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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
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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
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Levy processes and option pricing by recursive quadrature
Fusai, Gianluca; Longo, Giovanni; Marena, Marina; … - 2012
Persistent link: https://www.econbiz.de/10009579937
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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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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
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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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A general closed-form spread option pricing formula
Caldana, Ruggero; Fusai, Gianluca - In: Journal of banking & finance 37 (2013) 12, pp. 4893-4906
Persistent link: https://www.econbiz.de/10010342187
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Counterparty credit risk in a multivariate structural model with jumps
Ballotta, Laura; Fusai, Gianluca - In: Finance : revue de l'Association Française de Finance 36 (2015) 1, pp. 39-74
Persistent link: https://www.econbiz.de/10011514029
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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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Implementing models in quantitative finance : methods and cases
Fusai, Gianluca; Roncoroni, Andrea - 2008
Persistent link: https://www.econbiz.de/10003298342