Maria Letizia Guerra and her daughter

Dipartimento di Matematica per le Scienze Economiche e Sociali

Università degli Studi di Bologna

mletizia.guerra@unibo.it

 Facoltà di Economia di Rimini

Via D. Angherà 22, 47900  Rimini ITALY

Tel (+39) 0541 434224

 

Secondary Address

University of Urbino 

Faculty of Economics

Via Saffi, 42  61029 Urbino ITALY

tel. (+39) 0722 305554

 

Short Curriculum Vitae

Married to Laerte and mother of Maria Allegra

Graduated in Mathematics in March 1991 at Bologna University (Italy) 

with a thesys on Numerical Analysis.

From 1991 to 1998 research and teaching collaborator at 

the Faculty of Economics of Urbino University.

From 1994 to 1997 Doctorate in "Metodi Computazionali 

per le Decisioni e Previsioni Finanziarie", University of Bergamo (Italy).

In 1996 D.E.A.( Diplome d’Etudes Approfondies ) “Probabilites et Finance”,

Universitè Paris VI, France.

From 1997 to 2003 teaching collaborator at the Faculty of Economics

University of Bologna (Forlì and Rimini).

From 1999 to 2005 researcher in Mathematics for Economic and financial Applications at the Faculty of Economics of Urbino University.

From 2005  associate professor of Mathematics for Economic and Financial Applications at the Faculty of Economics  in Rimini, University of Bologna.

Teaching

Metodi Matematici e Applicazioni

Laurea CLET, Facoltà di Economia di Rimini

Matematica per le Applicazioni Turistiche Laurea Magistrale EMT, Facoltà di Economia di Rimini
Modelli per il Risk Management Laurea Magistrale in Economia Aziendale, curriculum Mercati Finanziari, Facoltà di Economia di Urbino

Matematica Generale

Laurea in Economia Aziendale,  Facoltà di Economia di Urbino, sede di Fano

 

Research

Numerical Solutions of Stochastic Differential Equations, Stochastic Volatility Models in Finance and their Calibration, Risk Management,

Fuzzy Numbers and Fuzzy Calculus.

Selected Publications

Journals

M.L.Guerra, L.Stefanini, “A Comparative Simulation Study for Estimating Diffusion Coefficient”, Mathematics and Computers in Simulation, 53, 193-203, 2000.

M.L.Guerra, L.Sorini, “Step Control in Numerical Solution of Stochastic Differential Equations”, International Journal of Computational and Numerical Analysis and Applications, 4/3, 279-296, 2003.

M.L.Guerra, L.Sorini, “Testing Robustness in Calibration of Stochastic Volatility Models”, European Journal of  Operational Research, 163/1, 145-153, 2005.

M.L.Guerra, L.Stefanini “Approximate Fuzzy Arithmetic Operations Using Monotonic Interpolations”, Fuzzy Sets and Systems, 150/1,  5-33, 2005.

M.L.Guerra, L.Sorini,L.Stefanini “Simulations of Fuzzy Dynamical Systems using the LU Representation of Fuzzy Numbers”, Chaos, Solitons and Fractals, 29/3, 638-652, 2006.

G. Figà-Talamanca, M.L.Guerra “Fitting Prices with a Complete Model”,  Journal of Banking and Finance, 30/1, 247-258, 2006.

M.L.Guerra, L.Sorini, L.Stefanini “Parametric Representations of Fuzzy Numbers and Application to Fuzzy Calculus”, Fuzzy Sets and Systems, 157/18, 2423-2455, 2006.

M.L.Guerra, L.Sorini, L.Stefanini “On Fuzzy Arithmetic Operations: Some Properties and Distributive Approximations”, International Journal of Applied Mathematics, 19, 2, 171-199, 2006.

M.L.Guerra, L.Sorini “Reducing Variance in Hobson and Rogers Model for Option Pricing”, Applied Sciences, 2007.

 

Contributions in Multi-Author Books and Proceedings

M.L.Guerra, “Stima della volatilità in modelli diffusivi”, in Sunto negli Atti del XX Convegno A.M.A.S.E.S., Urbino, 1996.

M.L.Guerra, “Numerical Simulations for Volatility Estimation:  the case of an Arch Process in Continuous Time”, in Achim Sydow (Ed.), Computational Mathematics, 443-448, Wissenschaft & Technick Verlag, Berlino, 1997.

M.L.Guerra, L.Stefanini, “Diffusion Coefficient Estimation by using cubic Spline Quadrature”, Atti del XXI Convegno A.M.A.S.E.S., Roma, 1997.

C.Casciati, M.L.Guerra, “Volatility and VaR”, Atti del XXII Convegno A.M.A.S.E.S., Genova, 1998.

M.L.Guerra, L. Sorini, “An Algorithm for Step Control in Numerical Solution of SDE”, proceedings volume from IFAC Symposium, Cambridge, 29 June-1 July 1998, Elsevier, 2000.

