Profilbild

Prof. Dr. Paolo Vanini - Publikationen

Assistant Professor of Finance



Publikationen Betreute Arbeiten

Journal Articles (11)

Arbitrage Free Price Bounds for Property Derivatives
Jürg Syz, Paolo Vanini
In: Journal of Real Estate Finance and Economics, Vol. 43 (No. 3), p. 281-298, 2011.


Multiperiod mean-variance efficient portfolios with endogenous liabilities
Markus Leippold, Fabio Trojani, Paolo Vanini
In: Quantitative Finance, Vol. 11 (No. 10), p. 1535-1546, 2011.


Property derivatives and the subprime crisis
Jürg Syz, Paolo Vanini
In: Wilmott Journal, Vol. 1 (No. 3), p. 163-166, 2009.


Property Derivatives and Index-Linked Mortgages
Jürg Syz, Marco Salvi, Paolo Vanini
In: Journal of Real Estate Finance and Economics, Vol. 36 (No. 1), p. 25-35, 2008.


Learning and Asset Pricing under Uncertainty
Markus Leippold, Paolo Vanini, Fabio Trojani
In: Review of Financial Studies, Vol. 21 (No. 6), p. 2565-2597, 2008.


A simple model of credit contagion
Paolo Vanini, Daniel Egloff, Markus Leippold
In: Journal of Banking and Finance, Vol. 31 (No. 8), p. 2475-2492, August 2007.


Optimal credit limit management under different information regimes
Paolo Vanini, Silvan Ebnoether, Markus Leippold
In: Journal of Banking and Finance, Vol. 30, p. 463-487, 2006.


Equilibrium impact of value-at-risk regulation
Paolo Vanini, Fabio Trojani, Markus Leippold
In: Journal of Economic Dynamics and Control, Vol. 30, p. 1277-1313, 2006.


The Quantification of Operational Risk
Markus Leippold, Paolo Vanini
In: Journal of Risk, Vol. 8 (No. 1), p. 59-85, 2005.


A Geometric Approach to Multiperiod Mean-Variance Optimization of Assets and Liabilities
Fabio Trojani, Markus Leippold, Paolo Vanini
In: Journal of Economic Dynamics and Control, Vol. 28, p. 1079-1113, 2004.


Half as Many Cheers - The Multiplier Reviewed
Markus Leippold, Paolo Vanini
In: The Wilmott Magazine, 2002.


Kapitel in Büchern (2)

From Operational Risk to Operational Excellence
Markus Leippold, Barbara Doebeli, Paolo Vanini
Herausgeber: Markus Leippold
In: Advances in Operational Risk Management, RISK Publications, -, 2003.


Optimization of Assets and Liabilities, Proceeding of International Scientific School
Markus Leippold, Fabio Trojani, Paolo Vanini
Herausgeber: Markus Leippold
In: Modelling and Analysis of Safety, Risk and Quality in Complex Systems, Russian Foundation of Fundamental Research, Saint-Petersburg, p. n/a, 2002.