Rosella Castellano
Giovedì dalle ore 16 alle ore 18 (previo appuntamento)
Matematica generale
Quantitative Methods for conformance checking in business
Rosella Castellano(Ph.D) è professore associato di metodi matematici dell’economia e delle scienze attuariali e finanziarie presso il Dipartimento di Economia e Diritto dell'Università degli Studi di Macerata. La sua attività di ricerca è dedicata prevalentemente ai metodi quantitativi per l'economia e la finanza, alla ricerca operativa, all’ottimizzazione ed al calcolo stocastico. Pubblica prevalentemente su riviste scientifiche internazionali ed è stata relatrice in numerosi convegni. Inoltre, è referee di numerose riviste scientifiche.
1. R. Castellano, R. Cerqueti, 2014, Mean-variance portfolio selection in presence of unfrequently traded stocks. European Journal of Operational Research, 234, 442-449.
2. R. Castellano, L. Scaccia, 2014, Can CDS indexes signal future turmoils in the stock market? A Markov switching perspective. Central European Journal of Operations Research, 22, 285-305.
3. R. Castellano, R. Cerqueti, R.L. D'Ecclesia, 2014, A Disutility-Based Drift Control for Exchange Rates. Optimization, 63, 255-269.
4. R. Castellano, L. Scaccia, 2014, The signaling power of CDS Indexes. In Polymorphic Crisis: Readings on the Great Recession of the 21st century. Macerata:Centro Edizioni. Universita' Di Macerata – Eum.
5. R. Castellano, R. L. D’Ecclesia, 2013, CDS Volatility: the Key Signal of Credit Quality. Annals of Operations Researc, 205, 89-107.
6. R. Castellano, R. Cerqueti, 2013, Roots and Effects of Financial Misperception in a Stochastic Dominance Framework. Quality & Quantity, 47, 3371-3389.
7. R. Castellano; E. Cedrola, 2013, Monte Carlo / Monte Carlo Markov Chain method. In Cary L. Cooper (Ed).Wiley Encyclopedia of Management 3rd Edition
8. R. Castellano, L. Scaccia, 2012, CDS and Rating Announcements: changing signaling during the crisis? Review of Managerial Science, 6; 3, 239-264.
9. R. Castellano, R. Giacometti, 2012, Credit Default Swaps: Implied Ratings versus Official Ones. 4OR-A Quarterly Journal of Operational Research, 10, 163-180.
10. R. Castellano, R. Cerqueti, 2012, Optimal consumption/investment problem with light stocks: A mixed continuous-discrete time approach. Applied Mathematics and Computation, 218, 6887-6897.
11. R. Castellano, 2012, Il nucleare è conveniente? Una valutazione attraverso le opzioni reali. In: P. Rovati. Oikos: la radice comune di economia e di ecologia. p. 77-89, Macerata:Centro Edizioni. Universita' Di Macerata – Eum.
12. R. Castellano, R.L. D'ecclesia, 2011, Credit Default Swaps and Rating Announcements. The Journal of Financial Decision Making, 7, 3-19.
13. R. Castellano, R. Cerqueti, 2011, The optimal bid/ask spread in a Specialist System. Economic Modelling, 28, 2247-2253.
14. Castellano R., D'Ecclesia R.L., 2011, Credit Quality and CDS' Volatility: The Key Signal. In Business: Accounting, Finance, Management & Marketing. p. 27, Athens (GR):Athens Institute for Education and Research.
15. R. Castellano, 2011, Sviluppo sostenibile e comparto finanziario. In: P. Rovati. Economia, Ambiente e Società. p. 55-59, Macerata: Centro Edizioni. Universita' Di Macerata – Eum.
16. R. Castellano; R. Cerqueti, 2010, Light Stocks and Wealth Allocation R. Kasimbeyli; C. Dincer; S. Ozpeynirci; L. Sakalauskas 24th Mini EURO Conference On Continuous Optimization and Information-Based Technologies in The Financial Sector - MEC EurOPT 2010: Selected Papers Vilnius "Technika" 2010 1- 4.
17. R. Castellano, L. Scaccia, 2010, A Markov Switching Re-evaluation of Event-Study Methodology Y. Lechevallier, G. Saporta Proceedings of COMPSTAT'2010 - 19th International Conference on Computational Statistics, Physica-Verlag 429- 436.
18. R. Castellano, L. Scaccia, 2010, Bayesian hidden Markov models for financial data F. Palumbo N. C. Lauro, M. J. Greenacre Data Analysis and Classification: From Exploration to Confirmation - Studies in Classification, Data Analysis, and Knowledge Organization Springer 453- 461.
19. R. Castellano, R.L. D'ecclesia, 2007, Long Swings in Exchange Rates: a Stochastic Control Approach. International Transactions in Operational Research, 14, 475-489.
20. R. Castellano, L. Scaccia, 2007, Bayesian hidden Markov models for financial data. In F. Palumbo, N. C. Lauro, M. J. Greenacre. Classification and Data Analysis - Book of Short papers. 417-420, Edizioni Università di Macerata.
21. R. Castellano, R. Giacometti, 2001, Performance of a hedged stochastic portfolio model in the presence of extreme events. Computational Economics, 17, 239-252.
22. R. Castellano, R. Giacometti, 2000, Portfolio Performances Using Options Strategies. In M. Bonilla, R. Salar. Financial Modelling - Contributions to Management Sciences, 125-142, Physica Verlag.
23. R.Castellano, L. Bruni, 2000. The Specialist’s Role and its Effect on Thin Stock prices: The Italian Case. In A.M.J. SKULIMOWSKI (ed.), Financial Modelling, 45-61, Progress & Business Publishers.
24. R. Castellano, R.L. D'ecclesia, 1997, Information Flows and Bid-Ask Spreads for the BTP-Futures.Chicago Board Of Trade Research Symposium, 1, 223-240.
25. R. Castellano, F. Di Ottavio, 1997, GARCH Model as Diffusion Approximation: A Simulation Approach for Currency Hedging Using Options. In Zopounidis (Ed.). Contribution to Management Sciences, 297-310, Phisica-Verlag.