Sfoglia per Autore
Default risk premium and asset prices
In corso di stampa Corvino, Raffaele; Fusai, Gianluca
ICU capacity expansion under uncertainty in the early stages of a pandemic
2023-01-01 Gambaro, Anna Maria; Fusai, Gianluca; Sodhi, ManMohan S.; May, Caterina; Morelli, Chiara
Technical Note. On Matrix Exponential Differentiation with Application to Weighted Sum Distributions
2022-01-01 Kumar Das, Milan; Tsai, Henghsiu; Kyriakou, Ioannis; Fusai, Gianluca
Interest rate structured products: can they improve the risk–return profile?
2021-01-01 Fusai, Gianluca; Longo, Giovanni; Zanotti, Giovanna
We're not winning this battle. The COVID toll for limited ICU capacity. Capacity Expansion under Stochastic Demand: Managing ICU Capacity in a Pandemic.
2021-01-01 Gambaro, A. M.; Fusai, G.; May, C.; Morelli, C.; Sodhi, M.
Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models
2021-01-01 Brignone, Riccardo; Kyriakou, Ioannis; Fusai, Gianluca
Risk management of climate impact for tourism operators: An empirical analysis on ski resorts
2020-01-01 Ballotta, L.; Fusai, G.; Kyriakou, Ioannis; Papapostolou, N. C.; Pouliasis, P. K.
General lattice methods for arithmetic Asian options
2020-01-01 Gambaro, Anna Maria; Kyriakou, Ioannis; Fusai, Gianluca
Integrated structural approach to Credit Value Adjustment
2019-01-01 Ballotta, L.; Fusai, G.; Marazzina, D.
A market-consistent framework for the fair evaluation of insurance contracts under Solvency II
2019-01-01 Gambaro, A. M.; Casalini, R.; Fusai, G.; Ghilarducci, A.
Fluctuation Identities with Continuous Monitoring and Their Application to Price Barrier Options
2018-01-01 Phelan, Carolyn E.; Marazzina, Daniele; Fusai, Gianluca; Germano, Guido
Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts
2018-01-01 Gambaro, Anna Maria; Casalini, Riccardo; Fusai, Gianluca; Ghilarducci, Alessandro
Hilbert transform, spectral filters and option pricing
2018-01-01 Phelan, C. E.; Marazzina, D.; Fusai, G.; Germano, Guido
Estimation of Multivariate Asset Models with Jumps
2018-01-01 Loregian, A.; Ballota, L.; Fusai, G.; Perez, M. F.
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
2018-01-01 Phelan, ; Marazzina, ; Fusai, Gianluca; Germano,
Accurate pricing of swaptions via Lower Bound
2017-01-01 Gambaro, ANNA MARIA; Caldana, Ruggero; Fusai, Gianluca
Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market
2017-01-01 Caldana, Ruggero; Fusai, Gianluca; Roncoroni, Andrea
Approximate pricing of swaptions in affine and quadratic models
2017-01-01 Gambaro, ANNA MARIA; Caldana, Ruggero; Fusai, Gianluca
General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
2016-01-01 Fusai, Gianluca
Spitzer Identity, Wiener-Hopf Factorization and Pricing of Discretely Monitored Exotic Options
2016-01-01 Germano, G.; Marazzina, D.; Fusai, Gianluca
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