WORKING PAPERS
Credit risk
- Intercorporate guarantees, leverage and taxes, with G. Nicodano, Collegio Carlo Alberto Notebook 2010.
- Leverage and firm scope, with G. Nicodano, Ricafe wp 49/2008, http://www.lse.ac.uk/collections/RICAFE/newsAndEvents.htm
- Ownership structure, leverage and credit risk, with G. Nicodano, Collegio Carlo Alberto Notebook 69/2007.
Pricing e survival modeling in insurance
- Natural Delta and Gamma hedging of mortality and interest-rate risk, with L. Regis and E. Vigna, ICER wp 21/2011, Applied Mathematics and Quantitative Methods list of working papers 2011.
- Delta and Gamma hedging of mortality and interest-rate risk, with L. Regis and E. Vigna, ICER wp 01/2011, Applied Mathematics and Quantitative Methods list of working papers 2011.
- Cross-generational comparison of stochastic mortality of coupled lives, with J. Spreeuw and E. Vigna, Collegio Carlo Alberto Notebook 187/2010.
Pricing in markets with frictions
- Equilibrium bid-ask spreads in a continuous-time, infinite horizon economy, Collegio Carlo Alberto Notebook 221/2011.