Viviana Fanelli

Publication Activity (10 Years)

Years Active: 2011-2024
Publications (10 Years): 6

Top Topics

Profit Maximization

Top Venues

Ann. Oper. Res.

Eur. J. Oper. Res.

Math. Comput. Simul.

Publications

Carme Frau, Viviana Fanelli
Correction to: Seasonality in commodity prices: new approaches for pricing plain vanilla options. Ann. Oper. Res. 332 (1) (2024)
Carme Frau, Viviana Fanelli
Seasonality in commodity prices: new approaches for pricing plain vanilla options. Ann. Oper. Res. 336 (1-2) (2024)
Roy Cerqueti, Viviana Fanelli
Long memory and crude oil's price predictability. Ann. Oper. Res. 299 (1) (2021)
Viviana Fanelli, Lucia Maddalena
A nonlinear dynamic model for credit risk contagion. Math. Comput. Simul. 174 (2020)
Viviana Fanelli
Implications of implicit credit spread volatilities on interest rate modelling. Eur. J. Oper. Res. 263 (2) (2017)
Viviana Fanelli
A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch. Eur. J. Oper. Res. 249 (1) (2016)
Carl Chiarella, Viviana Fanelli, Silvana Musti
Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model. Eur. J. Oper. Res. 208 (2) (2011)