Giacometti Rosella

Rosella Giacometti

Information about the author Rosella Giacometti will soon be added to the site.
Found 4 papers in total
Measuring financial risk and portfolio optimization with a non‐Gaussian multivariate model
Measuring financial risk and portfolio optimization with a non‐Gaussian multivariate model
2012
In this paper, we propose a multivariate market model with returns assumed to follow a...
On pricing of credit spread options
On pricing of credit spread options
2005
This paper describes and analyses different pricing models for credit spread options...
Risk factor analysis and portfolio immunization in the corporate bond market
Risk factor analysis and portfolio immunization in the corporate bond market
2005
In this paper we develop a multi-factor model for the yields of corporate bonds. The...
Bond portfolio management with repo contracts: The Italian case
Bond portfolio management with repo contracts: The Italian case
2000
In this paper we present a model for management of bond portfolio including financing...
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