| A general methodology to price and hedge derivatives in incomplete markets E Aurell, R Baviera, O Hammarlid, M Serva, A Vulpiani International Journal of Theoretical and Applied Finance 3 (01), 1-24, 2000 | 35 | 2000 |
| Bond market model R Baviera International Journal of Theoretical and Applied Finance 9 (04), 577-596, 2006 | 23 | 2006 |
| Markovian approximation in foreign exchange markets R Baviera, D Vergni, A Vulpiani Physica A: Statistical Mechanics and its Applications 280 (3-4), 566-581, 2000 | 19 | 2000 |
| Efficiency in foreign exchange markets R Baviera, M Pasquini, M Serva, D Vergni, A Vulpiani arXiv preprint cond-mat/9901225, 1999, 1999 | 18* | 1999 |
| Forecast in foreign exchange markets R Baviera, M Pasquini, M Serva, D Vergni, A Vulpiani The European Physical Journal B-Condensed Matter and Complex Systems 20, 473-479, 2001 | 17 | 2001 |
| The Comprehensive Assessment: What lessons can be learned? E Barucci, R Baviera, C Milani The European Journal of Finance 24 (15), 1253-1271, 2018 | 16 | 2018 |
| Optimal strategies for prudent investors R Baviera, M Pasquini, M Serva, A Vulpiani International Journal of Theoretical and Applied Finance 1 (04), 473-486, 1998 | 16 | 1998 |
| Correlations and multi-affinity in high frequency financial datasets R Baviera, M Pasquini, M Serva, D Vergni, A Vulpiani Physica A: Statistical Mechanics and its Applications 300 (3-4), 551-557, 2001 | 14 | 2001 |
| Additive normal tempered stable processes for equity derivatives and power-law scaling M Azzone, R Baviera Quantitative Finance 22 (3), 501-518, 2022 | 12 | 2022 |
| Stop-loss and leverage in optimal statistical arbitrage with an application to energy market R Baviera, T Santagostino Energy Economics 79, 130-143, 2019 | 12 | 2019 |
| A note on dual-curve construction: Mr. Crab’s Bootstrap R Baviera, A Cassaro Applied Mathematical Finance 22 (2), 105-132, 2015 | 11 | 2015 |
| Is the comprehensive assessment really comprehensive? E Barucci, R Baviera, C Milani Available at SSRN 2541043, 2014 | 11 | 2014 |
| Growth optimal investment and pricing of derivatives E Aurell, R Baviera, O Hammarlid, M Serva, A Vulpiani Physica A: Statistical Mechanics and its Applications 280 (3-4), 505-521, 2000 | 11 | 2000 |
| Synthetic forwards and cost of funding in the equity derivative market M Azzone, R Baviera Finance Research Letters 41, 101841, 2021 | 9 | 2021 |
| CVA with wrong-way risk in the presence of early exercise R Baviera, G La Bua, P Pellicioli Innovations in Derivatives Markets: Fixed Income Modeling, Valuation …, 2016 | 8 | 2016 |
| The measure of model risk in credit capital requirements R Baviera Finance Research Letters 44, 102064, 2022 | 7 | 2022 |
| Gambling and pricing of derivatives E Aurell, R Baviera, O Hammarlid, M Serva, A Vulpiani Available at SSRN 99837, 1998 | 7 | 1998 |
| A variational approach to Ising spin glasses in finite dimensions R Baviera, M Pasquini, M Serva Journal of Physics A: Mathematical and General 31 (18), 4127, 1998 | 7 | 1998 |
| Antipersistent Markov behavior in foreign exchange markets R Baviera, M Pasquini, M Serva, D Vergni, A Vulpiani Physica A: Statistical Mechanics and its Applications 312 (3-4), 565-576, 2002 | 6 | 2002 |
| A fast Monte Carlo scheme for additive processes and option pricing M Azzone, R Baviera Computational Management Science 20 (1), 31, 2023 | 5 | 2023 |
Maurizio ServaUniversity of L'AquilaVerified email at univaq.it
