Prof.
Francesco Zirilli
Sapienza Università di Roma, Italy
Email: zirilli@mat.uniroma1.it
Qualifications
1972 Dottore,
Sapienza Università di Roma, Physics
1971 Dottore, Sapienza Università di Roma, Mathematics
Publications
(Selected)
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P.
Corna, L. Fatone, F. Zirilli – “Data fusion and quality assessment of fusion
products: methods and examples” in “Advances and challenges in multisensor data
and information processing”, E. Lefebvre Editor, IOS Press, Fairfax, Virginia
U.S.A., (2007), 277-306.
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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 with
no drift term”, Journal of Nonlinear Analysis: Hybrid Systems and Applications 2,
(2008), 144-183.
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L. Fatone,
G. Rao, M.C. Recchioni, F. Zirilli – “High performance algorithms based on a
new wavelet expansion for time dependent acoustic obstacle scattering”,
Communications in Computational Physics 2, (2007), 1139-1173.
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L.V.
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.
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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 (2),
Winter 2007-2008, 131-146.
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L. Fatone,
M.C. Recchioni, F. Zirilli – “A numerical method to solve an acoustic inverse
scattering problem involving ghost obstacles”, Journal of Inverse and Ill Posed
Problems 15, (2007), 57-82.
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L.V.
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 and Applications 2, (2008),
568-589.
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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.
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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 Supplements 2007,
(2007), 354-363.
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S.
Brianzoni, C. Mammana, E. Michetti, F. Zirilli – “A stochastic cobweb dinamical
model”, Discrete Dynamics in Nature and Society 2008, (2008), Article ID
219653, 18 pages.
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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), 493-526.
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L. Fatone,
M.C. Recchioni, F. Zirilli – “Some anisotropic furtivity problems in time
dependent acoustic obstacle scattering”, in “Theoretical and Computational
Acoustics 2007”, M. Taroudakis, P. Papadakis Editors, E Media University of
Crete, (2008), 197-208.
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L. Fatone,
M.C. Recchioni, F. Zirilli – “A parallel numerical method to solve high
frequency ghost obstacle acoustic scattering problems”, Journal of the Applied
Computational Electromagnetics Society 23, (2008), 220-232.
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A. Farina,
A. Graziano, F, Mariani. F. Zirilli – “Probabilistic analysis of failures
in power transition networks and phase transitions: a study of a high voltage
power transmission network”, Journal of Optimization Theory and Applications 139,(2008),
171-199.
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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. Sambandhan Editors, Dynamic
Publishers, Atlanta, USA, 5,(2008), 170-181.
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L. Fatone,
F. Mariani, M.C. Recchioni, F. Zirilli – Calibration of a multiscale stochastic
volatility model using European option prices, Mathematical Methods in
Economics and Finance 3,(2008), 46-61.
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C. Dionisi,
F. Mariani, M.C. Recchioni, F. Zirilli – Blackouts in power transmission
networks due to spatially localized load anomalies, in Critical Information
Infrastructures Security, R. Setola, S. Geretshuber Editors, Lecture Notes in
Computer Science, Springer, Berlin, 5508,(2009), 1-13.
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P. Capelli,
F. Mariani, M.C. Recchioni,F. Spinelli, F. Zirilli – Determining a stable
relationship between hedge fund index HFRI-Equity and S&P500 behaviour
using filtering and maximum likelihood, Inverse Problems in Science and
Engineering 18,(2010), 83-109.
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L. Fatone,
F. Mariani, M.C. Recchioni, F. Zirilli – An explicitly solvable multiscale
stochastic volatility model: option pricing and calibration problems, The
Journal of Futures Markets, 29,(2009), 862-893.
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L. Fatone,
F. Mariani, M.C. Recchioni, F. Zirilli – Filtering and maximum likelihood
methods in the calibration of some stochastic volatility model of mathematical
finance, in Global Optimization: Theory, Methods and Applications I,Chaoqun Ma,
Lean Yu, Dabin Zhang, Zhongbao Zhou Editors,Lecture Notes in Decision Sciences,
Global Link Publishers, Hong Kong, 12(A),(2009), 45-53.