Get started
Author

Roberto Baviera

Observed names: Baviera R, Baviera, R., Baviera, Roberto, R Baviera, R. BAVIERA, R. Baviera, ROBERTO BAVIERA, Roberto Baviera†
Observed institutions: The Abdus Salam International Centre for Theoretical Physics (ICTP), University of L'Aquila, National University of General Sarmiento, Istituto Nazionale per la Fisica della Materia, Instituto de Ciencias, HEC Paris, Sapienza University of Rome, Politecnico di Milano
ORCID: 0000-0002-8557-979X
Observed ORCID: 0000-0002-8557-979X
OpenAlex ID: A5067226153
Growth optimal investment and pricing of derivatives
2000 · Erik Aurell, Roberto Baviera, et al. · Physica A Statistical Mechanics and its Applications · 38
PDF
Efficiency in Foreign Exchange Markets
1999 · Roberto Baviera, Michele Pasquini, et al. · SSRN Electronic Journal · 35
A General Methodology to Price and Hedge Derivatives in Incomplete Markets
2000 · ERIK AURELL, ROBERTO BAVIERA, et al. · International Journal of Theoretical and Applied Finance · 30
The Comprehensive Assessment: What lessons can be learned?
2018 · Emilio Barucci, Roberto Baviera, et al. · European Journal of Finance · 16
PDF
Bond Market Model
2006 · ROBERTO BAVIERA · International Journal of Theoretical and Applied Finance · 16
Additive normal tempered stable processes for equity derivatives and power-law scaling
2021 · Michele Azzone, Roberto Baviera · Quantitative Finance · 14
PDF
Markovian approximation in foreign exchange markets
2000 · Roberto Baviera, Davide Vergni, et al. · Physica A Statistical Mechanics and its Applications · 13
PDF
Stop-loss and leverage in optimal statistical arbitrage with an application to energy market
2018 · Roberto Baviera, Tommaso Santagostino Baldi · Energy Economics · 12
PDF
Correlations and multi-affinity in high frequency financial datasets
2001 · Roberto Baviera, Michele Pasquini, et al. · Physica A Statistical Mechanics and its Applications · 12
Forecast in foreign exchange markets
2001 · R. Baviera, M. Pasquini, et al. · The European Physical Journal B · 12
Optimal Strategies for Prudent Investors
1998 · Roberto Baviera, Michele Pasquini, et al. · International Journal of Theoretical and Applied Finance · 12
The puzzle of Carbon Allowance spread
2025 · Michele Azzone, Roberto Baviera, et al. · Energy Economics · 10
Gambling and Pricing of Derivatives
1998 · Erik M. Aurell, Roberto Baviera, et al. · SSRN Electronic Journal · 10
Synthetic forwards and cost of funding in the equity derivative market
2020 · Michele Azzone, Roberto Baviera · Finance research letters · 9
PDF
A fast Monte Carlo scheme for additive processes and option pricing
2023 · Michele Azzone, Roberto Baviera · Computational Management Science · 8
PDF
The measure of model risk in credit capital requirements
2021 · Roberto Baviera · Finance research letters · 7
PDF
Is the Comprehensive Assessment Really Comprehensive?
2014 · Emilio Barucci, Roberto Baviera, et al. · SSRN Electronic Journal · 7
CVA with Wrong-Way Risk in the Presence of Early Exercise
2016 · Roberto Baviera, Gaetano La Bua, et al. · Springer proceedings in mathematics & statistics · 6
PDF
A Note on Dual-Curve Construction: Mr. Crab’s Bootstrap
2014 · Roberto Baviera, Alessandro Cassaro · Applied Mathematical Finance · 6
Antipersistent Markov behavior in foreign exchange markets
2002 · Roberto Baviera, Michele Pasquini, et al. · Physica A Statistical Mechanics and its Applications · 6
A method that reveals the multi-level ultrametric tree hidden in p -spin-glass-like systems
2015 · R Baviera, M A Virasoro · Journal of Statistical Mechanics Theory and Experiment · 5
PDF
Efficiency in foreign exchange markets
1999 · Baviera, R., Pasquini, M., et al. · RePEc: Research Papers in Economics · 5
PDF
Daily middle-term probabilistic forecasting of power consumption in North-East England
2023 · Roberto Baviera, Giuseppe Messuti · Energy Systems · 4
PDF
Is the Comprehensive Assessment able to capture banks’ risks?
2016 · Emilio Barucci, Roberto Baviera, et al. · Finance research letters · 4
Short-time implied volatility of additive normal tempered stable processes
2022 · Michele Azzone, Roberto Baviera · Annals of Operations Research · 3
Works count: 71
Citation count: 337
H-index: 11
I10-index: 13
Year
Topic
Type