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Michele L. Bianchi

Michele Leonardo Bianchi

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affiliation: Bank of Italy, Rome, Italy

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2020 – today

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2024
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Michele Leonardo Bianchi:
Text mining arXiv: a look through quantitative finance papers. CoRR abs/2401.01751 (2024)
2022
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Michele Leonardo Bianchi:
Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs. Commun. Stat. Simul. Comput. 51(7): 3685-3713 (2022)
2021
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Massimo Arnone, Michele Leonardo Bianchi, Anna Grazia Quaranta, Gian Luca Tassinari:
Catastrophic risks and the pricing of catastrophe equity put options. Comput. Manag. Sci. 18(2): 213-237 (2021)

2010 – 2019

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2017
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Michele Leonardo Bianchi, Svetlozar T. Rachev, Frank J. Fabozzi:
Tempered stable Ornstein- Uhlenbeck processes: A practical view. Commun. Stat. Simul. Comput. 46(1): 423-445 (2017)
2016
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Michele L. Bianchi, Marco Rocco:
Disentangling the Information Content of Government Bonds and Credit Default Swaps: An Empirical Analysis on Sovereigns and Banks. Frontiers Appl. Math. Stat. 2: 22 (2016)
2014
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Michele Leonardo Bianchi, Frank J. Fabozzi:
Discussion of 'on simulation and properties of the stable law' by Devroye and James. Stat. Methods Appl. 23(3): 353-357 (2014)

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