Availability of high frequency data has improved the capability of computing volatility in an efficient way. Nevertheless, measuring volatility/covariance from the observation of the asset price is challenging for two main reasons: observed asset prices are generally affected by noise...

We analyze the properties of different estimators of multivariate volatilities in the presence of microstructure noise, with particular focus on the Fourier estimator. This estimator is consistent in the case of asynchronous data and robust to microstructure effects; further we prove the...

The finite sample properties of the Fourier estimator of integrated volatility under market microstructure noise are studied. Analytic expressions for the bias and the mean squared error (MSE) of the contaminated estimator are derived. These formulae can be practically used to design optimal...

We consider an option pricing model proposed by, where the implementation of dynamic hedging strategies has a feedback impact on the price process of the underlying asset. We present numerical results showing that the smile and skewness patterns of implied volatility can actually be reproduced...

In this paper we consider the optimal impulse control of a system which evolves randomly in accordance with a homogeneous diffusion process in R^1: Whenever the system is controlled a cost is incurred which has a fixed component and a component which increases with the magnitude of the control...

We analyse the Galerkin Infinite Element method for pricing European barrier options and, more generally, options with discontinuous payoff. The Infinite Element method is a very simple and efficient modification of the more common Finite Element method. It keeps the best features of Finite...

In this work, we analyse the Galerkin Infinite Element method for option pricing. The Infinite Element method is a very simple and efficient modifcation of the more common Finite Element method. It keeps the best features of Finite Elements, i.e. bandedness, easiness of programming, accuracy,...

In this paper we investigate the use of finite difference and finite element schemes when applied to the valuation of exotic options characterized by discontinuities in the payoff function. In particular, we will conduct a numerical analysis of several common schemes in order to give a better...

Climate risk refers to the risks associated with climate change and has already started to impact various sectors of the economy. In this work, we focus on the impact of physical risk on the probability of default for a firm in the agribusiness sector. The probability of default is estimated...