Sebastiano Vitali

14 papers Journal 14
YearRankTypeTitle / Venue / Authors
2025 J jnl
Computing agents' reputation within a network.
Games Econ. Behav.
Federico Grigis, Sergio Ortobelli Lozza, Sebastiano Vitali
2024 J jnl
Using interpolated implied volatility for analysing exogenous market changes.
Comput. Manag. Sci.
Matús Maciak, Sebastiano Vitali
2023 J jnl
Implied volatility smoothing at COVID-19 times.
Comput. Manag. Sci.
Sebastiano Vitali, Milos Kopa, Gabriel E. Giana
2023 J jnl
Investment disputes and their explicit role in option market uncertainty and overall risk instability.
Comput. Manag. Sci.
Zdenek Drábek, Milos Kopa, Matús Maciak, Michal Pesta, Sebastiano Vitali
2021 J jnl
Comparing stage-scenario with nodal formulation for multistage stochastic problems.
4OR
Sebastiano Vitali, Ruth Domínguez, Vittorio Moriggia
2021 J jnl
Pension fund management with investment certificates and stochastic dominance.
Ann. Oper. Res.
Sebastiano Vitali, Vittorio Moriggia
2020 J jnl
Evaluation of scenario reduction algorithms with nested distance.
Comput. Manag. Sci.
Markéta Horejsová, Sebastiano Vitali, Milos Kopa, Vittorio Moriggia
2020 J jnl
Long-term individual financial planning under stochastic dominance constraints.
Ann. Oper. Res.
Giorgio Consigli, Vittorio Moriggia, Sebastiano Vitali
2018 J jnl
Individual optimal pension allocation under stochastic dominance constraints.
Ann. Oper. Res.
Milos Kopa, Vittorio Moriggia, Sebastiano Vitali
2018 J jnl
Multistage multivariate nested distance: An empirical analysis.
Kybernetika
Sebastiano Vitali
2018 J jnl
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming.
Comput. Manag. Sci.
Giorgio Consigli, Vittorio Moriggia, Sebastiano Vitali, Lorenzo Mercuri
2018 J jnl
Portfolio selection strategy for fixed income markets with immunization on average.
Ann. Oper. Res.
Sergio Ortobelli, Sebastiano Vitali, Marco Cassader, Tomás Tichý
2017 J jnl
Implied volatility and state price density estimation: arbitrage analysis.
Comput. Manag. Sci.
Milos Kopa, Sebastiano Vitali, Tomás Tichý, Radek Hendrych
2017 J jnl
Optimal pension fund composition for an Italian private pension plan sponsor.
Comput. Manag. Sci.
Sebastiano Vitali, Vittorio Moriggia, Milos Kopa