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Umberto Cherubini · Study
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Author
Umberto Cherubini
12 works
· latest 2015
· 1 institutions
cluster: provisional
ORCID 0000-0003-3437-3166
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12
Citations
3,378
Works here
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Most cited in this library
Copula Methods in Finance
2004 · 2,013 citations
RiskMetrics Technical Document
2015 · 661 citations
Dynamic Copula Methods in Finance
2011 · 179 citations
Bivariate option pricing with copulas
2002 · 123 citations
Volatility and Correlation
2012 · 117 citations
Works
12 shown
RiskMetrics Technical Document
AMS Campus - AlmaDL
·
2015
·
1 author
661
citations
Within and between systemic country risk. Theory and evidence from the sovereign crisis in Europe
Journal of Economic Dynamics and Control
·
2013
·
2 authors
33
citations
Volatility and Correlation
·
2012
·
2 authors
·
other
117
citations
Dynamic Copula Methods in Finance
Wiley eBooks
·
2011
·
4 authors
·
book
179
citations
A copula-based model of speculative price dynamics in discrete time
Journal of Multivariate Analysis
·
2011
·
3 authors
·
Open access
42
citations
Fourier Transform Methods in Finance
·
2009
·
3 authors
30
citations
Copula Methods in Finance
Wiley eBooks
·
2004
·
3 authors
·
book
2,013
citations
Pricing Vulnerable Options With Copulas
The Journal of Risk Finance
·
2003
·
2 authors
34
citations
Bivariate option pricing with copulas
Applied Mathematical Finance
·
2002
·
2 authors
123
citations
Multivariate Option Pricing with Copulas
RePEc: Research Papers in Economics
·
2002
·
2 authors
·
preprint
35
citations
Value‐at‐risk Trade‐off and Capital Allocation with Copulas
Economic Notes
·
2001
·
2 authors
72
citations
Liquidity and credit risk
Applied Mathematical Finance
·
2001
·
2 authors
39
citations