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)
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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.
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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.
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CHERUBNI U.
– S. MULINACCI – S. ROMAGNOLI (2011): “A
Copula-Based Model of Speculative Price Dynamics in Discrete Time”, Journal of
Multivariate Analysis, forthcoming.
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CHERUBINI U. – S. ROMAGNOLI (2010):
“Multivariate Digital Options with Memory”, European Journal of Finance,
forthcoming
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CHERUBINI U. – ROMAGNOLI S. (2010):
“The Dependence Structure of Running Maxima and Minima: Results and Option
Pricing Applications”, Mathematical Finance, 20(1), 35-58.
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CHERUBINI U. – S. ROMAGNOLI (2009):
“Computing Copula Volume in n Dimensions”, Applied Mathematical Finance, 16(4),
307-314.
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CHERUBINI U.
– S. MULINACCI – S. ROMAGNOLI (2008): “A
Lattice Model with Incomplete Information: A Credit Risk Application”,
Statistics and Decisions, 26(2), 75-88.
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CHERUBINI U. – E. LUCIANO (2003):
“Pricing and Hedging Credit Derivatives with Copulas”, Economic Notes, 32,
219-242.
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CHERUBINI U. – E. LUCIANO (2003):
“Pricing Vulnerable Options with Copulas”, Journal of Risk Finance, 5 (1),
27-39.
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CHERUBINI U. – E. LUCIANO (2002):
“Copula Vulnerability”, RISK, ottobre, 83-86.
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CHERUBINI U. – E. LUCIANO (2002):
“Bivariate Option Pricing with Copulas”, Applied Mathematical Finance, 9,
69-85.
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CHERUBINI U. – G. DELLA LUNGA
(2001): “Liquidity and Credit Risk”, Applied Mathematical Finance, 8, 79-95.
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CHERUBINI U. – G. DELLA LUNGA (2001):
“Fuzzy Value-at-Risk: Accounting for Market Liquidity”, Economic Notes, 30(2),
293-312.
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CHERUBINI U. – E. LUCIANO (2001):
“Value-at-Risk Trade-Off and Capital Allocation with Copulas”, Economic Notes,
30(2), 235-256.
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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