← All authors Simona Sanfelici University of Parma (per OpenAlex) · ORCID · OpenAlex
26 papers in scope · 26 published · 1 on the econ.EM arXiv · 344 citations · h-index 10 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Giacomo Toscano Maria Elvira Mancino Stefano Marmi Giulia Livieri Carsten Chong Viktor Todorov Ilze Kalnina Zhao Chen Christina Dan Wang Kokouvi Tewou Qiang Liu Zhi Liu Zhou Wang Jun Yu Tetsuya Takabatake Chen Zhang Yang Zu José E. Figueroa-López H. Peter Boswijk Bei Wu Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 26)
Short-rate models with stochastic discontinuities: A PDE approach
published 2026 · Mathematics and Computers in Simulation
with Alessandro Calvia, Marzia De Donno, C. Guardasoni
Climate-Related Default Probabilities
published 2024 · Risks · 3 citations
with Augusto Blanc-Blocquel, Luis Ortiz-Gracia
Identifying the number of latent factors of stochastic volatility models
published 2024 · Decisions in Economics and Finance · 3 citations · first circulated 2023
published 2024 · Mathematics and Computers in Simulation · 4 citations
Fast Barrier Option Pricing by the COS BEM Method in Heston Model (with Matlab Code)
published 2023 · Computational Methods in Applied Mathematics · 5 citations
with A. Aimi, C. Guardasoni, Luis Ortiz-Gracia
Early Warning Systems for identifying financial instability
published 2022 · International Journal of Forecasting · 13 citations · first circulated 2020
with Erindi Allaj
Stochastic leverage effect in high-frequency data: a Fourier based analysis
published 2021 · Econometrics and Statistics · first circulated 2019
with Imma Valentina Curato
A fractional model for the COVID-19 pandemic: Application to Italian data
published 2020 · Stochastic Analysis and Applications · 10 citations
Nonparametric Malliavin–Monte Carlo Computation of Hedging Greeks
published 2020 · Risks · 1 citations
Real Estate Asset Management Companies’ Economies of Scale: Is It a Dream or Reality? The Italian Case
published 2020 · Complexity · 3 citations
with Evita Allodi, Claudio Cacciamani, Michele Caliolo, Pier Paolo De Santis, Fabio Della Marra
Identifying financial instability conditions using high frequency data
published 2019 · Journal of Economic Interaction and Coordination · 12 citations
A Mellin transform approach to barrier option pricing
published 2018 · IMA Journal of Management Mathematics · 36 citations
with C. Guardasoni, Marianito R. Rodrigo
Market Microstructure Effects on Firm Default Risk Evaluation
published 2016 · Econometrics · 3 citations
with Flavia Barsotti
Fast Numerical Pricing of Barrier Options under Stochastic Volatility and Jumps
published 2016 · SIAM Journal on Applied Mathematics · 21 citations
with C. Guardasoni
High-frequency volatility of volatility estimation free from spot volatility estimates
published 2015 · Quantitative Finance · 25 citations · first circulated 2014
A boundary element approach to barrier option pricing in Black–Scholes framework
published 2015 · International Journal of Computer Mathematics · 13 citations
with C. Guardasoni
An application of nonparametric volatility estimators to option pricing
published 2013 · Decisions in Economics and Finance · 5 citations
with Romuald N. Kenmoe
Assessing the quality of volatility estimators via option pricing
published 2013 · Studies in Nonlinear Dynamics and Econometrics · 4 citations
with Adamo Uboldi
Estimation of quarticity with high-frequency data
published 2012 · Quantitative Finance · 2 citations
An Improved Two-step Regularization Scheme for Spot Volatility Estimation
published 2011 · Economic Notes · 17 citations · first circulated 2008
with Shigeyoshi Ogawa
Estimating Covariance via Fourier Method in the Presence of Asynchronous Trading and Microstructure Noise
published 2011 · Journal of Financial Econometrics · 38 citations · first circulated 2008
Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
published 2007 · Computational Statistics & Data Analysis · 99 citations
Calibration of a nonlinear feedback option pricing model
published 2007 · Quantitative Finance · 1 citations
Optimal impulse control on an unbounded domain with nonlinear cost functions
published 2005 · Computational Management Science · 16 citations · first circulated 2004
with Stefano Baccarin
Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff
published 2004 · Decisions in Economics and Finance · 10 citations
Finite element method for pricing European contingent claims on multiple assets. Part II: convergence and optimal error estimates
published 2002 · Computing in Economics and Finance
with Fausto Gozzi
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