Items where Author is "Marazzina, D."
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Germano, G., Phelan, C. E., Marazzina, D. & Fusai, G. 
ORCID: 0000-0001-9215-2586 (2025).
Solution of Wiener-Hopf and Fredholm integral equations by fast Hilbert and Fourier transforms.
IMA Journal of Applied Mathematics,
doi: 10.1093/imamat/hxaf021
Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586 & Marazzina, D. (2024).
Counting jumps: does the counting process count?.
Quantitative Finance, 24(11),
pp. 1621-1640.
doi: 10.1080/14697688.2024.2357731
Phelan, C. E., Marazzina, D., Fusai, G. ORCID: 0000-0001-9215-2586 & Germano, G. (2019).
Hilbert transform, spectral filters and option pricing.
Annals of Operations Research, 282(1-2),
pp. 273-298.
doi: 10.1007/s10479-018-2881-4
Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586 & Marazzina, D. (2019).
Integrated Structural Approach to Credit Value Adjustment.
European Journal of Operational Research, 272(3),
pp. 1143-1157.
doi: 10.1016/j.ejor.2018.07.026
Corsaro, S., Kyriakou, I. ORCID: 0000-0001-9592-596X, Marazzina, D. & Marino, Z. (2019).
A general framework for pricing Asian options under stochastic volatility on parallel architectures.
European Journal of Operational Research, 272(3),
pp. 1082-1095.
doi: 10.1016/j.ejor.2018.07.017
Phelan, C. E., Marazzina, D., Fusai, G. ORCID: 0000-0001-9215-2586 & Germano, G. (2018).
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options.
European Journal of Operational Research, 271(1),
pp. 210-223.
doi: 10.1016/j.ejor.2018.04.016
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
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
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