Carbon-Penalised Portfolio Insurance Strategies in a Stochastic Factor Model with Partial Information by Katia Colaneri, Federico D’Amario, Daniele Mancinelli. To appear in Scandinavian Acturial Journal Abstract: We investigate optimal proportional portfolio insurance (PPI) strategies aimed at reducing exposure to carbon intensive stocks. PPI strategies enable investors to mitigate downside risk while retaining the potential for …

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Short-rate models with stochastic discontinuities: A PDE approach by Alessandro Calvia, Marzia De Donno, Chiara Guardasoni, Simona Sanfelici. Published in Mathematics and computers in simulation. Abstract: With the reform of interest rate benchmarks, interbank offered rates (IBORs) like LIBOR have been replaced by risk-free rates (RFRs), such as the Secured Overnight Financing Rate (SOFR) in …

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The additive Bachelier model with an application to the oil option market in the Covid period by Roberto Baviera and Michele Domenico Massaria Published in the Journal of Computational and Applied Mathematics Abstract: In April 2020, the Chicago Mercantile Exchange temporarily switched the pricing formula for West Texas Intermediate oil market options from the Black model …

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Temperature Anomalies and Climate Physical Risk in Portfolio Construction by Michele Azzone, Carlo Bechi, Gabriele Sbaiz Preprint Abstract: Driven by the increasing frequency and intensity of natural disasters and chronic climate threats, we investigate the impact of physical climate risk on global equity portfolios. By employing a panel regression analysis on sectoral returns, we provide statistical …

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Pricing and Hedging Financial Derivatives in Merger & Acquisition Deals with Price Impact by Emilio Barucci, Yuheng Lan, Daniele Marazzina. Preprint Abstract: We investigate the optimal execution of contracts that are used in merger\&acquisition deals. We consider cash-settled and physically delivered contracts between a broker and a counterpart. Contracts are linear (total returns swaps), nonlinear (collar …

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Forecasting Bitcoin price movements using multivariate Hawkes processes and limit order book data by Davide Raffaelli, Raffaele Giuseppe Cestari, Daniele Marazzina, Simone Formentin. Published in Decisions in Economics and Finance. Abstract: Forecasting short-term returns of Bitcoin is a key challenge in high-frequency trading, due to the cryptocurrency’s extreme volatility, market microstructure complexity, and non-stationary behavior. Limit Order Book …

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Navigating Supply Shocks: Sector Resilience and Production Prices Through Stochastic Input–Output Modeling by Giovanni Amici, Gianluca Fusai, Anna Maria Gambaro, Daniele Marazzina. Published in Mathematical Finance. Abstract: This study develops a novel multivariate stochastic framework for assessing systemic risks, such as climate and nature-related shocks, within production or financial networks. By embedding a linear stochastic fluid network, interpretable …

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A Standardized Approach to Environmental, Social, and Governance Ratings for Business Strategy: Enhancing Corporate Sustainability Assessment by Francesca Grassetti and Daniele Marazzina. Published in Sustainability. Abstract: The current landscape of Environmental, Social, and Governance (ESG) ratings is fragmented by methodological inconsistencies, lack of standardization, and substantial divergences among rating providers. These discrepancies hinder comparability, reduce transparency, …

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