Reinforced urn processes for modeling credit default distributions

E Amerio, P Muliere, P Secchi - International Journal of Theoretical …, 2004 - World Scientific
Based on a Reinforced Urn Process introduced by Muliere et al. [11], we propose a stochastic
model for the probability of credit default for debt issuers belonging to the same Moody's …

Forward start option pricing with stochastic volatility: a general framework

E Amerio - … Engineering and Applications: Proceedings of the …, 2007 - actapress.com
Emanuele Amerio … In particular, it can be shown by Amerio et … option Amerio [22]
shows that at each step of the simula- …

[PDF][PDF] Pricing of implied volatility derivatives: a risk neutral model for market implied volatility

E Amerio, G Fusai, A Vulcano - 2001 - researchgate.net
In this paper we construct a risk neutral dynamics of the at the money implied volatility to
price implied volatility futures and forward starting compound options. These are exotic …

Forward Prices and Futures Prices: A Note on a Convexity Drift Adjustment

E Amerio - The Journal of Alternative Investments, 2005 - search.proquest.com
This article provides an overview on the literature (mainly theoretical) about forward prices
and futures prices on the same underlying security with the same expiration. The well-known …

[CITATION][C] Forward Prices and Futures Prices: A Convexity Drift Adjustment: Dicembre 2000

E Amerio - 2000 - Universitą degli studi del Piemonte …

[CITATION][C] Risk Neutral Dynamics of the Stochastic Market Implied Volatility

E Amerio, G Fusai, A Vulcano - 2001 - Universitą commerciale Luigi …

[CITATION][C] Pricing of implied volatility derivatives

E Amerio, G Fusai, A Vulcano - 2003

[BOOK][B] Sensitivity of salesperson's performance to incongruity in control systems: a varying parameter model

VI Onyemah - 2003 - search.proquest.com
This dissertation reviews the literature on salesforce management control systems and
highlights the fact that despite the many normative theories, evidence of their predictive power …

Physics and histologic evaluation of rotary, ultrasonic, and sonic instruments

E Ruga, E Amerio, V Carbone, M Volante… - Journal of …, 2017 - journals.lww.com
Rotary instruments (RIs) are the most commonly used to perform osteotomies in many fields
of medicine. Owing to a new interest in performing a minimally invasive surgery, over last …

[BOOK][B] Volatility and correlation: the perfect hedger and the fox

R Rebonato - 2005 - books.google.com
In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at
derivatives pricing from the angle of volatility and correlation. With both practical and …