Items where City Author is "Fusai, Gianluca"

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Number of items: 18.

Article

Fusai, G., Gambaro, A. & Casalini, R. (2017). Approximate Pricing of Swaptions in Affine and Quadratic Models. Quantitative Finance, doi: 10.1080/14697688.2017.1292043

Fusai, G., Caldana, R. & 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

Fusai, G., Germano, G. & Marazzina, D. (2016). Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options. European Journal of Operational Research, 251(1), pp. 124-134. doi: 10.1016/j.ejor.2015.11.027

Caldana, R., Fusai, G., Gnoatto, A. & Grasselli, M. (2016). General closed-form basket option pricing bounds. Quantitative Finance, 16(4), pp. 535-554. doi: 10.1080/14697688.2015.1073854

Fusai, G. & Kyriakou, I. (2016). General optimized lower and upper bounds for discrete and continuous arithmetic Asian options. Mathematics of Operations Research, 41(2), pp. 531-559. doi: 10.1287/moor.2015.0739

Caldana, R., Cheang, G.H.L., Chiarella, C. & Fusai, G. (2015). Correction: Exchange Option under Jump-diffusion Dynamics. Applied Mathematical Finance, 22(1), doi: 10.1080/1350486X.2014.937564

Sesana, D., Marazzina, D. & Fusai, G. (2014). Pricing exotic derivatives exploiting structure. European Journal of Operational Research, 236(1), pp. 369-381. doi: 10.1016/j.ejor.2013.12.009

Caldana, R. & Fusai, G. (2013). A general closed-form spread option pricing formula. Journal of Banking & Finance, 37(12), pp. 4893-4906. doi: 10.1016/j.jbankfin.2013.08.016

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

Potgieter, L. & Fusai, G. (2013). Cutting EdgE Sovereign Credit Risk in a Hidden Markov Regime- Switching Framework. Part 2. Journal of Financial Transformation, 38, pp. 67-81.

Potgeiter, L. & Fusai, G. (2013). Sovereign credit risk in a hidden Markov regime-switching framework. Part 1: Methodology. Journal of Financial Transformation, 37, pp. 99-209.

Fusai, G., Marazzina, D. & Marena, M. (2011). Pricing Discretely Monitored Asian Options by Maturity Randomization. SIAM Journal on Financial Mathematics, 2(1), pp. 383-403. doi: 10.1137/09076115X

Green, R., Fusai, G. & Abrahams, I. D. (2010). The wiener-hopf technique and discretely monitored path-dependent option pricing. Mathematical Finance, 20(2), pp. 259-288. doi: 10.1111/j.1467-9965.2010.00397.x

Fusai, G., Marena, M. & 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

Fusai, G. & Meucci, A. (2008). Pricing discretely monitored Asian options under Levy processes. Journal of Banking & Finance, 32(10), pp. 2076-2088. doi: 10.1016/j.jbankfin.2007.12.027

Fusai, G. (2000). Corridor options and arc-sine law. ANNALS OF APPLIED PROBABILITY, 10(2), pp. 634-663.

Monograph

Ballotta, L., Fusai, G. & Marazzina, D. (2015). Integrated Structural Approach to Counterparty Credit Risk with Dependent Jumps. City University.

Ballotta, L., Loregian, A. & Fusai, G. (2015). Multivariate Lévy Models by Linear Combination: Estimation. London: SSRN.

This list was generated on Tue Sep 26 06:12:52 2017 UTC.