Foto del docente

Umberto Cherubini

Full Professor

Department of Economics

Academic discipline: STAT-04/A Mathematical Methods for Economy, Finance and Actuarial Sciences

Research

Keywords: Macro-finance Asset Pricing Systemic risk Option Pricing Copula Functions

TIME CHANGE MODELS

Stochastic Clocks, Kelly Investing and Long Term Risk.
Pseudo-Affine Term Structure Models.
Asset Pricing with Time Change Model

MACROECONOMIC AND SOVEREIGN RISK

Redenomination risk and comparison with default risk
Systemic Risk, Diabolic Loop and Too-Big-to-Fail.
CDS vs Option Pricing Based Systemic Risk Based Models

OPTION PRICING

Smiles and the Algebraic Approach to Option Pricing
Liquidity and Choquet Pricing
Risk Measures