articLES in journalS

1) CHERUBINI U. – S. MULINACCI – S. ROMAGNOLI (2011): “On The Distribution of The Un(Bounded) Sum of Random Variables”, Insurance: Mathematics and Economics, 48(1) , 56-63

2) CHERUBINI U. – S. MULINACCI – S. ROMAGNOLI (2011): “A Copula-Based Model of Speculative Price Dynamics in Discrete Time”, Journal of Multivariate Analysis, forthcoming

3) CHERUBINI U. – S. ROMAGNOLI (2011): “Multivariate Digital Options with Memory”, The European Journal of Finance, forthcoming

4) CHERUBINI U. – ROMAGNOLI S. (2010): “The Dependence Structure of Running Maxima and Minima: Results and Option Pricing Applications”, Mathematical Finance, 20(1), 35-58.

5) CHERUBINI U. – S. MULINACCI – S. ROMAGNOLI (2008): “A Lattice Model with Incomplete Information: A Credit Risk Application”, Statistics and Decisions, 26(2), 75-88

6) CHERUBINI U. – S. ROMAGNOLI (2009): “Computing Copula Volume in n Dimensions”, Applied Mathematical Finance, 16(4), 307-314

7) CHERUBINI U. – E. LUCIANO (2003) “Pricing and Hedging Credit Derivatives with Copulas”, Economic Notes, 32, 219-242.

8) CHERUBINI U. – E. LUCIANO (2003) “Pricing Vulnerable Options with Copulas”, Journal of Risk Finance, 5 (1), 27-39.

9) CHERUBINI U. – E. LUCIANO (2002) “Copula Vulnerability”, RISK, ottobre, 83-86

10) CHERUBINI U. – E. LUCIANO (2002) “Bivariate Option Pricing with Copulas”, Applied Mathematical Finance, 9, 69-85

11) CHERUBINI U. – G. DELLA LUNGA (2001) “Liquidity and Credit Risk” , Applied Mathematical Finance, 8, 79-95

12) CHERUBINI U. – G. DELLA LUNGA (2001) “Fuzzy Value-at-Risk: Accounting for Market Liquidity”, Economic Notes, 30, 2, pp 293-312

13) CHERUBINI U. – E. LUCIANO (2001) “Value-at-Risk Trade-Off and Capital Allocation with Copulas”, Economic Notes, 30, 2, 235-256

14) 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

15) BALDINI N. - U. CHERUBINI, (1998): "Term Structure Movements and Market Segmentation: A LISREL Analysis of the Italian Case", Economic Notes , 27, 35-54.

16) CHERUBINI, U. (1997): "Fuzzy Measures and Asset Prices: Accounting for Information Ambiguity", Applied Mathematical Finance , vol.4, 135-49.

17) 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.

18) BARUCCI, E. , U. CHERUBINI - L. LANDI (1996): "Computational Methods in Finance: Option Pricing", IEEE Computational Science & Engineering Magazine, spring, 66-80.

19) 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.

20) 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.

21) CHERUBINI, U. - HAMAUI, R. (1994) "A Note on Italian Debt Sustainability ", Economic and Financial Rewiew, Winter.

22) 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.

23) CHERUBINI, U. - CIAMPOLINI, M. - HAMAUI, R. - SIRONI, A. (1993) "Exchange Rates and Interest Rates Polarization, Weltwirtschaftliches Archiv, 129, 4, 651-661.

24) BAGLIONI, A. - CHERUBINI, U. (1993): "Intertemporal Budget Constraint and Public Debt Sustainability: the Case of Italy", Applied Economics, 25, 275-283.

25) 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, .

26) CHERUBINI U. (1991): "Futures Markets and Risk Management in the Banking Industry: A Theoretical View", Economic Notes, 20, 3, pp. 600-618

27) 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

28) 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

29) 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.

30) 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.

31) 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.

32) 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.

33) 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

34) 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

35) 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.

36) 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.

37) 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.

38) 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.

39) 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

40) 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

41) CHERUBINI U. – MANERA M. (2005): “Hunting the Living Dead: A “Peso Problem” in Corporate Liabilities Data”, International Conference Journal of Applied Econometrics, Venezia, giugno.

42) 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

43) CHERUBINI U. – DELLA LUNGA G. (2003): “Fuzzy Pricing”, Jaffee- Columbia Conference, Tokyo, 15-16 march

44) CHERUBINI (2002): “Statistica per la gestione del rischio: questioni di frontiera”, Società Italiana di Statistica, Milano, Bicocca, June.

45) 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

46) 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.

47) 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.

48) CHERUBINI, U. - HAMAUI, R. (1994) "Term Structure and Debt Sustainability: A Note on The Italian Anomaly", Conference MIT-BCI on World Economy, Milan, May.

49) CHERUBINI, U. - SIRONI, A. (1993) : "Short Run Effects of Persistent Shocks in the Term Structure", Collana Ricerche n. 93-7, Banca Commerciale Italiana.

50) 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.

51) CHERUBINI, U. - ESPOSITO, M. (1993): "Using Pearson's System to Characterize Diffusion Processes: A Note", Collana Ricerche n. 93-1, Banca Commerciale Italiana.

52) 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