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)

1. Fatone, L., Mariani, F., & Zirilli, F. (2024). Calibration in the “real world” of a partially specified stochastic volatility model. Journal of Futures Markets, 44(1), 75-102.
2. Fatone, L., Mariani, F., & Zirilli, F. (2022). A hybrid model based on stochastic volatility and machine learning to forecast log returns of a risky asset. In Methods and Applications in Fluorescence (pp. 235-240). Cham: Springer International Publishing.
3. Aluffi-Pentini, F., Caglioti, E., Misici, L., & Zirilli, F. (2020). A parallel algorithm for a three dimensional inverse acoustic scattering problem. In Parallel Computing (pp. 193-200). CRC Press.
4. Fatone, L., Mariani, F., & Zirilli, F. (2015). The Barone-Adesi Whaley formula to price American options revisited. Applied Mathematics, 6(2), 382-402.
5. Fatone, L., Mariani, F., Recchioni, M. C., & Zirilli, F. (2014). The SABR Model: Explicit Formulae of the Moments of the Forward Prices/Rates Variable and Series Expansions of the Transition Probability Density and of the Option Prices. Journal of Applied Mathematics and Physics, 2(7), 540-568.
6. Fatone, L., Mariani, F., Recchioni, M. C., & Zirilli, F. (2014). A trading execution model based on mean field games and optimal control. Applied Mathematics, 5(19), 3091.
7. Fatone, L., Mariani, F., Recchioni, M. C., & Zirilli, F. (2014). The calibration of some stochastic volatility models used in mathematical finance. Open Journal of Applied Sciences, 4(2), 23-33.
8. Fatone, L., Mariani, F., Recchioni, M. C., & Zirilli, F. (2013). The use of statistical tests to calibrate the normal SABR model. Journal of Inverse and Ill-Posed Problems, 21(1), 59-84.
9. Giacinti, M., Mariani, F., Recchioni, M. C., & Zirilli, F. (2013). A Video Game Based on Elementary Differential Equations. Intelligent Control and Automation, 4(3), 250-262.
10. Fatone, L., Mariani, F., Recchioni, M. C., & Zirilli, F. (2013). Closed form moment formulae for the lognormal SABR model and applications to calibration problems. Open Journal of Applied Sciences, 3(06), 345.
11. Capelli, P., Mariani, F., Recchioni, M. C., Spinelli, F., & Zirilli, F. (2010). Determining a stable relationship between hedge fund index HFRI-Equity and S&P 500 behaviour, using filtering and maximum likelihood. Inverse Problems in Science and Engineering, 18(1), 83-109.
12. Dionisi, C., Mariani, F., Recchioni, M. C., & Zirilli, F. (2008, October). Blackouts in power transmission networks due to spatially localized load anomalies. In International Workshop on Critical Information Infrastructures Security (pp. 1-13). Berlin, Heidelberg: Springer Berlin Heidelberg.
13. Fatone, L., Recchioni, M. C., & Zirilli, F. (2008). A parallel numerical method to solve high frequency ghost obstacle acoustic scattering problems. Applied Computational Electromagnetics Society Journal (ACES), 220-232.
14. Fatone, L., Recchioni, M. C., & Zirilli, F. (2008). Some anisotropic furtivity problems in time dependent acoustic obstacle scattering. In Theoretical and Computational Acoustics 2007 (pp. 197-208). E-Media University of Crete Publisher.
15. Fatone, L., Mariani, F., Recchioni, M. C., & Zirilli, F. (2007). 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.

Profile Details

https://sciprofiles.com/profile/1758919

https://www.researchgate.net/scientific-contributions/Francesco-Zirilli-27246450