- Computational Methods for Economics and Finance
- Applied mathematics and computation
- Financial Modelling
- Portfolio Theory
- Asset Pricing
- Financial markets
- 2014/15, Conformance checking in business (Investigator), University of Rome “Unitelma Sapienza”
- 2009/13, Structural change and growth (Investigator), Projects of Significant National Interest (PRIN MIUR)
- 2013, Credit Default Swaps (Principal Investigator), University of Macerata.-
R. Castellano, R. Cerqueti, 2014, Mean-variance portfolio selection in presence of unfrequently traded stocks. European Journal of Operational Research (IF: 2.911), 234, 442-449.
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 (IF: 0.933), 22, 285-305.
R. Castellano, R. Cerqueti, R.L. D'Ecclesia, 2014, A Disutility-Based Drift Control for Exchange Rates. Optimization (IF: 1.01), 63, 255-269.
R. Castellano, R. L. D’Ecclesia, 2013, CDS Volatility: the Key Signal of Credit Quality. Annals of Operations Research (IF: 1.501), 205, 89-107.
R. Castellano, R. Cerqueti, 2013, Roots and Effects of Financial Misperception in a Stochastic Dominance Framework. Quality & Quantity (IF: 0.9), 47, 3371-3389.
R. Castellano, L. Scaccia, 2012, CDS and Rating Announcements: changing signaling during the crisis? Review of Managerial Science (IF: 0.836), 6; 3, 239-264.
R. Castellano, R. Giacometti, 2012, Credit Default Swaps: Implied Ratings versus Official Ones. 4OR-A Quarterly Journal of Operational Research (IF: 0.883), 10, 163-180.
R. Castellano, R. Cerqueti, 2012, Optimal consumption/investment problem with light stocks: A mixed continuous-discrete time approach. Applied Mathematics and Computation (IF: 1.686), 218, 6887-6897.
R. Castellano, R. Cerqueti, 2011, The optimal bid/ask spread in a Specialist System. Economic Modelling (IF: 0.887), 28, 2247-2253.
R. Castellano, R.L. D'ecclesia, 2007, Long Swings in Exchange Rates: a Stochastic Control Approach. International Transactions in Operational Research (IF: 1.103), 14, 475-489.
R. Castellano, R. Giacometti, 2001, Performance of a hedged stochastic portfolio model in the presence of extreme events. Computational Economics (IF: 0.5261), 17, 239-252.