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Biography

Prof. Francesco Zirilli

Sapienza Università di Roma, Italy


Email: zirilli@mat.uniroma1.it


Qualifications


1972 Dottore, Sapienza Università di Roma, Physics

1971 Dottore, Sapienza Università di Roma, Mathematics


Publications (Selected)

  1. P. Corna, L. Fatone, F. Zirilli – “Data fusion and quality assessment of fusion products: methods and examples” in “Advances and challenges in multisensor data and information processing”, E. Lefebvre Editor, IOS Press, Fairfax, Virginia U.S.A., (2007), 277-306.
  2. L. Fatone, G. Pacelli, M.C. Recchioni, F. Zirilli – “A method to compute the transition probability density associated to a multifactor Cox Ingersoll Ross model with no drift term”, Journal of Nonlinear Analysis: Hybrid Systems and Applications 2, (2008), 144-183.
  3. L. Fatone, G. Rao, M.C. Recchioni, F. Zirilli – “High performance algorithms based on a new wavelet expansion for time dependent acoustic obstacle scattering”, Communications in Computational Physics 2, (2007), 1139-1173.
  4. L.V. Ballestra, G. Pacelli, F. Zirilli – “A numerical method to price exotic path dependent options on an underlying described by the Heston stochastic volatility model”, Journal of Banking and Finance 31, (2007), 3420-3437.
  5. L. Fatone, M.C. Recchioni, F. Zirilli – “A perturbative formula to price barrier options with time dependent parameters in the Black and Scholes world”, Journal of Risk 10 (2), Winter 2007-2008, 131-146.
  6. L. Fatone, M.C. Recchioni, F. Zirilli – “A numerical method to solve an acoustic inverse scattering problem involving ghost obstacles”, Journal of Inverse and Ill Posed Problems 15, (2007), 57-82.
  7. L.V. Ballestra, G. Pacelli, F. Zirilli – “A numerical method to price European derivatives based on the one factor LIBOR Market Model of interest rates”, Journal of Nonlinear Analysis: Hybrid Systems and Applications 2, (2008), 568-589.
  8. F. Mariani, G. Pacelli, F. Zirilli – “Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory”, Optimization Letters 2, (2008), 177-222.
  9. L. Fatone, F. Mariani, M.C. Recchioni, F. Zirilli – “Pricing realized variance options using integrated stochastic variance options in the Heston stochastic volatility model”, Discrete and Continuous Dynamical Systems Supplements 2007, (2007), 354-363.
  10. S. Brianzoni, C. Mammana, E. Michetti, F. Zirilli – “A stochastic cobweb dinamical model”, Discrete Dynamics in Nature and Society 2008, (2008), Article ID 219653, 18 pages.
  11. L. Fatone, F. Mariani, M.C. Recchioni, F. Zirilli – “Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds”, Journal of Inverse and Ill Posed Problems 15, (2007), 493-526.
  12. L. Fatone, M.C. Recchioni, F. Zirilli – “Some anisotropic furtivity problems in time dependent acoustic obstacle scattering”, in “Theoretical and Computational Acoustics 2007”, M. Taroudakis, P. Papadakis Editors, E Media University of Crete, (2008), 197-208.
  13. L. Fatone, M.C. Recchioni, F. Zirilli – “A parallel numerical method to solve high frequency ghost obstacle acoustic scattering problems”, Journal of the Applied Computational Electromagnetics Society 23, (2008), 220-232.
  14. A. Farina, A. Graziano, F, Mariani. F. Zirilli – “Probabilistic analysis of failures in power transition networks and phase transitions: a study of a high voltage power transmission network”, Journal of Optimization Theory and Applications 139,(2008), 171-199.
  15. L. Fatone, F. Mariani, M.C. Recchioni, F. Zirilli – “The calibration of the Heston stochastic volatility model using filtering and maximum  likelihood methods”, in “Proceedings of  Dynamic Systems and Applications”, G.S. Ladde, N.G. Medhin, Chuang Peng, M. Sambandhan Editors,  Dynamic Publishers, Atlanta, USA, 5,(2008), 170-181.
  16. L. Fatone, F. Mariani, M.C. Recchioni, F. Zirilli – Calibration of a multiscale stochastic volatility model using European option prices, Mathematical Methods in Economics and Finance 3,(2008), 46-61.
  17. C. Dionisi, F. Mariani, M.C. Recchioni, F. Zirilli – Blackouts in power transmission networks due to spatially localized load anomalies, in Critical Information Infrastructures Security, R. Setola, S. Geretshuber Editors, Lecture Notes in Computer Science, Springer, Berlin, 5508,(2009), 1-13.
  18. P. Capelli, F. Mariani, M.C. Recchioni,F. Spinelli, F. Zirilli –  Determining a stable relationship between hedge fund index HFRI-Equity and S&P500 behaviour using filtering and maximum likelihood, Inverse Problems in Science and Engineering 18,(2010), 83-109.
  19. L. Fatone, F. Mariani, M.C. Recchioni, F. Zirilli – An explicitly solvable multiscale stochastic volatility model: option pricing and calibration  problems, The Journal of Futures Markets, 29,(2009), 862-893.
  20. L. Fatone, F. Mariani, M.C. Recchioni, F. Zirilli – Filtering and maximum likelihood methods in the calibration of some stochastic volatility model of mathematical finance, in Global Optimization: Theory, Methods and Applications I,Chaoqun Ma, Lean Yu, Dabin Zhang, Zhongbao Zhou Editors,Lecture Notes in Decision Sciences, Global Link Publishers, Hong Kong, 12(A),(2009), 45-53.