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Flavio Angelini · Study
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Author
Flavio Angelini
3 works
· latest 2017
· 1 institutions
cluster: provisional
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Citations
63
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3
05
09
17
Most cited in this library
Consistent calibration of HJM models to cap implied volatilities
2005 · 25 citations
Portfolio management with benchmark related incentives under mean reverting processes
2017 · 21 citations
Measuring the error of dynamic hedging: a Laplace transform approach
2009 · 17 citations
Works
3 shown
Portfolio management with benchmark related incentives under mean reverting processes
Annals of Operations Research
·
2017
·
3 authors
·
Open access
21
citations
Measuring the error of dynamic hedging: a Laplace transform approach
The Journal of Computational Finance
·
2009
·
2 authors
17
citations
Consistent calibration of HJM models to cap implied volatilities
Journal of Futures Markets
·
2005
·
2 authors
·
Open access
25
citations