index torricelli

COSTANZA TORRICELLI

Dipartimento di Economia Politica e Centro Sudi Banca e Finanza (CEFIN)

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Responsabile CLEF, la nuova Laurea Triennale in ECONOMIA E FINANZA: i lucidi della presentazione agli studenti del 7 ottobre 2009

Ulteriori informazioni negli orari di ricevimento o via e-mail.

Responsabile curriculum FINANZA E MONETA - Corso di laurea in Scienze Economiche e Sociali (SES)

Il lucidi della presentazione per l'a.a. 2009-10

Ulteriori informazioni negli orari di ricevimento o via e-mail.

La LAUREA SPECIALISTICA in Analisi, Consulenza e Gestione Finanziaria

Per informazioni, temi per TESI/PROGETTI etc. si rimanda al sito del CEFIN. Per informazioni sulla Laurea Magistrale ACGF a.a. 2009-10 si rimanda alla homepage del Prof. Marotta.

Didattica/teaching

PREREQUISITI DI MATEMATICA FINANZIARIA E FINANZA PER LA LAUREA MAGISTRALE IN ANALISI CONSULENZA E GESTIONE FINANZIARIA

RICEVIMENTO STUDENTI: come da sito facoltà
In caso di impossibilità ad usufruire orari di ricevimento studenti indicati sul sito, si prega di contattare il docente telefonicamente nel suddetto orario per eventuale appuntamento.

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A.A. 2009-10

Laurea Specialisitca ACGF - RISK MANAGEMENT M2 a. a. 2009-10

Informazioni e materiale integrativo su Dolly.
Facsimile prova esame

Laurea Magistrale ACGF - RISK MANAGEMENT

Informazioni e materiale integrativo su Dolly.

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A.A. PRECEDENTI

INTRODUZIONE ALLA PROGRAMMAZIONE E APPLICAZIONI PER LA FINANZA M2 (Prodotti Derivati)

Il materiale dell'a.a. 2007-2008 è scaricabile da Dolly.

MATEMATICA FINANZIARIA MZ

Materiale didattico integrativo: è disponibile presso l'ufficio stampa una dispensa scritta dalla sottoscritta.
L'utilizzo di tale materiale deve esser fatto seguendo le indicazioni date nella seconda nota a pag. 2 della medesima dispensa.

Prova di esame: potete scaricare facsimile di prova scritta; NB orale obbligatorio.

MODELLI PER GLI INVESTIMENTI FINANZIARI M2 - titoli derivati
Potete scaricare facsimile di prova scritta; NB orale obbligatorio.

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FACSIMILE CURRICULUM STUDENTI

Laurea triennale

Laurea Specialistica

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RICERCA / RESEARCH

RESEARCH INTERESTS

Household finance

Financial Economics

Derivatives pricing

Risk Management

PUBLICATIONS

M.Brunetti - C.Torricelli, Demographics and asset returns: does the dynamics of population ageing matter?, Annals of Finance,Volume 6, Issue 2 (2010), 193.219.

M.Brunetti, C. Torricelli, The impact of population ageing on household portfolios, life-cycle allocations and asset returns, in Bertocchi M., W. Ziemba, S. Schwartz (Eds.) Optimizing the ageing, retirement and pensions dilemma, WIley, February 2010. download details

                   Pederzoli C., Torricelli C., Tsomocos D., Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework, Annals of Finance, Volume 6, Issue 1 (2010), Page 33-49.

                   M.Brunetti - C.Torricelli, Population age structure and household portfolio choices in Italy, European Journal of Finance, accepted, May 2009, available online.

                G. Bertocchi, M.Brunetti - C.Torricelli, Portfolio choices, Gender and Marital Status, Rivista di Politica Economica, 2008, Issue IX-X, 119-153. download

                   M.Brunetti - C.Torricelli, Economic Activity and Recession Probabilities: information content and predictive power of the term spread in Italy, Applied Economics, VL. 41, N.18, 2309-2322, 2009.

                   S.Castellani, C. Pederzoli, C.Torricelli, Indebtedness, macroeconomic conditions and banks' loan losses: evidence from Italy, in Moriggia V. & Torricelli C. (Eds.),
                    Bank Capital in risk management and  investment strategies, Esculapio, Bologna, October 2008.

                    V. Moriggia, S. Muzzioli, C. Torricelli, “On the no arbitrage condition in option implied trees” European Journal of Operational Research, VL. 193, 1, 212-221, 2009.

Brunetti, M., Torricelli C., The Population Ageing in Italy: Facts and Impact on Household Portfolios, in "Money, Finance and Demography: The Consequences of Ageing,"

SUERF ColloquiumVolumes, SUERF - The European Money and Finance Forum, Morten Balling & Ernest Gnan & Frank Lierman (eds.), March 2007. http://ideas.repec.org/b/erf/erfcol/1.html

V.Moriggia - S.Muzzioli - C.Torricelli, Call and put implied volatilities and the derivation of option implied trees, Frontiers in Finance and Economics, Vl. 4, N.1, June 2007.

M.Brunetti - C.Torricelli, The internal and cross market efficiency in index option markets: an investigation of the Italian market, Applied Financial Economics, 17, 2007, 25-33.

