Viviana Fanelli

Orcid: 0000-0002-0212-204X

According to our database1, Viviana Fanelli authored at least 7 papers between 2011 and 2024.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of five.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
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Links

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Bibliography

2024
Seasonality in commodity prices: new approaches for pricing plain vanilla options.
Ann. Oper. Res., May, 2024

Correction to: Seasonality in commodity prices: new approaches for pricing plain vanilla options.
Ann. Oper. Res., January, 2024

2021
Long memory and crude oil's price predictability.
Ann. Oper. Res., 2021

2020
A nonlinear dynamic model for credit risk contagion.
Math. Comput. Simul., 2020

2017
Implications of implicit credit spread volatilities on interest rate modelling.
Eur. J. Oper. Res., 2017

2016
A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch.
Eur. J. Oper. Res., 2016

2011
Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model.
Eur. J. Oper. Res., 2011


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