Roberto Baviera

Derivatives' Specialist

to contact me

oworking papers

opublications

oseminars

oin the press


working papers

[2] Gigi Model: a simple stochastic volatility approach for multifactor interest rates 212 Kb (2007).

[1] Option Prices in Presence of Transaction Costs 347 Kb (2001).

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publications

finance

econophysics

statistical mechanics

finance

[11] A Note on Dual-Curve Construction: Mr. Crab's Bootstrap 158 Kb
(with A. Cassaro)
Applied Mathematical Finance 22 (2015), 105-132.

[10] A Perturbative Approach to Bermudan Options Pricing with Applications 158 Kb
(with L. Giada)
Quantitative Finance 13 (2013), 255-263.

[9] A simple solution for Sticky Cap and Sticky Floor 85 Kb
Quantitative Finance 7 (2007), 285-287.

[8] Bond Market Model 247 Kb
Int. J. of Theoretical and Applied Finance 9 (2006), 577-596.

[7] Vol Bond: an analytical solution 215 Kb
Quantitative Finance 3 (2003), 285-287.

[6] Moving averages and price dynamics 215 Kb
(with M. Pasquini, J. Raboanary and M. Serva)
International Journal of Theoretical and Applied Finance 5 (2002), 575-583.

[5] Transaction costs: a new point of view 215 Kb
Int. J. of Theoretical and Applied Finance 4 (2001), 335-354.

[4] A general methodology to price and hedge derivatives in incomplete markets 215 Kb
(with E. Aurell, O. Hammarlid, M. Serva and A. Vulpiani)
Int. J. of Theoretical and Applied Finance 3 (2000) 1-24.

[3] Gambling Growth Optimal Investment and Pricing of Derivatives 215 Kb
(with E. Aurell, O. Hammarlid, M. Serva and A. Vulpiani)
Physica A  280 (2000) 505-521.

[2] Large bets, rare fluctuations and derivative pricing
(with E. Aurell, O. Hammarlid, M. Serva and A. Vulpiani)
Off the wall, Numerix (1998).

[1] Optimal strategies for prudent investors 215 Kb
(with M. Pasquini, M. Serva and A. Vulpiani)
Int. J. of Theoretical and Applied Finance 1 (1998) 473-486.

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econophysics
playing in real markets with Kelly's speculator:
finance applications of Shannon entropy and related models.

[3] Antipersistent Markov behaviour in foreign exchange markets 215 Kb
(with M. Pasquini, M. Serva and D. Vergni)
Physica A 312 (2002) 565-576.

[2] Correlations and multi-affinity in high frequency financial datasets 215 Kb
(with M. Pasquini, M. Serva, D. Vergni and A. Vulpiani)
Physica A 300 (2001) 551-557.

[1] Markovian approximation in foreign exchange markets 215 Kb
(with D. Vergni and A. Vulpiani)
Physica A 280 (2000) 566-581.

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statistical mechanics: disordered systems
some features of disordered systems in general and spin glasses in particular:
properties out of equilibrium and in presence of short term interactions.

[3] A variational approach to Ising spin glasses in finite dimensions 215 Kb
(with M. Pasquini and M. Serva)
J. Phys. A: Math. Gen. 31 (1998) 4127-4140.

[2] Cluster approximation for Ising spin glasses
(with M. Pasquini and M. Serva)
J. de Physique IV 8 (1998) 75-80.

[1] Multiscale analysis of hierarchical landscapes 215 Kb
(with M.A. Virasoro)
Physica D 107 (1997) 151-155.

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seminars


presenting ideas.


[8] Scuola Superiore Sant'Anna Seminars Pisa, May 2013 752 Kb
L'affaire Monte Paschi: a case study? - Organizer: Laboratory of Economics and Management, Scuola Superiore Sant'Anna

[7] Qfin Panel Milan, Mar 2013 752 Kb
L'affaire Monte Paschi: principi contabili, controlli, derivati - Organizer: Dep. of Mathematics, Politecnico Milano

[6] Qfin Colloquia Milan, Nov 2012 752 Kb ( slides ) 752 Kb (and cartoon !)
Elementary, my dear Watson, it's a bootstrap! - Organizer: Dep. of Mathematics, Politecnico Milano

[5] Risk Training London, Dec 2008 752 Kb
Practical Calibration & Implementation Techniques for Interest Rate Modelling - Organizer: Incisive Media

[4] Numerical Methods for American and Bermudan Options Vienna, Oct 2008 470 Kb
A perturbative approach to Bermudan Options pricing with applications -
Organizers: M. Broadie, F. Hubalek, D. Lamberton, P. Laurence

[3] An introduction to finance Trieste, Dec 2007 1.19 Mb
Credit derivatives: fundaments and ideas - Organizer: ICTP (UNESCO)

[2] Risk Training London, Dec 2006 432 Kb
Interest Rate and FX modelling - Organizer: Incisive Media

[1] Courant Institute Seminars New York, Apr 2002
Option Prices in Presence of Transaction Costs - Organizers: M. Avellaneda and P. Carr


in the press


some articles in the Italian press about my activity.


  • Come cavalcare l'onda dei tassi - Sole 24 Ore - 14 Nov 2005

  • Puntare sullo spread con un certificato - Borsa e Finanza (Bloomberg) - 5 Nov 2005


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    Last Update Sep 15