Publications - Sebastiano Vitali
Conference papers (4)
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1. * Sebastiano Vitali, Tomáš Tichý, Miloš Kopa: The arbitrage inconsistencies of implied volatility extraction in connection to calendar bandwidth. Proceedings of 10th International Scientific Conference Financial management of firms and financial institutions Ostrava, 1405-1409. VŠB-Technická univerzita Ostrava, Ostrava 2015. Download |
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2. * T. Tichý, Miloš Kopa, S. Vitali: The Bandwidth Selection in Connection to Option Implied Volatility Extraction. Proceedings of the 12th International Conference Liberec Economic Forum 2015, 201-208. Technical University of Liberec, Liberec 2015. Download |
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3. * Miloš Kopa, Sebastiano Vitali, Tomáš Tichý: On the implied volatility extraction and the selection of suitable kernel. Proceedings of the 2015 International Conference on Computer Science and Intelligent Communication 2015 (CSIC 2015), 456-459. Atlantis press, Beijing 2015. Download |
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4. * Tomáš Tichý, Miloš Kopa, S. Vitali: On the pricing of illiquid options with Black-Scholes formula. Proceedings of Managing and Modelling of Financial Risks, 807-815. VŠB-Technická univerzita Ostrava, Ostrava 2014. Download |