PUBLICATIONS
'sciences do not try to explain, they hardly ever try to interpret, they mainly make models. By a model is meant a mathematical construct which, with the addition of some verbal interpretations describes observed phenomena. The justification of such a mathematical construct is solely and precisely that it is expected to work.'
- John von Neumann -
Journal Publications
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Smile from the Past: A General Option Pricing Framework with Multiple Volatility and Leverage Components, with Giacomo Bormetti and Fulvio Corsi, Journal of Econometrics 187 (2), pp. 521-531, (2015)
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An invariance principle for the law of the iterated logarithm for some Markov chains, with Witold Bołt and Tomasz Szarek, published in Studia Math. 212, pp. 41-53, (2012)
Working Papers
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Co-Existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model, with Stefano Ciliberti and Jean-Philippe Bouchaud
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Black Was Right: Price Is Within a Factor 2 of Value, with Jean-Philippe Bouchaud, Stefano Ciliberti, Yves Lemperiere, Philip Seager and Kevin Sin Ronia
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A Jump and Smile Ride: Continuous and Jump Variance Risk Premia in Option Pricing, with Dario Alitab, Giacomo Bormetti and Fulvio Corsi
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Term Structure of Variance Risk Premium and Returns' Predictability, with Giacomo Bormetti and Fulvio Corsi
Others
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A Discrete Time Approach to Option Pricing, PhD thesis