1) CHERUBINI U. –
ROMAGNOLI S. (2009): “The Dependence Structure of Running Maxima and Minima:
Results and Option Pricing Applications”, Mathematical Finance,
forthcoming.
2) CHERUBINI U. –
S. ROMAGNOLI (2009): “Computing Copula Volume in n Dimensions”, Applied
Mathematical Finance, 16(4), 307-314.
3) CHERUBINI U. –
S. MULINACCI – S. ROMAGNOLI (2008): “A Lattice Model with Incomplete
Information: A Credit Risk Application”, Statistics and Decisions, 26(2),
75-88
4) CHERUBINI U. – E. LUCIANO (2003) “Pricing and Hedging Credit Derivatives with Copulas”, Economic Notes, 32, 219-242.
5) CHERUBINI U. – E. LUCIANO (2003) “Pricing Vulnerable Options with Copulas”, Journal of Risk Finance, 5 (1), 27-39.
6) CHERUBINI U. –
E. LUCIANO (2002) “Copula Vulnerability”, RISK, ottobre, 83-86
7) CHERUBINI U. – E. LUCIANO (2002) “Bivariate Option
Pricing with Copulas”, Applied
Mathematical Finance, 9, 69-85
8) CHERUBINI U. – G. DELLA LUNGA (2001) “Liquidity and
Credit Risk” , Applied Mathematical Finance, 8, 79-95
9) CHERUBINI U. – G. DELLA LUNGA (2001) “Fuzzy
Value-at-Risk: Accounting for Market Liquidity”, Economic Notes, 30, 2,
pp 293-312
10) CHERUBINI U. – E. LUCIANO (2001) “Value-at-Risk
Trade-Off and Capital Allocation with Copulas”, Economic Notes, 30, 2,
235-256
11) CHERUBINI U. – G. DELLA LUNGA (1999) “Stress Testing Techniques and Value-at-Risk Measures: A Unified Approach”, Rivista di Matematica per le Scelte Economiche e Sociali, 22, 77-99
12) BALDINI N. - U.
CHERUBINI, (1998): "Term Structure
Movements and Market Segmentation: A LISREL Analysis of the Italian Case",
Economic Notes , 27, 35-54.
13) CHERUBINI, U. (1997): "Fuzzy Measures and Asset Prices: Accounting for Information Ambiguity", Applied Mathematical Finance , vol.4, 135-49.
14) CHERUBINI, U. - A. SIRONI (1997): "Anomalie
sul Mercato dei Titoli di Stato: Un'Analisi con Reti Neurali
Non-Supervisionate", in Contributi all'Analisi Economica, Banca d'Italia,
vol. 1, 383-406.
15) BARUCCI, E. ,
U. CHERUBINI - L. LANDI (1996): "Computational Methods in Finance: Option
Pricing", IEEE Computational Science & Engineering Magazine, spring,
66-80.
16) CHERUBINI, U. -
ESPOSITO, M. (1995): "Options in and on Interest Rate Futures Contracts:
Results from Martingale Pricing Theory", Applied Mathematical Finance ,
vol. 2., 1-15.
17) BAGLIONI, A. -
CHERUBINI, U. (1994): "Capital Regulation, Adjustment Costs and Bank
Management: An (S,s) Approach", Rivista Internazionale di Scienze
Economiche, XLI, 10-11, pp. 893-904.
18) CHERUBINI, U. -
HAMAUI, R. (1994) "A Note on Italian Debt Sustainability ", Economic
and Financial Rewiew, Winter.
19) CHERUBINI, U. - ESPOSITO, M. - HAMAUI, R. (1993):
"Processo di price discovery, tecnologia di contrattazione e regole contabili
sul mercato telematico dei titoli di Stato", in: Contributi all'Analisi
Economica, Banca d'Italia.
20) CHERUBINI, U. - CIAMPOLINI, M. - HAMAUI, R. -
SIRONI, A. (1993) "Exchange Rates and Interest Rates Polarization,
Weltwirtschaftliches Archiv, 129, 4, 651-661.
21) BAGLIONI, A. -
CHERUBINI, U. (1993): "Intertemporal Budget Constraint and Public Debt
Sustainability: the Case of Italy", Applied Economics, 25, 275-283.
22) CHERUBINI, U. - SIRONI, A. (1992) :
"Componenti strutturali e 'correzioni tecniche' nel mercato dei B.O.T.:
un'analisi di common trend", Rivista Internazionale di Scienze Sociali, 2,
.
23) CHERUBINI U.
(1991): "Futures Markets and Risk Management in the Banking Industry: A
Theoretical View", Economic Notes, 20, 3, pp. 600-618
24) BAGLIONI, A. - CHERUBINI, U. (1990): "Bank
Behavior under Capital Requirement Regulations: Theory and Simulations",
Giornale degli Economisti e Annali di Economia, XLIX, 9-10, pp. 413-444.
articLES In Books
25) U. CHERUBINI
(2008): “Accounting Data Transparency and Credit Spreads: Clinical Studies, in
N. Wagner (ed) Credit Risk: Models, Derivatives and Management: Empirical
Studies ans Analysis, Chapman ans
Hall, Financial Mathematics Series
26) U. CHERUBINI,
S.MULINACCI, S. ROMAGNOLI (2008): “A Copula-Based Model of the Term Structure of CDO Tranches”, in Hardle W.K., N. Hautsch and L. Overbeck (eds) Appiled Quantitative Finance,,Springer
Verlag, 69-81.
27) BARUCCI, E. ,
U. CHERUBINI - L. LANDI (1997): "Neural Networks for Contingent Claim
Pricing via the Galerkin Method", in Amman et al. (eds) Computational Approaches to Economic
Problems, Kluwer Academic Publishers, 1997.
