City Research Online

Items where Author is "Roncoroni, A."

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Article

Fusai, G., Caldana, R. and Roncoroni, A. (2017). Electricity Forward Curves with Thin Granularity: Theory and Empirical Evidence in the Hourly EPEX Spot Market. European Journal of Operational Research, doi: 10.1016/j.ejor.2017.02.016

Marena, M., Roncoroni, A. and Fusai, G. (2013). Asian options with jumps: A closed form formula. Argo Newsletter: New Frontiers in Practical Risk Management,, 1(1), pp. 47-56.

Fusai, G., Marena, M. and Roncoroni, A. (2008). Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets. Journal of Banking & Finance, 32(10), pp. 2033-2045. doi: 10.1016/j.jbankfin.2007.12.024

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