Selected publications

  • T. Mazzoni: Asymptotic Expansion of Risk-Neutral Pricing Density, International Journal of Financial Studies, 6:30, 2018.
  • T. Mazzoni: A GARCH Parameterization of the Volatility Surface, The Journal of Derivatives, 23(1):9-24, 2015.
  • T. Mazzoni: Smoothing the Yield Curve, WILMOTT Magazine, 77:52-58, 2015.
  • T. Mazzoni: Nonlinear Portfolio Views: An Efficient Extension to the Black-Litterman Approach, Journal of Business Economics, 85(6):693-717, 2015.
  • T. Mazzoni: A Functional Approach to Pricing Complex Barrier Options, European Journal of Finance, 20(5):399-418, 2014.
  • H.P. Wächter, T. Mazzoni: Consistent Modeling of Risk Averse Behavior with Spectral Risk Measures, European Journal of Operational Research, 229(2):487-495, 2013.
  • T. Mazzoni: Are Short Term Stock Asset Returns Predictable? An Extended Empirical Analysis, Advancements and Developments in Statistical Science, 1(2):13–46, 2012.
  • T. Mazzoni: Fast Continuous-Discrete DAF-Filters, Journal of Time Series Analysis, 33(2):195–210, 2012.
  • T. Mazzoni: Implied and Local Volatility Dynamics in the SABR Model, Wolfram Demonstrations Project, 2011, http://demonstrations.wolfram.com/ImpliedAndLocalVolatilityDynamicsInTheSABR
    Model
  • T. Mazzoni, E. Reucher: Quasi-Continuous Maximum Entropy Distribution Approximation with Kernel Density, International Journal of Information and Decision Sciences, 3(4):335–350, 2011.
  • T. Mazzoni: Fast Analytic Option Valuation with GARCH, Journal of Derivatives, 18(1):18–38, 2010.
  • T. Mazzoni: Expected a Posteriori Estimation in Finance, Advances and Applications in Statistical Sciences, 1(2):263–284, 2010.
  • T. Mazzoni: Computational Aspects of Continuous-Discrete Extended Kalman-Filtering, Computational Statistics, 23:519–539, 2008.

Contact

Chair of Business Administration and Finance

Head of Chair
Prof. Dr. Thomas Mazzoni

Administration
N.N.

Friedrich-Loeffler-Straße 70
Room 318
17489 Greifswald
Phone +49 3834 420 2498
Fax +49 3834 420 2497
rsf-financeuni-greifswaldde​​​​​​​