Dr. Umberto Cherubini

University of Bologna, Italy

Email: umberto.cherubini@unibo.it

Qualifications

1988 Ph.D., University of Florence, Economics

1984 M.Sc., New York University, Economics

Publications (Selected)

1. BAGLIONI A. – CHERUBINI U.(2012): “Marking-to-Market Government Guarantees to Financial Systems: An Empirical Analysis of Europer”, International Journal of Money and Finance, forthcoming.
2. CHERUBNI U. – S. MULINACCI – S. ROMAGNOLI (2011): “On the Disttibution of The Un(Bounded) Sum of Random Variables”, Insurance: Mathematics and Economics, 48(1), 56-63.
3. CHERUBNI U. – S. MULINACCI – S. ROMAGNOLI (2011): “A Copula-Based Model of Speculative Price Dynamics in Discrete Time”, Journal of Multivariate Analysis, forthcoming.
4. CHERUBINI U. – S. ROMAGNOLI (2010): “Multivariate Digital Options with Memory”, European Journal of Finance, forthcoming
5. CHERUBINI U. – ROMAGNOLI S. (2010): “The Dependence Structure of Running Maxima and Minima: Results and Option Pricing Applications”, Mathematical Finance, 20(1), 35-58.
6. CHERUBINI U. – S. ROMAGNOLI (2009): “Computing Copula Volume in n Dimensions”, Applied Mathematical Finance, 16(4), 307-314.
7. CHERUBINI U. – S. MULINACCI – S. ROMAGNOLI (2008): “A Lattice Model with Incomplete Information: A Credit Risk Application”, Statistics and Decisions, 26(2), 75-88.
8. CHERUBINI U. – E. LUCIANO (2003): “Pricing and Hedging Credit Derivatives with Copulas”, Economic Notes, 32, 219-242.
9. CHERUBINI U. – E. LUCIANO (2003): “Pricing Vulnerable Options with Copulas”, Journal of Risk Finance, 5 (1), 27-39.
10. CHERUBINI U. – E. LUCIANO (2002): “Copula Vulnerability”, RISK, ottobre, 83-86.
11. CHERUBINI U. – E. LUCIANO (2002): “Bivariate Option Pricing with Copulas”, Applied Mathematical Finance, 9, 69-85.
12. CHERUBINI U. – G. DELLA LUNGA (2001): “Liquidity and Credit Risk”, Applied Mathematical Finance, 8, 79-95.
13. CHERUBINI U. – G. DELLA LUNGA (2001): “Fuzzy Value-at-Risk: Accounting for Market Liquidity”, Economic Notes, 30(2), 293-312.
14. CHERUBINI U. – E. LUCIANO (2001): “Value-at-Risk Trade-Off and Capital Allocation with Copulas”, Economic Notes, 30(2), 235-256.
15. CHERUBINI U. – G. DELLA LUNGA (1999): “Stress Testing Techniques and Value-at-Risk Measures: A Unified Approach”, Rivista di Matematica per le Scelte Economiche e Sociali, 22, 77-99.

Profile Details

www.polyhedron.it/Cherubini.htm