G. Figà-Talamanca,M.L.Guerra “Towards a Coherent Volatility Pricing Model: an Empirical Comparison”, Financial Modelling, eds. M. Bonilla, R. Sala, Phisyca-Verlag, 2000, 159-170.

M.L.Guerra, L.Sorini, L.Stefanini “A parametrization of fuzzy numbers for fuzzy calculus and application to the fuzzy Black-Scholes”,  IEEE International Conference on Fuzzy Systems, Vancouver, Canada, July 16-21, 2006. 

M.L.Guerra, L.Sorini, L.Stefanini  “Parametrized Fuzzy Numbers for Option Pricing", FUZZ-IEEE International Conference on Fuzzy Systems, Imperial College, London, July 23-26, 2007.

M.L.Guerra, L.Sorini, L.Stefanini “Fuzzy Investment Decision Making”, L.Magdalena, M. Ojeda-Aciego, J.L. Verdegay (eds.): Proceedings of IPMU 08, Torremolinos (Malaga), June 22-27, ISBN: 978-84-612-3061-7, 745-750, 2008.

M.L.Guerra, L.Sorini, L.Stefanini “Fuzzy Numbers and Fuzzy Arithmetics”,  in Witold Pedrycz, Andrzej Skowron, and Vladik Kreinovich (Eds.): HANDBOOK OF GRANULAR COMPUTING, John Wiley & Sons, chapter 12, 249-284, 2008.

E. Agliardi M.L.Guerra, L.Stefanini  “Efficient Calculation of the Value Function in Fuzzy Real Option by Differential Evolution Algorithms”, Proceedings of IFSA-EUSFLAT 2009, ISBN: 978-989-95079-6-8, 1009-1014, 2009.

G. Figà-Talamanca, M.L.Guerra “Fuzzy option value with stochastic volatility models”, Proceedings of the Ninth International Conference on Intelligent Systems Design and  Applications, 30 November - 2 December 2009, Pisa (Italy), 306-311, ISBN 978-0-7695-3872-3,  DOI 10.1109/ISDA.2009.243, © 2009 IEEE.

M.L.Guerra, L.Sorini, L.Stefanini “Value function computation in fuzzy real options by differential evolution”, Proceedings of the Ninth International Conference on Intelligent Systems Design and  Applications, 30 November - 2 December 2009, Pisa (Italy), 324-329, ISBN 978-0-7695-3872-3,  DOI 10.1109/ISDA.2009.243, © 2009 IEEE.

 

Conference Presentations

ISDA 2009, Pisa, 30 novembre-2 dicembre 2009.

IFSA-EUSFLAT 2009, Lisbona, 20-24 Luglio.

IPMU08, Malaga, 22-27 Giugno, 2008.

Workshop: Credit Risk Models for Financial Markets and Banking, Rimini, 9-10 Ottobre, 2007.

XXXI convegno A.M.A.S.E.S, Lecce, 3-6 Settembre 2007.

FUZZ-IEEE 2007, International Conference on Fuzzy Systems, Imperial College, London, 23-26 luglio 2007.

Fourth Workshop "Modelli Dinamici in Economia e Finanza", 21-23 Settembre 2006, Urbino.

XXIX convegno A.M.A.S.E.S, Palermo, 12-16 Settembre 2005.

XXXVI Euro Working Group on Financial Modelling, Brescia, 7-9 maggio 2005.

Third Workshop "Modelli Dinamici in Economia e Finanza" September, 16-18, 2004, Urbino.

XXVIII convegno A.M.A.S.E.S, Modena, 8-12 Settembre 2004.

XXXIV Euro Working Group on Financial Modelling, Paris, 12-14 maggio 2004.

XXVII Convegno A.M.A.S.E.S., Cagliari, Italy, September 2003.

Workshop MDEF2002: Modelli Dinamici in Economia e Finanza, Urbino, September 2002.

XXVI Convegno A.M.A.S.E.S., Verona, Italy, September 2002.

XXX Euro Working Group on Financial Modelling, Capri, Italy, May 2002.     

Workshop MDEF2002: Modelli Dinamici in Economia e Finanza, Urbino, September 2000.

XXIV Convegno A.M.A.S.E.S., Padenghe, Italy, September 2000.

XXIII Convegno A.M.A.S.E.S., Rende, Italy, September 1999.

XXII Convegno A.M.A.S.E.S., Genova, Italy, September 1998.

“Computation in Economics, Finance and Engineering: Economics Systems 1998”, Cambridge, England, June 1998.

“Applied Mathematical Programming and Modeling 1998”, Limassol, Ciprus, March 1998.

XXI Convegno A.M.A.S.E.S., Rome, Italy, September 1997.

“Quantitative Methods in Finance 1997” (QMF97), Sydney, Australia, August 1997.

XX Convegno A.M.A.S.E.S., Urbino, Italy, September 1996.

 

Interesting Links

A.M.A.S.E.S.(Associazione per la Matematica Applicata alle Scienze Economiche e Sociali)

Encyclopedia of Mathematics

Hystory of Mathematics

Unione Matematica Italiana