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Quantitative Methods in Economics and Finance

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Book cover The First Outstanding 50 Years of “Università Politecnica delle Marche”

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Abstract

Evaluation of Financial and Actuarial Risk. The research group has focused on several different aspects of quantitative finance. As a first research subject, we faced the problem of pricing credit default swaps (CDSs), which entails the calculation of the risk of default. As a second research subject, we considered the problem of pricing complex derivatives. Precisely, we took into account barrier options on an underlying described by either the geometric fractional Brownian motion or a time-changed Brownian motion. Finally, we dealt with the problem of pricing real options in the presence of stochastic interest rates. Nonlinear Dynamics in Economic and Financial Models. Nonlinear Dynamics is an interdisciplinary area characterized by a rapid and extensive development in recent years, which has proved to be very useful in explaining some important facts in Economics and Finance (such as endogenous fluctuations). In this contribution, we provide an overview of our research on this topic, both in continuous and in discrete time.

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Authors and Affiliations

  1. Department of Statistical Sciences, Università Alma Mater Studiorum Bologna, Bologna, Italy

    Luca Vincenzo Ballestra

  2. Department of Management, Università Politecnica delle Marche, Ancona, Italy

    Serena Brianzoni, Luca Guerrini & Graziella Pacelli

  3. Department of Engineering, Università Niccolò Cusano, Roma, Italy

    Renato Colucci

  4. Department of Economics and Management, Università di Pisa, Pisa, Italy

    Davide Radi

Authors
  1. Luca Vincenzo Ballestra
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  2. Serena Brianzoni
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  3. Renato Colucci
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  4. Luca Guerrini
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  5. Graziella Pacelli
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  6. Davide Radi
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Corresponding author

Correspondence to Graziella Pacelli .

Editor information

Editors and Affiliations

  1. Department of Information Engineering (DII), Marche Polytechnic University, Ancona, Italy

    Sauro Longhi

  2. Department of Information Engineering (DII), Marche Polytechnic University, Ancona, Italy

    Andrea Monteriù

  3. Department of Information Engineering (DII), Marche Polytechnic University, Ancona, Italy

    Alessandro Freddi

  4. Department of Economics and Social Sciences (DISES), Marche Polytechnic University, Ancona, Italy

    Giulia Bettin

  5. Department of Management (DM), Marche Polytechnic University, Ancona, Italy

    Silvio Cardinali

  6. Department of Management (DM), Marche Polytechnic University, Ancona, Italy

    Maria Serena Chiucchi

  7. Department of Economics and Social Sciences (DISES), Marche Polytechnic University, Ancona, Italy

    Marco Gallegati

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Ballestra, L.V., Brianzoni, S., Colucci, R., Guerrini, L., Pacelli, G., Radi, D. (2019). Quantitative Methods in Economics and Finance. In: Longhi, S., et al. The First Outstanding 50 Years of “Università Politecnica delle Marche”. Springer, Cham. https://doi.org/10.1007/978-3-030-33879-4_9

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