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Alessandro Sbuelz
Alessandro Sbuelz
Professor, School of Banking, Finance, and Insurance, UCSC (Catholic University of Milan)
Verified email at unicatt.it - Homepage
Title
Cited by
Cited by
Year
Momentum and mean reversion in strategic asset allocation
RSJ Koijen, JC Rodriguez, A Sbuelz
Management science 55 (7), 1199-1213, 2009
902009
Systematic equity-based credit risk: A CEV model with jump to default
L Campi, S Polbennikov, A Sbuelz
Journal of Economic Dynamics and Control 33 (1), 93-108, 2009
502009
Real options and American derivatives: The double continuation region
A Battauz, M De Donno, A Sbuelz
Management Science 61 (5), 1094-1107, 2015
442015
Asset prices with locally constrained-entropy recursive multiple-priors utility
A Sbuelz, F Trojani
Journal of Economic Dynamics and Control 32 (11), 3695-3717, 2008
382008
Closed-form pricing of benchmark equity default swaps under the CEV assumption
L Campi, A Sbuelz
CentER Discussion Paper Series, 2005
292005
A simplified way of incorporating model risk, estimation risk and robustness in mean variance portfolio management
F Cavadini, A Sbuelz, F Trojani
Working paper, 2001
292001
Real options with a double continuation region
A Battauz, MD Donno, A Sbuelz
Quantitative Finance 12 (3), 465-475, 2012
232012
Hedging double barriers with singles
A Sbuelz
International Journal of Theoretical and Applied Finance 8 (03), 393-407, 2005
202005
Interpreting the oil risk premium: Do oil price shocks matter?
D Valenti, M Manera, A Sbuelz
Energy Economics 91, 104906, 2020
182020
Assessing credit with equity: A cev model with jump to default
L Campi, SY Polbennikov, A Sbuelz
182005
Equilibrium asset pricing with time-varying pessimism
A Sbuelz, F Trojani
EFA 2003 Annual Conference Paper, 2002
162002
Reaching nirvana with a defaultable asset?
A Battauz, M De Donno, A Sbuelz
Decisions in Economics and Finance 40, 31-52, 2017
152017
Revisiting corporate growth options in the presence of state-dependent cashflow risk
A Sbuelz, M Caliari
European journal of operational research 220 (1), 286-294, 2012
132012
On the exercise of American quanto options
A Battauz, M De Donno, A Sbuelz
Preprint, 2017
12*2017
Kim and Omberg revisited: the duality approach
A Battauz, M De Donno, A Sbuelz
Journal of Probability and Statistics 2015 (1), 581854, 2015
122015
Structural rfv: Recovery form and defaultable debt analysis
R Guha, A Sbuelz
122003
Bail-in vs bail-out: Bank resolution and liability structure
L Leanza, A Sbuelz, A Tarelli
International Review of Financial Analysis 73, 101642, 2021
112021
Structural recovery of face value at default
R Guha, A Sbuelz, A Tarelli
European Journal of Operational Research 283 (3), 1148-1171, 2020
112020
The put-call symmetry for American options in the Heston stochastic volatility model
A Battauz, M De Donno, A Sbuelz
Math. Finance Lett. 2014, Article ID 7, 2014
62014
The value of fighting irreversible demise by softening the irreversible cost
P Magis, A Sbuelz
International Journal of Theoretical and Applied Finance 9 (04), 503-516, 2006
62006
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