Viviana Fanelli

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

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2024

Seasonality in commodity prices: new approaches for pricing plain vanilla options.

Carme Frau, Viviana Fanelli

Ann. Oper. Res., May, 2024

Correction to: Seasonality in commodity prices: new approaches for pricing plain vanilla options.

Carme Frau, Viviana Fanelli

Ann. Oper. Res., January, 2024

2021

Long memory and crude oil's price predictability.

Roy Cerqueti, Viviana Fanelli

Ann. Oper. Res., 2021

2020

A nonlinear dynamic model for credit risk contagion.

Viviana Fanelli, Lucia Maddalena

Math. Comput. Simul., 2020

2017

Implications of implicit credit spread volatilities on interest rate modelling.

Viviana Fanelli

Eur. J. Oper. Res., 2017

2016

A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch.

Viviana Fanelli

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.

Carl Chiarella, Viviana Fanelli, Silvana Musti

Eur. J. Oper. Res., 2011