Listar por autoría "a8b15902-2e01-4bb2-8aa1-7828f1caa8af"
Mostrando ítems 1-7 de 7
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A calibration procedure for analyzing stock price dynamics in an agent-based framework
Recchioni, Maria Cristina; Tedeschi, Gabriele; Gallegati, Mauro Elsevier (2015-11)In this paper we introduce a calibration procedure for validating of agent based models. Starting from the well-known financial model of (Brock and Hommes, 1998), we show how an appropriate calibration enables the model ... -
An approach to identifying micro behavior: How banks’ strategies influence financial cycles
Tedeschi, Gabriele; Recchioni, Maria Cristina; Berardi, Simone Elsevier (2018-12)In this paper, we show that the values of parameters of a well-calibrated model are useful in detecting micro behavior. We use a calibration procedure suitable for validating agent-based models to show how the evolution ... -
Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
Recchioni, Maria Cristina; Sun, Yu; Tedeschi, Gabriele Universitat Jaume I. Economics Departament (2016)The profound financial crisis generated by the collapse of Lehman Brothers and the European sovereign debt crisis in 2011 have caused negative values of government bond yields both in the U.S.A. and in the EURO area. ... -
From bond yield to macroeconomic instability: A parsimonious affine model
Recchioni, Maria Cristina; Tedeschi, Gabriele Elsevier (2017-11-01)We present a hybrid Heston model with a common stochastic volatility to describe government bond yield dynamics. The model is analytically tractable and, therefore, can be efficiently estimated using the maximum likelihood ... -
Taming financial systemic risk: models, instruments and early warning indicators
Tedeschi, Gabriele; Caccioli, Fabio; Recchioni, Maria Cristina Springer (2019-12-30)In recent decades, most advanced and developing economies have suffered—or are still suffering—from profound and repeated crises. The literature has reflected on the determinants of these perturbations by placing particular ... -
The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications
Recchioni, Maria Cristina; Iori, Giulia; Tedeschi, Gabriele; Ouellette, Michelle S. (2020-12-05)In this paper, we propose two new representation formulas for the conditional marginal probability den- sity of the multi-factor Heston model. The two formulas express the marginal density as a convolution with suitable ... -
The complete gaussian kernel in the multifactor Heston model: option pricing and implied volatility applications
Recchioni, Maria Cristina; Iori, Giulia; Tedeschi, Gabriele; Ouellette, Michelle S. Elsevier (2020-12-05)In this paper, we propose two new representation formulas for the conditional marginal probability density of the multi-factor Heston model. The two formulas express the marginal density as a convolution with suitable ...