Marotta, G., Pederzoli, C., Torricelli,C., 2006, Forward-looking estimation of default probabilities with Italian data, Euro-Mediterranean Economics and Finance Review, 1, 1, 6-19.

C.Pederzoli - C. Torricelli, Capital requirements and Business Cycle Regimes: Forward-looking modelling of Default Probabilities , Journal of Banking and Finance, 2, 2005, 3121-3140.

M.Brunetti - C.Torricelli, Put-Call Parity and cross-market efficiency in the Index Options Markets: evidence from the Italian market, International Review of Financial Analysis, Vl.14, 2005, 508-532.

S.Muzzioli - C.Torricelli, The pricing of options on an interval binomial tree: an application to the DAX index option market, European Journal of Operational Research, 163, 2005, 192-200.

S.Muzzioli - C.Torricelli, A multiperiod binomial model for pricing options in a vague world, Journal of Economic Dynamics and Control, 28, 2004, 861-887.

D.Mercurio – C.Torricelli, Estimation and arbitrage opportunities for exchange rate baskets, Applied Economics, 35,October 2003, 1689-1698.

S.Muzzioli - C.Torricelli, Implied trees in illiquid markets: a Choquet pricing approach, International Journal of Intelligent Systems, 17, 6, 2002.

G. Boero - C. Torricelli, "The information in the term structure of interest rates: further results for Germany", European Journal of Finance, vl.8, Issue 1, 20-44, 2002.

L.Malaguti - C.Torricelli, The Rational Expectation Dynamics of a Model for the Term Structure and Moneatry Policy, Decisions in Economics and Finance, Vl.24, N.2, November 2001, 137-152.

S.Muzzioli - C. Torricelli, "A model for pricing an option with a fuzzy payoff", Fuzzy Economic Review, 6 (1), May 2001.

L. Malaguti - C. Torricelli, 1997, “Monetary policy and the term structure of interest rates: a generalisation of McCallum (1994) two-period model”, ed. C.Hipp, Geld, Finanz, Banken und Versicherung, VVW Karlsruhe.

G. Boero - C. Torricelli, "A comparative evaluation of alternative models of the term structure of interest rates", European Journal of Operational Research, vl. 93, n.1, 205-223, August 1996.

C.Torricelli: "Futures Market and Spot Price Volatility: a Model for a Storable Commodity", 1994, European Journal of Political Economy, vol.10, 339-355.

A. Bassetti - C. Torricelli: "Optimal Portfolio Selection as a Solution to an Axiomatic Bargaining Game", 1992, ed. G. Feichtinger, Dynamic Economic Models and Optimal Control, Amsterdam, Elsevier Publisher.

A.Bassetti - C.Torricelli: "Optimal Portfolio Selection as a Bargaining Game",1991, eds. R.P.Hamalainen e H.Ehtamo, Springer Verlag Lectures Notes in Control and Information Sciences, vol.II, Dynamic Games in Economic Analysis, Heidelberg, Springer Verlag.

C.Torricelli: "A Survey in the Theory of Futures Markets", Ricerche Economiche, 4(1989).

PUBLICATIONS IN ITALIAN

M.Bonollo, D. Morandi, C. Torricelli, Model risk e tecniche per il controllo deimarket parameter, Working Paper Cefin, 2007, download

C. Torricelli: varie voci redatte per Enciclopedia di Repubblica, UTET, 2003.

C. Torricelli: voci redatte per l'Enciclopedia dell'Economia dell'Impresa, volume Economia Politica, UTET, maggio 1994:

Capital Asset Pricing Model(CAPM),

Credito,

Futures Markets,

Intermediazione Finanziaria,

Mercati a termine,

Mercati Finanziari,

Teorie delle Opzioni.

C.Torricelli: "I MERCATI FUTURES - Teorie, modelli e applicazioni", Bologna, 1992, CLUEB.

G. Ricci - C.Torricelli : "Strumenti matematici per le decisioni finanziarie", Collana di Argomenti di Matematica Applicata, 1992, Bologna, PATRON.

RECENT WORKING PAPERS

Torricelli C., 2009, Models for household portfolios and life-cycle allocations in the presence of labour income and longevity risk, Working Paper Cefin N. 17 , March, www.cefin.unimore.it

                    Bertocchi G., Brunetti, M., Torricelli C. (2008), “Marriage and other risky assets: a Portfolio Approach”, CEPR Discussion Paper No. 7162
                   http://www.cepr.org/pubs/new-dps/showdp.asp?dpno=7162 and IZA Discussion Paper No. 3975, January 2009 http://ftp.iza.org/dp3975.pdf

                    Castellani S., C.Pederzoli, C. Torricelli, 2008, Indebtedness, macroeconomic conditions and banks' loan losses: evidence from Italy, CEFIN, WP N.9, January, www.cefin.unimore.it

                    Pederzoli C., Torricelli C., Tsomocos D. (2008) Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework, Oxford Financial Research Centre
                    WP 2008-fe-27 download

                      Marotta, G., Pederzoli, C., Torricelli,C., 2007, Forward-looking estimation of default probabilities with Italian data,Quaderni di Ricerche: 40 anni di attività dell'Ente Einaudi.
                       www.enteluigieinaudi.it/