A partire dal 24 Settembre 2019, l'orario di ricevimento sarà il Martedì dalle ore 16.00 alle ore 18.00 oppure su appuntamento via email.
Research interests: Valuation and Risk Management of Life Insurance Contracts, Lévy processes, Real options, Derivatives pricing
- A.M. Gambaro, R. Casalini, G. Fusai and A. Ghilarducci (2019), A market consistent framework for the fair evaluation of insurance contracts under Solvency II, Decisions in Economics and Finance, DOI: 10.1007/s10203-019-00242-1
- A.M. Gambaro, R. Casalini, G. Fusai and A. Ghilarducci (2018), Quantitative assessment of common practice procedures in the fair evaluation of insurance contracts, Insurance: Mathematics and Economics, 81, 117-129
- A.M. Gambaro, R. Caldana and G. Fusai (2017), Approximate pricing of swaptions in affine and quadratic models, Quantitative Finance, 17 (9), 1325-1345
- A.M. Gambaro, R. Caldana and G. Fusai (2017), Accurate pricing of swaptions via Lower Bound, in Handbook of Recent Advances in Commodity and Financial Modeling, Springer, 183-205
- A.M. Gambaro and N. Secomandi (2018), A Discussion of Non-Gaussian Price Processes for Energy and Commodity Operations. (Submitted)
- A.M. Gambaro, I. Kyriakou and G.Fusai (2018), Universal discrete-time model constructions for arithmetic Asian options with possible early exercise. (Submitted)
- A.M. Gambaro, I. Kyriakou and G.Fusai (2019), Risk neutral demand forecast and real options valuation: the case of crude oil capacity plan.
- A.M. Gambaro (2019), Asset allocation for life insurance policies under Solvency II.
- A.M. Gambaro, L. Ballotta and G.Fusai (2016), HJM multiple-curve model with time-changed Lévy processes.