Analysis of quadrature methods for pricing discrete barrier options
Fusai, Gianluca, Recchioni, Maria Cristina
Published in Journal of economic dynamics & control (01.03.2007)
Published in Journal of economic dynamics & control (01.03.2007)
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Journal Article
General lattice methods for arithmetic Asian options
Gambaro, Anna Maria, Kyriakou, Ioannis, Fusai, Gianluca
Published in European journal of operational research (01.05.2020)
Published in European journal of operational research (01.05.2020)
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Journal Article
Integrated structural approach to Credit Value Adjustment
Ballotta, Laura, Fusai, Gianluca, Marazzina, Daniele
Published in European journal of operational research (01.02.2019)
Published in European journal of operational research (01.02.2019)
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Journal Article
Functional clustering and linear regression for peak load forecasting
Goia, Aldo, May, Caterina, Fusai, Gianluca
Published in International journal of forecasting (01.10.2010)
Published in International journal of forecasting (01.10.2010)
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Journal Article
Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models
Brignone, Riccardo, Kyriakou, Ioannis, Fusai, Gianluca
Published in Insurance, mathematics & economics (01.01.2021)
Published in Insurance, mathematics & economics (01.01.2021)
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Journal Article
Interest rate structured products: can they improve the risk-return profile?
Fusai, Gianluca, Longo, Giovanni, Zanotti, Giovanna
Published in The European journal of finance (13.10.2022)
Published in The European journal of finance (13.10.2022)
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Journal Article
Pricing exotic derivatives exploiting structure
Sesana, Debora, Marazzina, Daniele, Fusai, Gianluca
Published in European journal of operational research (01.07.2014)
Published in European journal of operational research (01.07.2014)
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Journal Article
Hilbert transform, spectral filters and option pricing
Phelan, Carolyn E., Marazzina, Daniele, Fusai, Gianluca, Germano, Guido
Published in Annals of operations research (01.11.2019)
Published in Annals of operations research (01.11.2019)
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Journal Article