032
2,876
Downloads
3,732
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
5,239
Downloads
9,132
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
4,388
Downloads
6,534
Views
Citations
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
6,621
Downloads
12,304
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
7,068
Downloads
11,316
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
4,486
Downloads
6,042
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
7,959
Downloads
14,035
Views
Citations
Semilinear Venttsel’ Problems in Fractal Domains
(Articles)
Maria Rosaria Lancia
,
Paola Vernole
Applied Mathematics
Vol.5 No.12
,June 26, 2014
DOI:
10.4236/am.2014.512175
3,257
Downloads
4,508
Views
Citations
This article belongs to the Special Issue on
Fractal Theory and Applications
Correlation between Iron Reducibility in Natural and Iron-Modified Clays and Its Adsorptive Capability for Arsenic Removal
(Articles)
Irma Lia Botto
,
Simonetta Tuti
,
María Jose Gonzalez
,
Delia Gazzoli
Advances in Materials Physics and Chemistry
Vol.6 No.5
,May 30, 2016
DOI:
10.4236/ampc.2016.65014
2,731
Downloads
4,013
Views
Citations
Early Surgery in Femoral Neck Fractures in Elderly: Does Preoperative ASA Score Matter?
(Articles)
Stefania De Sanctis
,
Raffaella Alonzo
,
Silvia Frontini
,
Ilaria Nicolosi
,
Fabio Belvederi
,
Edoardo Monaco
,
Attilio Speranza
,
Carmelo D’Arrigo
International Journal of Clinical Medicine
Vol.7 No.12
,December 27, 2016
DOI:
10.4236/ijcm.2016.712090
1,227
Downloads
2,163
Views
Citations
This article belongs to the Special Issue on
Traumatology
Electrorotation: A Spectroscopic Imaging Approach to Study the Alterations of the Cytoplasmic Membrane
(Articles)
Adalberto Bonincontro
,
Gianfranco Risuleo
Advances in Molecular Imaging
Vol.5 No.1
,January 7, 2015
DOI:
10.4236/ami.2015.51001
3,052
Downloads
4,289
Views
Citations
Homogeneous and Heterogeneous Traffic of Data Packets on Complex Networks: The Traffic Congestion Phenomenon
(Articles)
Alfonso Farina
,
Antonio Graziano
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Communications and Network
Vol.4 No.2
,May 18, 2012
DOI:
10.4236/cn.2012.42021
5,647
Downloads
10,358
Views
Citations
Review of the Book “Advanced Cognitive Radio Network”
(Articles)
Francesco Zirilli
Int'l J. of Communications, Network and System Sciences
Vol.5 No.4
,April 19, 2012
DOI:
10.4236/ijcns.2012.54025
5,000
Downloads
7,843
Views
Citations
Personality and College Major Choice: Which Come First?
(Articles)
Michela Balsamo
,
Marco Lauriola
,
Aristide Saggino
Psychology
Vol.3 No.5
,May 23, 2012
DOI:
10.4236/psych.2012.35056
10,116
Downloads
20,536
Views
Citations
An Analysis of the Global and Partial Voice Handicap Index in Patients with Early Glottic Carcinoma Treated with High Level of Irradiation
(Articles)
Daniela Musio
,
Francesca De Felice
,
Cristina Bigelli
,
Nadia Bulzonetti
,
Roberta Guarnaccia
,
Mario Tombolini
,
Giovanni Ruoppolo
,
Marco de Vincentiis
,
Vincenzo Tombolini
Journal of Cancer Therapy
Vol.5 No.1
,January 6, 2014
DOI:
10.4236/jct.2014.51003
3,654
Downloads
5,210
Views
Citations
A Video Game Based on Optimal Control and Elementary Statistics
(Articles)
Marco Giacinti
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Intelligent Information Management
Vol.5 No.4
,July 2, 2013
DOI:
10.4236/iim.2013.54011
4,118
Downloads
6,265
Views
Citations
Supercritical Equilibrium Data of the Systems Carbon Dioxide—Linalool and Carbon Dioxide—Orange Essential Oil
(Articles)
Claudio Capparucci
,
Sara Frattari
,
Fausto Gironi
American Journal of Analytical Chemistry
Vol.4 No.12
,December 16, 2013
DOI:
10.4236/ajac.2013.412093
3,380
Downloads
5,299
Views
Citations
Hydrogeological Conceptual Model of Groundwater from Carbonate Aquifers Using Environmental Isotopes (
18
O,
2
H) and Chemical Tracers: A Case Study in Southern Latium Region, Central Italy
(Articles)
Giuseppe Sappa
,
Maurizio Barbieri
,
Sibel Ergul
,
Flavia Ferranti
Journal of Water Resource and Protection
Vol.4 No.9
,September 25, 2012
DOI:
10.4236/jwarp.2012.49080
5,617
Downloads
9,318
Views
Citations
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