Items where City Author is "Fusai, Gianluca"
Article
Fusai, G. 
ORCID: 0000-0001-9215-2586 & Gambaro, A. M. (2024).
Pricing on Trees Using New Risk-Free Rates.
The Journal of Derivatives, 32(1),
pp. 139-159.
doi: 10.3905/jod.2024.1.214
Fusai, G. ORCID: 0000-0001-9215-2586, Mignacca, D. & Al-Thani, K. (2024).
Converting a covariance matrix from local currencies to a common currency.
The Journal of Risk, 26(6),
pp. 77-85.
doi: 10.21314/jor.2024.009
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
Fusai, G. ORCID: 0000-0001-9215-2586 (2024).
Monotonic transformation and recovering the implied stock price process.
Decisions in Economics and Finance,
doi: 10.1007/s10203-024-00447-z
Gambaro, A. M., Fusai, G. ORCID: 0000-0001-9215-2586, Sodhi, M. ORCID: 0000-0002-2031-4387 , May, C. & Morelli, C. (2023).
ICU Capacity Expansion Under Uncertainty in the Early Stages of a Pandemic.
Production and Operations Management, 32(8),
pp. 2455-2474.
doi: 10.1111/poms.13985
Mignacca, D. & Fusai, G. ORCID: 0000-0001-9215-2586 (2023).
Incremental Volatility and Related Portfolio Analytics.
The Journal of Portfolio Management: the journal for investment professionals, 49(5),
pp. 131-147.
doi: 10.3905/jpm.2023.1.476
Kyriakou, I. ORCID: 0000-0001-9592-596X, Brignone, R. & Fusai, G. ORCID: 0000-0001-9215-2586 (2023).
Unified moment-based modelling of integrated stochastic processes.
Operations Research, 72(4),
pp. 1630-1653.
doi: 10.1287/opre.2022.2422
Corvino, R. & Fusai, G. ORCID: 0000-0001-9215-2586 (2022).
Default risk premium and asset prices.
Journal of Financial Stability, 60,
article number 101014.
doi: 10.1016/j.jfs.2022.101014
Das, M. K., Tsai, H., Kyriakou, I. ORCID: 0000-0001-9592-596X & Fusai, G. ORCID: 0000-0001-9215-2586 (2022).
Technical Note - On Matrix Exponential Differentiation with Application to Weighted Sum Distributions.
Operations Research, 70(4),
pp. 1984-1995.
doi: 10.1287/opre.2021.2257
Fusai, G. ORCID: 0000-0001-9215-2586, Longo, G. & Zanotti, G. (2021).
Interest rate structured products: can they improve the risk–return profile?.
The European Journal of Finance, 28(13-15),
pp. 1481-1512.
doi: 10.1080/1351847x.2021.1967180
Brignone, R., Kyriakou, I. ORCID: 0000-0001-9592-596X & Fusai, G. ORCID: 0000-0001-9215-2586 (2020).
Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models.
Insurance: Mathematics and Economics, 96,
pp. 232-247.
doi: 10.1016/j.insmatheco.2020.12.002
Fusai, G. ORCID: 0000-0001-9215-2586, Mignacca, D., Human, B. & Nardon, A. (2020).
Equally Diversified or Equally Weighted?.
Risk Magazine,
Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586, Kyriakou, I. ORCID: 0000-0001-9592-596X , Papapostolou, N. C. ORCID: 0000-0003-4529-1182 & Pouliasis, P. K. ORCID: 0000-0002-7389-3722 (2020).
Risk management of climate impact for tourism operators: An empirical analysis on ski resorts.
Tourism Management, 77,
article number 104011.
doi: 10.1016/j.tourman.2019.104011
Gambaro, A. M., Kyriakou, I. ORCID: 0000-0001-9592-596X & Fusai, G. ORCID: 0000-0001-9215-2586 (2020).
General lattice methods for arithmetic Asian options.
European Journal of Operational Research, 282(3),
pp. 1185-1199.
doi: 10.1016/j.ejor.2019.10.026
Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586, Loregian, A. & Perez, M. F. (2019).
Estimation of Multivariate Asset Models with Jumps.
Journal of Financial and Quantitative Analysis, 54(5),
pp. 2053-2083.
doi: 10.1017/s0022109018001321
Gambaro, A. M., Casalini, R., Fusai, G. ORCID: 0000-0001-9215-2586 & Ghilarducci, A. (2019).
A market-consistent framework for the fair evaluation of insurance contracts under Solvency II.
Decisions in Economics and Finance, 42(1),
pp. 157-187.
doi: 10.1007/s10203-019-00242-1
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
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
Phelan, C. E., Marazzina, D., Fusai, G. ORCID: 0000-0001-9215-2586 & Germano, G. (2018).
Hilbert transform, spectral filters and option pricing.
Annals of Operations Research, 282(1-2),
pp. 273-298.
doi: 10.1007/s10479-018-2881-4
Gambaro, A. M., Casalini, R., Fusai, G. & Ghilarducci, A. (2017). Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts. Insurance: Mathematics and Economics, 81, pp. 117-129. doi: 10.1016/j.insmatheco.2017.10.005
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, 261(2), pp. 715-734. doi: 10.1016/j.ejor.2017.02.016
Fusai, G., Gambaro, A. & Casalini, R. (2017). Approximate Pricing of Swaptions in Affine and Quadratic Models. Quantitative Finance, 17(9), pp. 1325-1345. doi: 10.1080/14697688.2017.1292043
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
Ballotta, L. ORCID: 0000-0002-2059-6281 & Fusai, G. ORCID: 0000-0001-9215-2586 (2015).
Counterparty credit risk in a multivariate structural model with jumps.
Finance, Revue de l'Association Française de Finance, Vol. 3(1),
pp. 39-74.
doi: 10.3917/fina.361.0039
Caldana, R., Cheang, G.H.L., Chiarella, C. & Fusai, G. (2015). Correction: Exchange Option under Jump-diffusion Dynamics. Applied Mathematical Finance, 22(1), pp. 99-103. 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. 99-109.
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. doi: 10.1214/aoap/1019487359
Working Paper
Ballotta, L. ORCID: 0000-0002-2059-6281 & Fusai, G. ORCID: 0000-0001-9215-2586 (2018).
Tools from Stochastic Analysis for Mathematical Finance: A Gentle Introduction (10.2139/ssrn.3183712).
SSRN Working Paper Series.
Corvino, R. & Fusai, G. (2018). Default risk premium in credit and equity markets. .
Ballotta, L. ORCID: 0000-0002-2059-6281 & Fusai, G. ORCID: 0000-0001-9215-2586 (2017).
A Gentle Introduction to Value at Risk (10.2139/ssrn.2942138).
SSRN Working Paper Series.
Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586 & Marena, M. (2016).
A Gentle Introduction to Default Risk and Counterparty Credit Modelling (10.2139/ssrn.2816355).
SSRN Working Paper Series.
Ballotta, L., Loregian, A. & Fusai, G. (2015). Multivariate Lévy Models by Linear Combination: Estimation. London: SSRN.
Fusai, G., Kyriakou, I. ORCID: 0000-0001-9592-596X & Castiglioni, M.
Component replacement under uncertainty – a switching option perspective.
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