Sebastiano Vitali

According to our database, Sebastiano Vitali authored at least 13 papers between 2017 and 2024.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2024

Using interpolated implied volatility for analysing exogenous market changes.

Matús Maciak, Sebastiano Vitali

Comput. Manag. Sci., June, 2024

2023

Implied volatility smoothing at COVID-19 times.

Sebastiano Vitali, Milos Kopa, Gabriel E. Giana

Comput. Manag. Sci., December, 2023

Investment disputes and their explicit role in option market uncertainty and overall risk instability.

Zdenek Drábek, Milos Kopa, Matús Maciak, Michal Pesta, Sebastiano Vitali

Comput. Manag. Sci., December, 2023

2021

Pension fund management with investment certificates and stochastic dominance.

Sebastiano Vitali, Vittorio Moriggia

Ann. Oper. Res., 2021

Comparing stage-scenario with nodal formulation for multistage stochastic problems.

Sebastiano Vitali, Ruth Domínguez, Vittorio Moriggia

4OR, 2021

2020

Evaluation of scenario reduction algorithms with nested distance.

Markéta Horejsová, Sebastiano Vitali, Milos Kopa, Vittorio Moriggia

Comput. Manag. Sci., 2020

Long-term individual financial planning under stochastic dominance constraints.

Giorgio Consigli, Vittorio Moriggia, Sebastiano Vitali

Ann. Oper. Res., 2020

2018

Multistage multivariate nested distance: An empirical analysis.

Sebastiano Vitali

Kybernetika, 2018

Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming.

Giorgio Consigli, Vittorio Moriggia, Sebastiano Vitali, Lorenzo Mercuri

Comput. Manag. Sci., 2018

Portfolio selection strategy for fixed income markets with immunization on average.

Sergio Ortobelli, Sebastiano Vitali, Marco Cassader, Tomás Tichý

Ann. Oper. Res., 2018

Individual optimal pension allocation under stochastic dominance constraints.

Milos Kopa, Vittorio Moriggia, Sebastiano Vitali

Ann. Oper. Res., 2018

2017

Optimal pension fund composition for an Italian private pension plan sponsor.

Sebastiano Vitali, Vittorio Moriggia, Milos Kopa

Comput. Manag. Sci., 2017

Implied volatility and state price density estimation: arbitrage analysis.

Milos Kopa, Sebastiano Vitali, Tomás Tichý, Radek Hendrych

Comput. Manag. Sci., 2017