WORKING PAPERS

Credit risk

• Single and joint default in a structural model with purely discontinuous assets, with Filippo Fiorani and Patrizia Semeraro, Collegio Carlo Alberto Notebook 41/2007.
• Ownership structure, leverage and credit risk, with G. Nicodano, Collegio Carlo Alberto Notebook 69/2007.
• Leverage and firm scope, with G. Nicodano, Ricafe wp 49/2008.

Lévy processes

• Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators, with Patrizia Semeraro, Collegio Carlo Alberto Notebook 42/2007. A preliminary version has been presented in  Edinburgh,  Credit Risk under Lévy Models Conference, September 2006, and in Paris, Ecòle Polytechnique (Palaiseau), Workshop on  Financial Modeling with Jump Processes, September 2006.
• Generalized Normal Mean variance mixtures and Subordinated Brownian motions, with Patrizia Semeraro, ICER WP 42/07.
• Dynamic dependence modelling and copulas: the Variance Gamma case with Patrizia Semeraro, Venice, MAF 2008, March 2008.

Survival modeling in insurance

• Non mean reverting affine processes for stochastic mortality (Measuring mortality risk in pricing life insurance products), with Elena Vigna, ICER WP 4/05 and Collegio Carlo Alberto wp 30/2007, IME 2005 Conference, Quebec, July 2005, and  AFIR Meeting, Zurich,  September 2005, submitted
• A note on stochastic survival probabilities and their calibration, with Elena Vigna, ICER WP 1/05