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Interest Rate Modeling: A Matl...
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A general framework for pricing Asian options under stochastic volatility on parallel architecture
Corsaro, Stefania
;
Kyriakou, Ioannis
;
Marazzina, Daniele
; …
- In:
European journal of operational research : EJOR
272
(
2019
)
3
,
pp. 1082-1095
Persistent link: https://www.econbiz.de/10011942796
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2
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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3
Hilbert transform, spectral filters and option pricingh
Phelan, Carolyn E.
;
Marazzina, Daniele
;
Fusai, Gianluca
; …
- In:
Application of operations research to financial markets
,
(pp. 273-298)
.
2019
Persistent link: https://www.econbiz.de/10012157552
Saved in:
4
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
Saved in:
5
Risk seeking, nonconvex remuneration and regime switching
Barucci, Emilio
;
Marazzina, Daniele
- In:
International journal of theoretical and applied finance
18
(
2015
)
2
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011403197
Saved in:
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
Optimal impulse control of a portfolio with a fixed transaction cost
Baccarin, Stefano
;
Marazzina, Daniele
- In:
Central European journal of operations research : CEJOR …
22
(
2014
)
2
,
pp. 355-372
Persistent link: https://www.econbiz.de/10010356907
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8
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
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9
Market impact and efficiency in cryptoassets markets
Barucci, Emilio
;
Giuffra Moncayo, Giancarlo
;
Marazzina, …
- In:
Digital finance : smart data analytics, investment …
5
(
2023
)
3/4
,
pp. 519-562
Persistent link: https://www.econbiz.de/10014451869
Saved in:
10
Health insurance, portfolio choice, and retirement incentives
Barucci, Emilio
;
Biffs, Enrico
;
Marazzina, Daniele
- In:
European journal of operational research : EJOR
307
(
2023
)
2
,
pp. 910-921
Persistent link: https://www.econbiz.de/10014335292
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