Alessandro Sbuelz
Alessandro Sbuelz
Professor, School of Banking, Finance, and Insurance, UCSC (Milan)
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Momentum and mean reversion in strategic asset allocation
RSJ Koijen, JC Rodriguez, A Sbuelz
Management science 55 (7), 1199-1213, 2009
672009
Systematic equity-based credit risk: A CEV model with jump to default
L Campi, S Polbennikov, A Sbuelz
Journal of Economic Dynamics and Control 33 (1), 93-108, 2009
422009
Asset prices with locally constrained-entropy recursive multiple-priors utility
A Sbuelz, F Trojani
Journal of Economic Dynamics and Control 32 (11), 3695-3717, 2008
352008
ASimplified Way of Incorporating Model Risk, Estimation Risk and Robustness in Mean Variance Portfolio Management∗
F Cavadini, A Sbuelz, F Trojani
292001
Closed-form pricing of benchmark equity default swaps under the CEV assumption
L Campi, A Sbuelz
CentER Discussion Paper Series, 2005
272005
Real options and American derivatives: The double continuation region
A Battauz, M De Donno, A Sbuelz
Management Science 61 (5), 1094-1107, 2015
262015
Hedging double barriers with singles
A Sbuelz
International Journal of Theoretical and Applied Finance 8 (03), 393-407, 2005
182005
Assessing credit with equity: A cev model with jump to default
L Campi, S Polbennikov, A Sbuelz
Tilburg University, 2005
142005
Structural rfv: Recovery form and defaultable debt analysis
R Guha, A Sbuelz
Center for Economic Research, 2003
142003
Equilibrium asset pricing with time-varying pessimism
A Sbuelz, F Trojani
EFA 2003 Annual Conference Paper, 2002
142002
Real options with a double continuation region
A Battauz, MD Donno, A Sbuelz
Quantitative Finance 12 (3), 465-475, 2012
122012
Revisiting corporate growth options in the presence of state-dependent cashflow risk
A Sbuelz, M Caliari
European journal of operational research 220 (1), 286-294, 2012
102012
Structural recovery of face value at default
R Guha, A Sbuelz, A Tarelli
European Journal of Operational Research 283 (3), 1148-1171, 2020
92020
Reaching nirvana with a defaultable asset?
A Battauz, M De Donno, A Sbuelz
Decisions in Economics and Finance 40 (1-2), 31-52, 2017
72017
Kim and Omberg revisited: the duality approach
A Battauz, M De Donno, A Sbuelz
Journal of Probability and Statistics 2015, 2015
62015
The value of fighting irreversible demise by softening the irreversible cost
P Magis, A Sbuelz
International Journal of Theoretical and Applied Finance 9 (04), 503-516, 2006
62006
A General Treatment of Barrier Options
A Sbuelz
Available at SSRN 103772, 1998
51998
On the exercise of American quanto options
A Battauz, M De Donno, A Sbuelz
Preprint, 2017
42017
Analytical American Option Pricing: The Flat‐barrier Lower Bound
A Sbuelz
Economic Notes 33 (3), 399-413, 2004
42004
Structural rfv: Fundamental credit risk pricing and hedging with recovery of face value at default
R Guha, A Sbuelz
EFA 2003 Annual Conference Paper, 2003
42003
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