Editorial Board

Biography

Prof. Francesco Zirilli

Dipartimento di Matematica G. Castelnuovo, Universita di Roma La Sapienza, Italy
Email: [email protected]

Qualifications

1972  Ph.D., Universita di Roma La Sapienza, Italy, Physics
1971  Ph.D., Universita di Roma La Sapienza, Italy, Mathematics

Publications (Selected)

  1. G. Pacelli, M.C. Recchioni, F. Zirilli: "A hybrid method for pricing European options based on multiple assets with transaction costs", Applied Mathematical Finance 6 (1999) 61-85.
  2. L. Fatone, G. Pacelli, M.C. Recchioni, F. Zirilli: "A method to compute the transition probability density associated to a multifactor Cox-Ingersoll-Ross model of the term structure of interest rates with no drift term", Journal of Nonlinear Analysis: Hybrid Systems 2 (2008) 144-183.
  3. P. Corna, L. Fatone, M.C. Recchioni, F. Zirilli: "Le opzioni reali come strumento di valutazione di piccole imprese e di progetti innovativi", Congiuntura 2 (2005) 77-97.
  4. L. Fatone, M.C. Recchioni, F. Zirilli: "A perturbative formula to price barrier options with time dependent parameters in the Black and Scholes world", Journal of Risk 10 (2008) 131-146.
  5. L. Ballestra, G. Pacelli, F. Zirilli: "A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model", Journal of Banking and Finance 31 (2007) 3420-3437.
  6. L. Ballestra, G. Pacelli, F. Zirilli: "A numerical method to price European derivatives based on the one factor LIBOR Market Model of interest rates", Journal of Nonlinear Analysis: Hybrid Systems 2 (2008) 568-589.
  7. F. Mariani, G. Pacelli, F. Zirilli: "Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory", Optimization Letters 2 (2008) 177-222.
  8. L. Fatone, F. Mariani, M.C. Recchioni, F. Zirilli: " Pricing realized variance options using integrated stochastic variance options in the Heston stochastic volatility model", Discrete and Continuous Dynamical Systems Supplement 2007 (2007) 354-363.
  9. L. Fatone, F. Mariani, M.C. Recchioni, F. Zirilli: "Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds", Journal of Inverse and Ill-Posed Problems 15 (2007) 329-362.
  10. L. Fatone, F. Mariani, M.C. Recchioni, F. Zirilli: "The calibration of the Heston stochastic volatility model using filtering and maximum likelihood methods", in Proceedings of Dynamic Systems and Applications, G.S.Ladde, N.G.Medhin,Chuang Peng, M.Sambandham Editors,Dynamic Publishers,Atlanta,USA,volume 5, (2008), pages 170-181. ISBN 1-890888-01-6.