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Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models
Brignone, Riccardo
;
Kyriakou, Ioannis
;
Fusai, Gianluca
- In:
Insurance / Mathematics & economics
96
(
2021
),
pp. 232-247
Persistent link: https://www.econbiz.de/10012482885
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2
General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
Fusai, Gianluca
;
Kyriakou, Ioannis
- In:
Mathematics of operations research
41
(
2016
)
2
,
pp. 531-559
Persistent link: https://www.econbiz.de/10011520483
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3
Risk management of climate impact for tourism operators : an empirical analysis on ski resorts
Ballotta, Laura
;
Fusai, Gianluca
;
Kyriakou, Ioannis
; …
- In:
Tourism management : research, policies, practice
77
(
2020
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012152024
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4
General lattice methods for arithmetic Asian options
Gambaro, Anna Maria
;
Kyriakou, Ioannis
;
Fusai, Gianluca
- In:
European journal of operational research : EJOR
282
(
2020
)
3
,
pp. 1185-1199
Persistent link: https://www.econbiz.de/10012161893
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5
Technical note: on matrix exponential differentiation with application to weighted sum distributions
Das, Milan Kumar
;
Tsai, Henghsiu
;
Kyriakou, Ioannis
; …
- In:
Operations research
70
(
2022
)
4
,
pp. 1984-1995
Persistent link: https://www.econbiz.de/10013366400
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6
Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
Fusai, Gianluca
;
Germano, Guido
;
Marazzina, Daniele
- In:
European journal of operational research : EJOR
251
(
2016
)
1
,
pp. 124-134
Persistent link: https://www.econbiz.de/10011446230
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7
A market-consistent framework for the fair evaluation of insurance contracts under Solvency II
Gambaro, Anna Maria
;
Casalini, Riccardo
;
Fusai, Gianluca
; …
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
1
,
pp. 157-187
Persistent link: https://www.econbiz.de/10012065187
Saved in:
8
Integrated structural approach to Credit Value Adjustment
Ballotta, Laura
;
Fusai, Gianluca
;
Marazzina, Daniele
- In:
European journal of operational research : EJOR
272
(
2019
)
3
,
pp. 1143-1157
Persistent link: https://www.econbiz.de/10011942867
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9
Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contra
Gambaro, Anna Maria
;
Casalini, Riccardo
;
Fusai, Gianluca
; …
- In:
Insurance / Mathematics & economics
81
(
2018
),
pp. 117-129
Persistent link: https://www.econbiz.de/10011904636
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10
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
Phelan, Carolyn E.
;
Marazzina, Daniele
;
Fusai, Gianluca
; …
- In:
European journal of operational research : EJOR
271
(
2018
)
1
,
pp. 210-223
Persistent link: https://www.econbiz.de/10011882800
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