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Corvino, Raffaele - 2020

This paper quantifies the premium demanded by the investors for bearing the corporate default risk. We propose a novel approach that exploits the information in both credit default swap (CDS) spreads and stock prices, using the pricing restrictions provided by a structural model of credit risk....

Persistent link: https://www.econbiz.de/10012856198

Analytical pricing of discretely monitored Asian-style options : theory and application to commodity markets

Fusai, Gianluca; Marena, Marina; Roncoroni, Andrea - In: Journal of banking & finance 32 (2008) 10, pp. 2033-2045

Persistent link: https://www.econbiz.de/10003778579

Pricing discretely monitored Asian options under Lévy processes

Fusai, Gianluca; Meucci, Attilio - In: Journal of banking & finance 32 (2008) 10, pp. 2076-2088

Persistent link: https://www.econbiz.de/10003778620

Levy processes and option pricing by recursive quadrature

Fusai, Gianluca; Longo, Giovanni; Marena, Marina; … - In: Economic dynamics : theory, games and empirical studies, (pp. 31-57). 2009

Persistent link: https://www.econbiz.de/10003867857

The Wiener-Hopf technique and discretely monitored path-dependent option pricing

Green, Ross; Fusai, Gianluca; Abrahams, I. David - In: Mathematical finance : an international journal of … 20 (2010) 2, pp. 259-288

Persistent link: https://www.econbiz.de/10003955738

Functional clustering and linear regression for peak load forecasting

Goia, Aldo; May, Caterina; Fusai, Gianluca - In: International journal of forecasting 26 (2010) 4, pp. 700-711

Persistent link: https://www.econbiz.de/10008807771

Levy processes and option pricing by recursive quadrature

Fusai, Gianluca; Longo, Giovanni; Marena, Marina; … - 2012

Persistent link: https://www.econbiz.de/10009579937

Pricing exotic derivatives exploiting structure

Sesana, Debora; Marazzina, Daniele; Fusai, Gianluca - In: European journal of operational research : EJOR 236 (2014) 1, pp. 369-381

Persistent link: https://www.econbiz.de/10010361703

Sovereign credit risk in a hidden Markov regieme-switching framework : part 2

Potgieter, Louise; Fusai, Gianluca - In: Journal / The Capco Institute : journal of financial … 38 (2013), pp. 67-81

Persistent link: https://www.econbiz.de/10010341525

Sovereign credit risk in a hidden Markov regieme-switching framework : part 1 ; methodology

Potgieter, Louise; Fusai, Gianluca - In: Journal / The Capco Institute : journal of financial … 37 (2013), pp. 99-109

Persistent link: https://www.econbiz.de/10010341540

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