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Author

Daniele Angelini

Observed names: ANGELINI, DANIELE, Angelini, Daniele
ORCID: 0000-0003-4574-0021
Observed ORCIDs: 0000-0003-4574-0021, 0000-0002-5226-1320
OpenAlex ID: A5026351359
Rough volatility via the Lamperti transform
2023 · Sergio Bianchi, Daniele Angelini, et al. · Communications in Nonlinear Science and Numerical Simulation · 12
Nonlinear biases in the roughness of a Fractional Stochastic Regularity Model
2023 · Daniele Angelini, Sergio Bianchi · Chaos Solitons & Fractals · 12
When is volatility fair? Hölder regularity and financial risk
2026 · Sergio Bianchi, Daniele Angelini · Applied Mathematics and Computation · 1
Kolmogorov–Smirnov estimation of self-similarity in long-range dependent fractional processes
2025 · Daniele Angelini, Sergio Bianchi · Physica D Nonlinear Phenomena · 1
Kolmogorov-Smirnov Estimation of Self-Similarity in Long-Range Dependent Fractional Processes
2025 · Daniele Angelini, Sergio Bianchi · SSRN Electronic Journal · 1
From Fair Price to Fair Volatility: A Martingale-Consistent Benchmark via Path Regularity
2026 · Sergio Bianchi, Daniele Angelini, et al.
Artificial Roughness in Volatility Models: A Critical Review of Hurst Exponent Estimation
2026 · Angelini, Daniele · Università degli studi di Roma La Sapienza
(In)Efficient Market States and Rough Volatility Detected via Grunwald-Letnikov Fractional Derivative
2026 · Angelini, Daniele · arXiv (Cornell University)
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Integrating the implied regularity (Ht) into implied volatility models: A study on free arbitrage model
2026 · Fabrizio Di Sciorio, Daniele Angelini · Journal of Economic Analysis
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Fair volatility in a multifractional world: a new equilibrium benchmark for financial markets
2026 · ANGELINI, DANIELE · IRIS Research product catalog (Sapienza University of Rome)
Fiscal Policy and Human Capital in the Race against the Machine
2026 · Florian von Muschwitz, Daniele Angelini, et al. · SSRN Electronic Journal
Fair Volatility: A Framework for Reconceptualizing Financial Risk
2025 · Bianchi, Sergio, Angelini, Daniele · arXiv (Cornell University)
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From fair price to fair volatility: Towards an Efficiency-Consistent Definition of Financial Risk
2025 · Bianchi, Sergio, Angelini, Daniele, et al. · arXiv (Cornell University)
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A new tool to detect financial data scaling
2025 · Sergio Bianchi, Augusto Pianese, et al. · Frontiers in Applied Mathematics and Statistics
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Kolmogorov-Smirnov Estimation of Self-Similarity in Long-Range Dependent Fractional Processes
2025 · Angelini, Daniele, Bianchi, Sergio · arXiv (Cornell University)
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Integrating the Implied Regularity into Implied Volatility Models: A Study on Free Arbitrage Model
2025 · Daniele Angelini, Fabrizio Di Sciorio · SSRN Electronic Journal
From Fair Price to Fair Volatility: Towards an Efficiency-Consistent Definition of Financial Risk
2025 · Sergio Bianchi, Daniele Angelini, et al. · SSRN Electronic Journal
Roughness in VIX Index and in Realized Volatility: Rolling Window Estimation by Randomized Kolmogorov-Smirnov Distribution
2025 · Sergio Bianchi, Daniele Angelini · Springer eBooks
Fair Volatility in the Fractional Stochastic Regularity Model
2024 · Sergio Bianchi, Daniele Angelini, et al. · Springer eBooks
Market Information of the Fractional Stochastic Regularity Model
2024 · Daniele Angelini, Matthieu Garcin · SSRN Electronic Journal
Works count: 25
Citation count: 27
H-index: 2
I10-index: 2
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