Professor Maria Elvira Mancino
University of Firenze
Professor, Mathematics
Italy
My co-authors include
ERINDI ALLAJ
My Publications
On asset-allocation and high-frequency data: are there financial gains from using diffe...
Communications in Statistics - Simulation and Computation
July 2019
Switching tax structure and payouts in endogenous bankruptcy models
Stochastics
July 2015
High-frequency volatility of volatility estimation free from spot volatility estimates
Quantitative Finance
May 2015
The Role of a Firm’s Net Cash Payouts in Leland’s (1994) Model
Economic Notes
October 2012
Estimation of quarticity with high-frequency data
Quantitative Finance
April 2012
Fourier volatility forecasting with high-frequency data and microstructure noise
Quantitative Finance
February 2012
Capital structure with firm’s net cash payouts
January 2012
Fourier estimation method applied to forward interest rates
JSIAM Letters
January 2012
Multivariate Volatility Estimation with High Frequency Data Using Fourier Method
November 2011
COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA
International Journal of Theoretical and Applied Finance
August 2010
A Fourier transform method for nonparametric estimation of multivariate volatility
The Annals of Statistics
August 2009
Optimal strategies in a risky debt context
Stochastics
June 2009
A non-parametric calibration of the HJM geometry: an application of Itô calculus to fin...
Japanese journal of mathematics
March 2007
Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applic...
March 2006
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis
Applied Mathematical Finance
June 2005
Non Linear Feedback Effects by Hedging Strategies
July 2004
The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market S...
Mathematical Finance
January 2003
Instantaneous liquidity rate, its econometric measurement by volatility feedback
Comptes Rendus Mathematique
January 2002
Fourier series method for measurement of multivariate volatilities
Finance and Stochastics
January 2002
A comparison result for FBSDE with applications to decisions theory
Mathematical Methods of Operations Research
December 2001
Asset pricing with a forward–backward stochastic differential utility
Economics Letters
August 2001
A TAYLOR FORMULA TO PRICE AND HEDGE EUROPEAN CONTINGENT CLAIMS
International Journal of Theoretical and Applied Finance
August 2001
Asset pricing with endogenous aspirations
Decisions in Economics and Finance
May 2001
DIFFUSION PROCESSES WITH RESPECT TO FREE BROWNIAN MOTION
Infinite Dimensional Analysis Quantum Probability and Related Topics
September 2000
Some results of stable convergence for exchangeable random variables in Hilbert spaces
Теория вероятностей и ее применения
January 2000
Dilatation Vector Fields on the Loop Group
Journal of Functional Analysis
August 1999
A counter-example concerning a condition of Ogawa integrability
January 1997
Dynamic Portfolio Management: An Application of Fourier Method for Covariance Estimation
SSRN Electronic Journal
Computation of Volatility in Stochastic Volatility Models with High Frequency Data
SSRN Electronic Journal
Estimating Covariance Via Fourier Method in the Presence of Asynchronous Trading and Mi...
SSRN Electronic Journal
High Frequency Volatility of Volatility Estimation Free from Spot Volatility Estimates
SSRN Electronic Journal