28) BARUCCI, E. ,
U. CHERUBINI - L. LANDI (1996): "No-Arbitrage Asset Pricing with Neural
Networks under Stochastic Volatility", in Refenes et al. (eds) Neural Networks in Financial Engineering,
World Scientific Publishing.
29) BAGLIONI, A. - CHERUBINI, U. (1997): "La
Ristrutturazione del Debito delle Imprese: Teoria ed Evidenza Empirica per il
Caso Italiano", in Angeloni I. et al. (eds): Le Banche ed il Finanziamento delle Imprese, Il Mulino, Bologna.
30) CHERUBINI, U. - GOVINO, C. - HAMAUI, R. (1994):
"Liquidità ed Efficienza Informativa sul Mercato dei BTP", in: Conti,
V., R. Hamaui (eds): Il Mercato dei
Titoli di Stato in Italia, Il Mulino
31) CHERUBINI, U. -
GOVINO, C. - HAMAUI, R. (1994): "Informational Efficiency and liquidity on
the T-Bond Market", in: Conti, V., R. Hamaui and Scobie H.M: (eds): Bond
Markets, Treasury ande Debt Management, Chapman-Hall
32) CHERUBINI, U. -
CIAMPOLINI, M. - DE FELICE, G. (1992): "The Role of Banks as Investors in
Securities: Theoretical and Empirical Features in an International
Perspective", in Conti, V. and R. Hamaui, (eds) Financial Liberalization and the Role of Banks, Cambridge
University Press.
33) CHERUBINI, U. -
CIAMPOLINI, M. - HAMAUI, R. - SIRONI, A. (1992) "Domestic and Foreign
Determinants of Interest rates in EMS Economies: The Case of France and
Italy" in Motamen-Scobie, Starck (ed.): Economic Policy Coordination in an Integrating Europe, Bank of
Finland, Helsinki.
34) CHERUBINI, U. - CIAMPOLINI, M. - HAMAUI, R. -
SIRONI, A. (1992) "Polarizzazione e asimmetrie nei tassi d’interesse in
Europa" in E. Giovannini (ed): I
mercati monetari e finanziari nel breve periodo, Il Sole 24 Ore Libri.
35) CHERUBINI, U. - RATTI, M. (1991): "Quanto Valgono le Matricole? Teoria ed Analisi Empirica", in Penati, A. (ed) Il rischio azionario e la Borsa, EGEA, Milano.
36) CHERUBINI U. – CIAMPOLINI M. – DE FELICE G. (1991): “L’investimento in titoli delle banche commerciali: un’analisi comparata”, in Conti V. – R. Hamaui (ed) Operatori e Mercati nel Processo di Liberalizzazione, vol III, 9-51
conference proceedings and
other contributions
37) CHERUBINI U. –
BAGLIONI A. (2005): “Accounting Fraud and the Pricing of Corporate Liabilities:
Structural Models with Garbling”, atti della 2005 World Conference Econometric
Society, Londra
38) CHERUBINI U. –
MANERA M. (2005): “Hunting the Living Dead: A “Peso Problem” in Corporate Liabilities
Data”, International Conference Journal
of Applied Econometrics, Venezia, giugno.
39) CHERUBINI, U.
(2004): “Pricing Swap Credit Risk with Copulas”, IV International Conference on
Financial Engineering and Statistical Finance, Tokyo, 18-19 march, II
International Credit Risk Conference, Montréal, 15-16 april
40) CHERUBINI U. – DELLA LUNGA G. (2003): “Fuzzy
Pricing”, Jaffee- Columbia Conference,
Tokyo, 15-16 march
41) CHERUBINI (2002): “Statistica per la gestione del
rischio: questioni di frontiera”, Società Italiana di Statistica, Milano,
Bicocca, June.
42) CHERUBINI (2000): “Comment on “Relazioni di causalità tra prezzi a pronti
e prezzi future sull’indice azionario Mib30” by Rosario Rizzo in Violi R. (ed) Mercati dei derivati, controllo monetario e
stabilità finanziaria, Il Mulino, 159-162
43) CHERUBINI, U.
(1997): "Risk Management toward the EMU Era: A Review of Techniques and
Future Challenges", International IAFE Conference (International
Association of Financial Engineers): "EURO 99: Implications for Risk
Management", may, Paris.
44) BAGLIONI, A. -
CHERUBINI, U. (1995): "Financial Distress, Debt Restructuring and the Role
of Equity with Non-Additive Expected Utility", Conference "The Design
of the Banking System", IGIER.
45) CHERUBINI, U. -
HAMAUI, R. (1994) "Term Structure and Debt Sustainability: A Note on The
Italian Anomaly", Conference MIT-BCI on World Economy, Milan, May.
46) CHERUBINI, U. -
SIRONI, A. (1993) : "Short Run Effects of Persistent Shocks in the Term
Structure", Collana Ricerche n. 93-7, Banca Commerciale Italiana.
47) CHERUBINI, U.
(1993): " The Orthogonal Polynomial Approach to Contingent Claim Pricing:
Pricing Futures when Interest Rates Are Regulated", Collana Ricerche n.
93-17, Banca Commerciale Italiana.
48) CHERUBINI, U. -
ESPOSITO, M. (1993): "Using Pearson's System to Characterize Diffusion
Processes: A Note", Collana Ricerche n. 93-1, Banca Commerciale Italiana.
49) CHERUBINI, U. -
RATTI, M. (1992): "Underpricing of Initial Public Offerings in the Milan
Stock Exchange, 1985-1991", EFER Conference (European Foundation of
Entrepreneurship Research), London Business School, 13-15 December